投资者情绪的溢出效应研究

发布时间：2018-10-29 19:31

【摘要】：投资者情绪是反映投资者心理的重要因素，对投资者的行为和决策，进而对股票市场收益和波动有着显著的影响。本文将深入研究投资者情绪的溢出效应，具体包括机构情绪、散户情绪、股票收益间的引导关系研究及波动溢出关系研究，以期对中国证券市场有更为深刻的理解。为实现研究目的，本文首先在投资者情绪指标构建上进行一定的创新。通过借鉴KumarLee(2006)的散户情绪代理变量BSI的构造公式，在对交易方向与交易者类型的合理估计的基础上，本文利用2007-2009年巨灵高频数据构建机构BSI（机构情绪）、散户BSI（散绪情绪)；同时通过对散户BSI与机构BSI的曲线特征进行分析，，从侧面验证了BSI指标对投资者情绪的表征能力。基于新构指标，本文利用格兰杰因果检验，对机构情绪、散户情绪与股票收益三个变量进行分析，确定投资者情绪与收益间及不同情绪间的互动引导关系。为使研究更为深入，本文对机构情绪、散户情绪、股票收益三者间波动溢出效应进行了深入研究。上述研究均表明：机构情绪、散户情绪、股票收益三者间存在明显的互动溢出效应。波动溢出效应的扩展研究则进一步表明：不同市态下三者间的波动溢出效应存在明显区别，在股票市场上升时期，三者间联系要更强；并且，投资者情绪到股票收益的溢出效应是非对称的，且主要由非理性因素所驱动。
[Abstract]:Investor sentiment is an important factor reflecting investor psychology, which has a significant influence on investors' behavior and decision, and then on stock market returns and volatility. This paper will deeply study the spillover effects of investor sentiment, including institutional sentiment, retail sentiment, the leading relationship between stock returns and volatility spillover relationship, in order to have a deeper understanding of China's securities market. In order to achieve the purpose of the research, this paper first carries on the certain innovation in the investor sentiment index construction. By using the formula of KumarLee (2006) as a proxy variable for individual sentiment, and on the basis of reasonable estimation of trading direction and traders' type, this paper uses the data of Juling high frequency from 2007 to 2009 to construct BSI (Institutional emotion). BSI; At the same time, by analyzing the curve characteristics of retail BSI and institutional BSI, the paper verifies the ability of BSI index to express investor sentiment. Based on the new structure index, this paper uses Granger causality test to analyze the three variables of institutional emotion, retail sentiment and stock return, and to determine the interactive guiding relationship between investor emotion and return and between different emotions. In order to make the research more in-depth, this paper studies the volatility spillover effect among institutional sentiment, retail sentiment and stock return. These studies show that there are obvious spillover effects among institutional sentiment, retail sentiment and stock return. The research on the extension of volatility spillover effect further shows that there are obvious differences in the volatility spillover effect among the three countries under different market conditions, and in the rising period of stock market, the relationship among the three is stronger; Moreover, the spillover effect from investor sentiment to stock returns is asymmetric and driven mainly by irrational factors.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.9;F224

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