行为金融视角下的中国股市异常现象

发布时间：2018-06-23 14:44

本文选题：行为金融 + 中国股市　；参考：《上海交通大学》2013年硕士论文

【摘要】：随着金融市场的发展，出现了很多用传统金融理论无法解释的异常现象。在此背景下，国外学者将心理学的研究成果引入金融学的研究，发展成行为金融学，作为传统金融理论的补充和发展。在本文研究过程中，笔者根据国内外行为金融研究成果，以相关书面资料为理论基础，结合中国股市实际，用实证的方法支持了行为金融理论的部分观点。文章绪论说明了本文的研究意义和创新点。行为金融理论被引入中国后，许多国内学者也展开了相关研究，并将其应用于中国股市。笔者从行为金融的视角来对中国股市现实状况进行分析和解释，希望对自身投资实践起到指导作用。本文以中国股市为研究对象，采用了股权分制改革基本结束后的新时期，即从2007到2013年目前的最新数据。由此得出的研究结论，对于如今的中国股票市场有更深的现实意义。针对中国股市的板块效应，在研究中专门选取了个别板块作为研究对象，这在具体的投资操作中有较强实际意义。在理论方面，，本文首先简介了传统金融理论，列举了和传统金融理论相背的股市异象，作为行为金融理论的产生背景。另外介绍了行为金融理论的发展过程和近年的研究动向。接下来介绍了行为金融理论的主要内容，例如前景理论、认知偏差、羊群效应等。最后，从中国股市的实际情况入手，应用行为金融理论解释了一个非理性现象案例。在实证方面，笔者在借鉴前人的思想方法的基础上，采取了独自构思的具体方案，对中国股市异常现象进行了行为金融研究。这是本文的核心部分，进行了三个小项目的实证。通过构造创业板赢家组合和输家组合，考察了动量效应，结论是创业板的动量效应存在。通过本月日均交易量和上月日均收益率的相关性，考察了过度自信，结论是过度自信和交易量存在正向的相关关系。通过旅游板块个股二月份的超额收益率，考察了二月份的日历效应，结论是与市场比较，旅游板块的2月份日历效应相对突出。文章最后，提出了笔者自身的观点和结论。认为中国股市基本为弱势有效市场。在此背景下,行为金融理论有广泛的运用前景。据此，笔者提出相应的投资策略。即采用量化投资策略；或者可选取特定板块，采取动量交易和利用日历效应等策略。如果应用得当,这些策略可获得超越市场平均水平的超额收益。同时，对这些策略的局限性做了说明。笔者希望通过以上研究，能有助于完善自身的投资策略，为实际工作提供借鉴参考。
[Abstract]:With the development of financial market, many abnormal phenomena can not be explained by traditional financial theory. Under this background, foreign scholars introduce the research results of psychology into the research of finance, and develop into behavioral finance, which is the supplement and development of the traditional financial theory. In the course of this study, based on the research results of behavioral finance at home and abroad, based on the relevant written data, combined with the reality of China's stock market, the author uses empirical methods to support some of the views of behavioral finance theory. The introduction explains the significance and innovation of this paper. After the introduction of behavioral finance theory into China, many domestic scholars have also carried out relevant research and applied it to Chinese stock market. From the perspective of behavioral finance, the author analyzes and explains the reality of China's stock market, hoping to play a guiding role in its own investment practice. This paper takes the Chinese stock market as the research object and adopts the latest data from 2007 to 2013 in the new period after the reform of the split share system. The conclusion of this study has a deeper practical significance for China's stock market today. In view of the plate effect of Chinese stock market, we select individual plate as the research object, which has strong practical significance in the concrete investment operation. In theory, this paper first introduces the traditional financial theory, enumerates the stock market anomalies contrary to the traditional financial theory, as the background of behavioral finance theory. In addition, it introduces the development process of behavioral finance theory and the research trend in recent years. Then it introduces the main contents of behavioral finance theory, such as prospect theory, cognitive bias, herding effect and so on. Finally, from the actual situation of Chinese stock market, this paper explains a case of irrational phenomenon by using behavioral finance theory. In the empirical aspect, on the basis of referring to the previous thought and method, the author has taken the concrete plan that the individual conceive, has carried on the behavior finance research to the abnormal phenomenon of the stock market of China. This is the core part of this paper, carried out three small projects of empirical. The momentum effect is investigated by constructing the winner combination and the loser combination of the gem. The conclusion is that the momentum effect exists in the gem. Based on the correlation between the average daily trading volume and the average yield of last month, overconfidence is investigated. The conclusion is that there is a positive correlation between overconfidence and trading volume. This paper examines the calendar effect in February through the excess returns of individual stocks in the tourism sector in February. The conclusion is that the calendar effect in February is relatively prominent in the tourism sector compared with the market. Finally, the author puts forward his own views and conclusions. Think Chinese stock market is weak effective market basically. In this context, behavioral finance theory has a broad application prospects. Accordingly, the author puts forward the corresponding investment strategy. That is to say, we can use quantitative investment strategy, or we can select specific plate, adopt momentum trading and use calendar effect. If properly applied, these strategies can yield excess returns above the market average. At the same time, the limitations of these strategies are explained. The author hopes that the above research can be helpful to improve his investment strategy and provide reference for practical work.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】