关于中国股票指数心理关口的实证研究

发布时间：2018-05-30 04:37

本文选题：行为金融学 + 股票指数　；参考：《西南财经大学》2012年硕士论文

【摘要】：随着我国金融市场的发展,股票已经成为投资者最为关注的资产种类。经过近20年的发展,我国的股票市场已初步实现了与国民经济地位和数量的匹配。股票市场行情不仅集中反映资本市场的动态,也是国家经济状况的重要参照。然而股票数量繁若群星,每种股票的价格又在随机变化。为了记录、衡量、分析股票市场行情,金融服务机构编制了各种股票价格指数。股票价格指数是反映股票市场中股票价格变动总体水平的重要尺度,更是分析、预测发展趋势进而决定投资行为的主要依据。目前,随着中国经济的高速发展,股票指数的研究已经成为一个热门的话题。当阅读纷繁庞杂的股评时,我们会发现股评家对股票指数在某些特殊点位附近的走向特别关注。股票指数上涨或下跌穿过2000、3000这样的点位时,股评家一般会将其看作重大的利好或利空消息。所谓“心理关口”就是指股票指数中对投资者在投资决策时起到重要的心理影响而导致股票指数非理性波动的特殊数值。而这些心理关口是否真的存在?以及心理关口的存在会对股票指数的收益率带来怎样的影响?这就是本文所要解决的问题。本文选择了在我国股票市场具有代表性的上证综合指数和深圳成分指数作为研究对象分析心理关口现象。在实证检验部分,本文主要采用了建模、统计量检验、再次建模、结果阐释等分析方法对上述两个问题进行了回答。论文第一章是绪论部分,简单介绍了有效市场理论、行为金融学和股票指数的基础知识,以及股票指数对市场参与者的重要性。从而引出了心理关口现象,并阐述了研究股票指数心理关口效应的意义。第二章是国外以及国内关于心理关口效应的文献综述并指出文献中存在的有待商榷之处。国外学者主要运用两种方法对心理关口效应进行研究。第一种方法是检验股票指数绝对值的M值频率分布是否一致；第二种方法是股票指数是日收益率对心理关口的动态回归。通过研究他们发现,心理关口现象在不同的股票指数之间有着不同的表现,有些股票指数的心理关口现象比较明显,有些股票指数的心理关口现象并不明显。有些学者还发现在其它资本市场中,比如黄金、外汇和债券市场,也存在心理关口现象。在国内,行为金融学刚刚起步,针对心理关口研究的文献数量并不多。国内学者也采用国外学者的研究方法对上证综合指数、深圳成分指数和沪深300指数分别进行了50分位和100分位心理关口效应的研究。他们还将研究范围拓展到股票指数的日交易量、单只股票的日收盘价、高频数据和股指均线方面。本文承继了上述的研究方法,对上证综合指数和深圳成分指数分别进行了50分位和100分位心理关口现象进行研究。通过仔细的研究,本文对上述的文献提出了一些疑问和看法,例如股票指数样本时间段的选取、虚拟变量的设定方面,并对以上方面尝试性的做出了某些改善和创新。首先,本文选取了政策制度以及经济运行相对平稳的时间段内的股票指数作为样本数据。其次,本文对股票指数收益率回归模型的虚拟变量进行了重新的设定,并且采用逐步回归法检验和修正了回归模型的多重共线性的问题。第三章是理论分析部分。首先,介绍了弱势有效市场、半强势有效市场和强势有效市场的成立条件和相互关系。其次,介绍了行为金融对投资者非理性行为心理特征及其形成原因的研究成果。最后对实证分析的步骤作了详细的说明,具体内容包括M值的算法、M值频率分布模型的建立、股票指数收益率对心理关口的检验步骤。M值的频率分布模型包括频率分布图、回归模型和驼峰检验,并对其进行了稳健性检验。股票指数收益率回归模型包括筛选虚拟变量并回归、衡量回归模型的序列相关性、扰动项存在序列相关的线性回归方程的估计与修正、衡量并消减回归模型的残差平方序列的相关性。该部分还对回归模型中所涉及到的计量知识进行了简单的介绍,其中包括多重共线性、逐步回归法、自相关检验中的Q-统计量和Breush-Godfrey LM检验、ARMA模型、ARCH模型、ARCH LM检验和GARCH模型。第四章是实证部分。首先对上证综合指数和深圳成分指数的绝对值分别进行了50分位和100分位的M值回归。其次,在对两支股票指数的收益率回归模型中,先对其平稳性进行了检验,随后按照理论部分中介绍的步骤进行了实证分析。上证综合指数在50倍心理关口的检验中最终建立了ARMA (2,0)-GARCH (1,1)模型；在100倍心理关口检验中最终建立了ARMA(2,1)-GARCH (1,1)模型。深圳成分指数在50倍心理关口的检验中最终建立了GARCH(1,1)模型；在100倍心理关口的检验中最终建立了ARMA (1,1)-GARCH (1,1)模型。第五章则对全文进行了总结,并得出以下结论及建议： 1、在股票指数绝对值回归模型中,上证综合指数和深圳成分指数无论对于50分位还是100分位,心理关口现象都不存在。 2、在股票指数收益率回归模型中,上证综合指数和深圳成分指数的心理关口现象比较显著。通过分析以上的结论,结合行为金融学的相关知识,本文尝试提出以下几点建议： 1、对于投资者来说,股票市场并不是一个完全有效的市场,人们的投资行为或多或少地都会受到自己心理情况的影响。而对某一类数字有特别的偏好这种心理是普遍存在的,所以投资者可以根据股票指数在心理关口处的变化规律进行适当的预期并选择投资策略。但是,上述结果能否进行技术性的交易则还需要更进一步的研究。 2、从行为金融学的角度看,在投资者过程中投资者会出现很多的非理性行为,为了避免出现收益的过度波动而获取长期收益,投资者应该克服自己的心理误区,进行理性的投资。虽然这些非理性的心理都是人性的弱点,但是我们在投资过程中,应该做到以下几点：树立正确的心态,打好投资的思想基础；常自省,提高决策质量；克服心理弱点,掌握最佳的投资时机。 3、我国的证券市场制度还不是很完善,也不是很健全,这会加剧投资者行为的偏差。因此,除了让投资者有正确的心态以外,我们还应该努力为他们创造一个良好的投资环境。首先,应该加强政府的调控,制定更加公平、公正、透明的政策。其次,规范信息披露制度,提高信息披露的质量和效率。最后,开展心理培训,让投资者克服自己的心理弱点从而进行理性投资。
