处置效应在我国基金投资中存在性的检验及其影响研究

发布时间：2018-04-20 02:11

本文选题：前景理论 + 处置效应　；参考：《兰州商学院》2013年硕士论文

【摘要】：现代金融理论是建立在资本资产定价模型和有效市场假说两大基石上的。这些经典的理论继承了经济学的分析方法和技术，，其模型都是建立在“理性”的分析框架中，忽视了对投资者实际行为决策的研究。随着金融市场上各种异象的积累，行为金融学应运而生。行为金融理论将人类的心理与行为纳入金融的研究框架，它提供了理论和实证的依据。而本文所涉及的以前景理论为基础的“处置效应”就属于解释证券市场异象的行为金融基本理论之一。本文在阅读国内外相关文献的基础上，尝试着来验证“处置效应”在我国的基金市场上是否存在，通过收集近五年来，80支开放式、股票投资型基金的季度数据做为研究的依据。选取基金净赎回率、基金收益率、市场收益率、基金的市场份额等相关指标做为模型的变量，建立VAR模型。在模型的处理上，由于所选样本数据比较多，每个变量的数据实际上都是一个面板数据，所以在处理VAR模型时，采用了加权的处理方法，最后，验证了“处置效应”在我国基金市场的存在性。在实证得出“处置效应”在我国基金市场存在的前提下，结合证券市场的市场表现，本文通过建立线性回归模型，再具体的分析了连续三个季度“处置效应”强弱的动态变化。初步得出“处置效应”有利于市场稳定的结论，也很好的解释了股谚“没有只涨不跌的市场，也没有只跌不涨的市场”的合理性。此外，市场在上涨周期和下跌周期处置效应强弱的程度是不同的，这为预测证券市场拐点等方面具有一定的应用价值和参考价值。
[Abstract]:Modern financial theory is based on capital asset pricing model and efficient market hypothesis. These classical theories inherit the analytical methods and techniques of economics, and their models are based on the "rational" analytical framework, ignoring the study of investors' actual behavior decisions. With the accumulation of various visions in the financial market, behavioral finance emerges as the times require. Behavioral finance theory brings human psychology and behavior into the framework of financial research, which provides theoretical and empirical basis. The "disposal effect" based on the prospect theory is one of the basic theories of behavioral finance to explain the anomalies of the securities market. On the basis of reading the relevant literature at home and abroad, this paper tries to verify whether the "disposal effect" exists in the fund market of our country, and through collecting the quarterly data of 80 open-end, stock investment funds in the past five years as the basis of the research. The VAR model is established by selecting the net redemption rate of the fund, the return rate of the fund, the market rate of return and the market share of the fund as the variables of the model. In the processing of the model, because there are more sample data selected, the data of each variable is actually a panel data, so when dealing with the VAR model, a weighted processing method is adopted. The existence of "disposal effect" in China's fund market is verified. On the premise of the existence of "disposal effect" in China's fund market and the market performance of securities market, this paper establishes a linear regression model and analyzes the dynamic changes of "disposal effect" in three consecutive quarters. The conclusion that "disposal effect" is beneficial to market stability is also a good explanation for the reasonableness of the saying "there is no market that goes up and down, and there is no market that does not go up". In addition, the degree of disposal effect in the rising cycle and the falling cycle is different, which has certain application value and reference value in predicting the inflection point of the securities market.
【学位授予单位】：兰州商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】