中国创业板市场中投资者过度反应现象研究

发布时间：2018-03-20 13:47

本文选题：创业板　切入点：过度自信　出处：《浙江工商大学》2013年硕士论文　论文类型：学位论文

【摘要】：近年来,行为金融学研究在我国发展十分迅速,它为我们提供了一种新的视角来研究投资者行为特征如何影响金融市场。在如美国这样的发达国家的发达资本市场中,行为金融学已被用来解释一些股市异象并收到了很好的效果。股市过度反应作为股市异象的一种,在美国得到了广泛深入的研究,并且研究者们得出了很多有意思的结论。于是,本文就想探究在中国的不成熟资本市场中,是否也能从行为金融学的角度来研究投资者行为特点对国内资本市场的影响。尤其是在过度反应研究方面,目前国内大多数研究选择的研究对象是沪深股市,关于创业板过度反应的研究较少,仅有的一些也是从微观入手,针对创业板的上市公司进行了微观事件的过度反应研究。本文觉得仅从微观角度入手还不足以全面说明创业板的过度反应现象,于是本文选取了创业板综合指数进行了系统性宏观事件的过度反应研究,以弥补国内研究在这方面的空缺。本文关于创业板过度反应的研究内容可以分为两个部分,一是过度反应理论介绍,包括过度反应产生的原因、过程和具体表现。这部分是对创业板过度反应实证研究提供理论支持的。二是过度反应实证研究,包括选择创业板进行过度反应研究的原因,系统性大事件的选取以及实证分析部分。实证分析部分主要以事件研究法和对比分析法为主要研究方法,对创业板市场进行了累积超额收益率分析,以累积超额收益率的变动结果来验证过度反应是否存在。同时,本文对深圳股票市场和中小板市场也做了相同的事件分析。用深圳股票市场来剔除宏观经济形势变动影响,用中小板市场来为创业板市场提供有效的对比,使创业板市场的过度反应特征更明显。本文的理论研究和实证研究结果表明：我国创业板市场在受到系统性大事件的影响时,投资者的确表现出过度反应现象,并且实证结果显示出创业板市场投资者对好消息不存在过度反应,对坏消息反应过度。通过深圳股票市场剔除整个宏观经济形势影响后,创业板市场和中小板市场相比在受到坏消息影响时过度反应现象更明显,中小板市场中投资者无论是对好消息和坏消息都没有表现出过度反应。本文在研究创业板市场过度反应时,将市场操纵行为导致的股价波动也归入过度反应中,因为创业板市场作为新兴市场,容易成为市场操纵的对象,并且因为市场操纵的数据很难收集,所以本文做此处理。本文的实证结果也表明创业板市场的波动要大于其他两个市场,过度反应现象也仅出现在创业板市场中,这说明在创业板市场中可能存在市场操纵行为。
[Abstract]:In recent years, behavioral finance research has developed very rapidly in China, which provides us with a new perspective on how the behavior characteristics of investors affect the financial market. Behavioral finance has been used to explain some of the market anomalies and has had a good effect. Stock market overreaction, as a form of stock market anomalies, has been extensively and deeply studied in the United States. And the researchers have come to a lot of interesting conclusions. So this article wants to explore the immature capital markets in China. Can we also study the impact of investors' behavioral characteristics on the domestic capital market from the perspective of behavioral finance? especially in the study of overreaction, at present, most of the research objects selected in China are the Shanghai and Shenzhen stock markets. There has been little research on the overreaction of the gem, and only some have started from the micro level. This paper studies the overreaction of microcosmic events for listed companies in the gem. This paper thinks that it is not enough to explain the phenomenon of overreaction in the gem only from the micro perspective. Therefore, this paper selects the gem composite index to study the overreaction of systemic macro events to make up for the lack of domestic research in this respect. The research content of this paper can be divided into two parts. One is the introduction of overreaction theory, including the causes of overreaction. This part provides theoretical support for the empirical research on the overreaction of the gem. The second is the empirical study of overreaction, including the reasons for choosing the gem to study the overreaction. The selection and empirical analysis of the major systemic events. In the part of empirical analysis, the cumulative excess rate of return of gem market is analyzed by the method of event research and comparative analysis. The change of cumulative excess rate of return is used to verify the existence of overreaction. At the same time, this paper makes the same analysis on Shenzhen stock market and small and medium-sized board market, and uses Shenzhen stock market to eliminate the influence of the change of macroeconomic situation. The use of small and medium-sized market to provide an effective contrast to the growth enterprise market, making the growth enterprise market overreaction characteristics more obvious. The theoretical and empirical results of this paper show that when the gem market in China is affected by systemic events, investors do exhibit overreaction phenomenon. And the empirical results show that investors in gem do not overreact to good news, but overreact to bad news. The growth Enterprise Market (gem) market is more obvious than the small and medium-sized market in terms of overreaction when affected by bad news. Investors in small and medium-sized market have not overreacted to both good news and bad news. In this paper, the volatility of stock price caused by market manipulation is classified as overreaction when we study the overreaction of gem market. Because the gem market, as an emerging market, is easy to become the target of market manipulation, and because it is very difficult to collect data on market manipulation, The empirical results of this paper also show that the volatility of the gem market is larger than that of the other two markets, and the phenomenon of overreaction only occurs in the gem market, which indicates that there may be market manipulation in the gem market.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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