[Abstract]:With the development of China's financial market, stock has become the most important type of asset for investors. After nearly 20 years of development, China's stock market has preliminarily realized the match with the status and quantity of the national economy. The stock market not only reflects the dynamic of the capital market, but also an important reference for the state's economic situation. However, the stock market is also an important reference for the state's economic situation. In order to record, measure, and analyze the stock market, the financial service institutions have compiled various stock price indices. The stock price index is an important measure to reflect the overall level of the stock price change in the stock market. It is also an analysis to predict the trend of development and then determine the investment bank. At present, with the rapid development of China's economy, the research of stock index has become a hot topic.
When we read a lot of commentaries, we will find the commentators pay special attention to the direction of the stock index near some special points. When the stock index goes up or down through 20003000 such points, the stock critics generally think of the stock index as a major profit or profit message. How do these psychological barriers really exist and how does the existence of psychological juncture affect the yield of stock index? This is the problem to be solved in this article.
This paper chooses the Representative Shanghai Composite Index and the Shenzhen composition index as the research object to analyze the psychological gateway phenomenon. In the empirical test part, this paper mainly uses the modeling, statistics test, re modeling, and the interpretation of the results to answer the above two problems.
The first chapter is the introduction, which briefly introduces the effective market theory, the basic knowledge of behavioral finance and stock index, as well as the importance of stock index to the market participants, thus leads to the psychological barrier phenomenon and expounds the significance of the study of the psychological barrier effect of the stock index.
The second chapter is the literature review of foreign and domestic psychological closure effects and points out the existing problems in the literature. Foreign scholars mainly use two methods to study the psychological closure effect. The first method is to test whether the M value distribution of the absolute value of the stock index is consistent; the second method is the stock index. It is found that the psychological barrier phenomenon has different performance between different stock indices, and some stock indices have obvious psychological closing phenomena, and some stock indices are not obvious. Some scholars also find in other capital markets, such as yellow. In the gold, foreign exchange and bond markets, there is also a psychological barrier. In China, behavioral finance is just starting, and there are few literature on the psychological gateway research. Domestic scholars have also adopted foreign scholars' research methods for the Shanghai Composite Index, the Shenzhen composition index and the Shanghai and Shenzhen 300 fingers respectively in 50 and 100 points. They also expanded their research scope to the daily trading volume of stock index, the daily closing price of single stock, the high frequency data and the average of stock index.
