我国股市中小板的投资者情绪特征研究

发布时间：2018-10-17 13:23

【摘要】：有效市场假说一直是金融学理论的核心命题，然而，却无法解释现实金融市场中的异常现象。行为金融理论在能获得的金融数据基础上，既提出了比有效市场更好的解释，也提出了新的能够进行实证检验预测方法。行为金融学认为，市场并非总是有效的，，投资者心理会影响投资者预期和投资者决策，进而影响股票市场及证券价格。本文从行为金融理论角度出发，梳理了国内外相关研究，综述了国内外研究发展现状，利用回归分析、主成分分析、格兰杰（Granger）因果检验等方法检验投资者情绪分别对主板和中小板收益率的影响，实证结果表明，投资者情绪对中小板的影响大于对主板的影响。文章实证分析主要由两部分组成。首先，以2008年7月到2012年6月深圳市场交易数据为基础，借鉴Baker和Wurgler构建投资者情绪的方法，采用新增股票开户数、新增基金开户数、深证基金指数、深证综指、深市股票成交额、封闭式基金折价率这六大指标，利用主成分分析方法构建出符合中国证券市场特征的投资者情绪指数，并通过分析认为此指数可以作为市场情绪的代理变量。其次，运用理论分析和实证分析结合的方法，分别对我国深圳股票市场主板和中小板2008年7月到2012年6月的时间序列数据和面板数据进行回归分析，回归分析结果发现，投资者情绪对于中小板市场（无论指数收益率还是个股收益率）的影响显著大于对主板的影响。
[Abstract]:The efficient market hypothesis has always been the core proposition of financial theory, however, it can not explain the abnormal phenomenon in the real financial market. Based on the available financial data, behavioral finance theory not only provides a better explanation than the efficient market, but also puts forward a new prediction method which can be tested empirically. Behavioral finance believes that the market is not always effective, investor psychology will affect investors' expectations and decisions, and then affect the stock market and securities prices. From the perspective of behavioral finance theory, this paper reviews the relevant research at home and abroad, summarizes the development of domestic and foreign research, uses regression analysis, principal component analysis, Granger (Granger) causality test is used to test the influence of investor sentiment on the yield of main board and small board respectively. The empirical results show that the influence of investor sentiment on the main board is greater than that on the main board. The empirical analysis consists of two parts. First of all, based on the trading data of Shenzhen market from July 2008 to June 2012, using the method of Baker and Wurgler to construct investor sentiment, adopting the number of new stocks opening accounts, the number of new fund accounts, the Shenzhen Fund Index, the Shenzhen Composite Index. Based on the six indexes of stock turnover and closed-end fund discount rate in Shenzhen Stock Market, the principal component analysis (PCA) method is used to construct the investor sentiment index which accords with the characteristics of China's securities market, and it is considered that this index can be used as a proxy variable of market sentiment. Secondly, using the method of theoretical analysis and empirical analysis, the time series data and panel data of main board and small board of Shenzhen stock market from July 2008 to June 2012 are analyzed by regression analysis, and the results of regression analysis show that, The impact of investor sentiment on the small and medium board market (whether the index yield or the return on individual stocks) is significantly greater than on the main board.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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