我国投资者情绪与股市收益互动关系研究

发布时间：2018-04-30 11:49

本文选题：中国股市 + 投资者情绪　；参考：《江西财经大学》2012年硕士论文

【摘要】：从世界各国股票市场的运行情况看,投资者情绪确实能够对股票市场价格和风险产生重大影响,从而导致股票市场出现大量传统金融理论无法解释的“金融异象”。中国股票市场作为一个不成熟的新兴市场,其在建立背景、运作方式和发展历程等众多方面与国外成熟股票市场相比存在很大差别,其产生的“金融异象”也更加突出和显著。与这些“金融异象”紧密相连的,正是中国股市投资者形成的以寻求暴富、羊群效应、过度自信等为主要特征的投资者情绪。投资者情绪是投资者心理的重要反映,它必然会对投资者的行为和决策、进而对股票市场的收益和波动性产生重大影响。我国股票市场过于年轻导致投资者的心理环境存在很大的不确定性,因此系统深入地研究中国股票市场收益、收益波动与投资者情绪之间的互动关系是正确解释中国股票市场“异常现象”的有效途径,这对于加强中国股票市场的风险管理和控制、改善政府对股票市场的监管效率,进而保障中国股票市场健康、稳定、持续发展具有非常重要的理论意义和现实意义。本文首先根据研究需要,对投资者情绪指标、投资者情绪与股票收益相互关系两个方面的文献予以全面综述,并指出当前文献的主要研究成果以及存在的不足；然后,在主观与客观相结合、抓主要放次要的复合指标构建原则的指导下,结合以前学者对各种指标的选用频率及研究数据本身的易获程度,最终选用每天的央视散户投资者情绪指数、机构投资者情绪指数、上证综合指数日换手率和上证综合指数日成交量等四个指标,并采用主成分分析法将以上四个指标构建成投资者综合情绪指标；继而以样本期内的综合情绪指数和上证综合指数收益率为研究样本,利用向量自回归(VAR)模型对中国股票市场收益与投资者情绪之间的相互关系进行了实证研究；最后,构造新的变量数据并选用广义自回归条件异方差模型(GARCH类模型)研究了投资者情绪变动对市场收益波动性的影响以及市场收益变动对投资者情绪波动性的影响。通过全面细致的文献综述和实证检验,本文最终得出以下主要结论：①滞后一期的综合情绪指数对中国股票市场收益的正向影响是显著的,综合情绪指数却不是中国股票市场收益的格兰杰引致原因；②滞后一期的中国股市收益对综合情绪指数有显著的正向影响,中国股市收益还是综合情绪指数的格兰杰引致原因；③滞后期的综合情绪指数对当期的综合情绪指数有显著的正向影响,而滞后期的市场收益率对当期的市场收益率的影响既不确定也不显著；④滞后一期的投资者综合情绪指数的变动会对股票市场收益的波动性产生较为显著的反向影响；⑤滞后一期的股票市场收益的变动会对投资者综合情绪指数的波动性产生不显著的正向影响。根据本文的研究结果,我们认为投资者情绪可以对中国股票市场收益及其波动性产生显著的影响,中国股票市场所呈现的暴涨暴跌现象在一定程度上是由于变化不定的投资者情绪造成的。我国证券市场管理部门要特别重视股票市场中投资者情绪因素的作用,要在加强对投资者心理和行为深入研究的基础上,采取有效措施维护证券市场稳定,促进证券市场繁荣。市场上时刻存在着投资者情绪,正确认识投资者情绪是我国证券市场监管部门制定资本市场政策的出发点,我们监管的目标不是要去消灭投资者情绪,而是要在恰当的时候对投资者情绪进行正确引导。
[Abstract]:From the operating situation of the stock markets in the world, investor sentiment can indeed have a significant impact on the price and risk of the stock market, which leads to a large number of "financial anomalies" which can not be explained by the traditional financial theory. As an immature emerging market, the Chinese stock market is setting up the background, operating mode and the way of operation. The development process and other aspects are very different from the foreign mature stock market, and the "financial anomalies" produced by them are also more prominent and prominent. The investor sentiment of Chinese stock market investors is the main characteristic of the Chinese stock market investors, which are mainly characterized by the search for the rich, the herd effect and the overconfidence.
Investor sentiment is an important reflection of investor psychology. It will inevitably affect the behavior and decision-making of investors, and then have a significant impact on the earnings and volatility of the stock market. Our stock market is too young to cause great uncertainty in the investor's psychological environment. Therefore, the income of the Chinese stock market is deeply studied. The interactive relationship between volatility and investor sentiment is an effective way to correctly explain the "abnormal phenomenon" in China's stock market, which is very important for strengthening the risk management and control of the Chinese stock market, improving the government's regulatory efficiency on the stock market, and ensuring the healthy, stable and sustainable development of the Chinese stock market. Meaning and reality.
According to the research needs, this paper gives a comprehensive review of the two aspects of the investor sentiment index, the relationship between investor sentiment and stock returns, and points out the main research results and shortcomings of the current literature, and then, under the guidance of the subjective and objective combination, the principal should put the secondary compound index construction principle. Combining with previous scholars' selection frequency of various indicators and the degree of research data itself, the final selection of four indicators, such as the daily CCTV retail investor sentiment index, institutional investor sentiment index, Shanghai Composite Index daily turnover rate and Shanghai Composite Index daily volume, and the principal component analysis method to construct the above four indexes. In order to build the investor's comprehensive emotional index, and then take the comprehensive emotional index and the Shanghai composite index return rate as the research sample, the relationship between the stock market returns and the investor sentiment in China is empirically studied by the vector autoregression (VAR) model. The conditional heteroscedasticity model (GARCH class model) studies the influence of investor sentiment on the volatility of market returns and the influence of market income changes on investor sentiment volatility.
Through a comprehensive and detailed literature review and empirical test, this paper concludes the following main conclusions: (1) the positive impact of the integrated emotional index on the earnings of China's stock market is significant, but the comprehensive emotional index is not the cause of Grainger's earnings in China's stock market; There is a significant positive impact on the emotional index, and the Chinese stock market returns are the cause of Grainger's cause of the comprehensive emotional index; (3) the comprehensive emotional index of the late stagnation has a significant positive effect on the comprehensive emotional index of the current period, while the effect of the market return on the current market returns is neither definite nor significant; 4. The change of the investor's comprehensive emotional index in the first phase will have a significant reverse effect on the volatility of the stock market returns. 5. The fluctuation of the stock market returns in the first period will have no significant positive effect on the volatility of the investor's comprehensive emotional index.
According to the results of this study, we think that investor sentiment can have a significant impact on the earnings and volatility of China's stock market. The rise and fall of China's stock market is due to the uncertain investor sentiment to some extent. China's certificate market management department should pay special attention to the stock market. The role of the investor's emotional factors is to take effective measures to maintain the stability of the securities market and promote the prosperity of the securities market on the basis of strengthening the study of investors' psychology and behavior. There is an investor sentiment in the market, and the correct understanding of investor sentiment is the starting point of the capital market policy of the certificate market supervision department in China. The goal of our regulation is not to eliminate investor sentiment, but to guide investor sentiment at the right time.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.48;F832.51;F224

【参考文献】