This paper, following the above research methods, conducts a study of the 50 sub and 100 sub level psychological juncture of the Shanghai Composite Index and the Shenzhen component index. Through careful study, this paper puts forward some questions and views on the above literature, such as the selection of the time interval of the stock index sample, the setting of the virtual variables, and the First, this paper selects the stock index of the policy system and the relatively stable period of economic operation as the sample data. Secondly, this paper resets the virtual variables of the return model of stock index return, and uses the stepwise regression method to test and amend it. The problem of multiple collinearity in the regression model.
The third chapter is the theoretical analysis part. First, it introduces the conditions and relations of the weak effective market, the semi strong effective market and the strong effective market. Secondly, it introduces the research results of Behavioral Finance on the psychological characteristics of irrational behavior and the causes of its formation. Finally, the steps of the empirical analysis are explained in detail. The content includes the algorithm of M value, the establishment of the M value frequency distribution model, the frequency distribution model of the.M value of the stock index return to the psychological pass test step, which includes the frequency distribution map, the regression model and the hump test, and carries out the robustness test. The return model of the stock index return includes screening virtual variables and regression to measure regression. The sequence correlation of the model, the estimation and correction of the linear regression equation associated with the sequence of the disturbance, measure and reduce the correlation of the residual squared sequence of the regression model. This part also gives a brief introduction to the measurement knowledge involved in the regression model, including the multiple collinearity, stepwise regression method, and autocorrelation test. Q- statistics and Breush-Godfrey LM test, ARMA model, ARCH model, ARCH LM test and GARCH model.
The fourth chapter is an empirical part. First, the absolute value of the Shanghai Composite Index and the Shenzhen component index is divided into 50 and 100 M value regression respectively. Secondly, in the return model of the two stock index, the stability is tested first, and then the empirical analysis is carried out according to the steps introduced in the part of the theory department. The comprehensive index finally established the ARMA (2,0) -GARCH (1,1) model in the test of 50 times the psychological pass, and finally established the ARMA (2,1) -GARCH (1,1) model in the 100 times psychological pass test. The Shenzhen component index finally established the GARCH (1,1) model in the test of 50 times the psychological pass, and finally established the ARMA in the test of the 100 times psychological pass. (1,1) -GARCH (1,1) model.
The fifth chapter summarizes the full text and draws the following conclusions and suggestions:
1, in the regression model of stock index absolute value, the Shanghai Composite Index and Shenzhen component index do not exist for 50 points or 100 bits.
2, in the regression model of stock index return, the mental barrier phenomenon of Shanghai Composite Index and Shenzhen component index is quite significant.
By analyzing the above conclusions and combining the relevant knowledge of behavioral finance, this article tries to make the following suggestions:
1, for investors, the stock market is not a completely effective market, and people's investment behavior is more or less affected by their psychological conditions. And a particular preference for a certain type of numbers is common, so investors can proceed according to the changing rules of the stock index at the psychological juncture. Appropriate expectations and investment strategies should be chosen. However, further research is needed on whether the above results can be technically traded.
2, from the perspective of behavioral finance, investors will have a lot of irrational behavior in the process of investors. In order to avoid the excessive volatility of income and obtain long-term returns, investors should overcome their psychological misunderstandings and make rational investment. Although these irrational psychology are all human weaknesses, we have invested in the investment. In the course, the following points should be done: setting up a correct attitude and making a good ideological basis for investment; constantly introspection, improving the quality of decision-making, overcoming mental weaknesses, and mastering the best opportunity for investment.
3, the securities market system in our country is not perfect and is not very sound, which will aggravate the deviation of investors' behavior. In addition to let investors have a correct attitude, we should also strive to create a good investment environment for them. First, we should strengthen the government's control and make a more fair, just and transparent policy. At the same time, the information disclosure system should be standardized to improve the quality and efficiency of information disclosure. Finally, psychological training is carried out to enable investors to overcome their psychological weaknesses and make rational investment.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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