证券交易市场情绪与系统性定价偏误研究

发布时间：2019-03-16 16:52

【摘要】：证券市场的定价偏误问题一直受到金融学家的关注,并对此进行了大量的研究。本文通过研究,从市场情绪角度对证券市场的定价偏误问题进行解释,并对二者的关系进行实证研究,找出二者之间的实证模型。首先,对市场情绪进行了研究。本文通过总结市场情绪指数的相关研究成果,并对各种市场情绪指数的方法进行比较,采用沪市月度换手率、IPO首日收益率、A股新增开户数3个指标进行组合构建我国市场上的市场情绪指数。通过实证研究,市场情绪指数滞后4期数据与上证指数走势比较吻合,而且市场情绪指数能够引导上证指数的变化,而反之则不然。其次,采用上市公司的增发和回购行为来作为衡量股票被高估和低估的特征。本文通过对上证180指数成分股进行梳理,卖出增发的股票,买进回购的股票构建系统性定价偏误因子,结果显示系统性定价偏误因子能够追踪这种定价偏误,从而证明了系统性定价偏误的存在性。然后,对市场情绪与定价偏误关系的DSSW模型进行研究发现,其假设条件中关于未来证券价格服从正态分布与现实情况不符。通过统计发现,市场上的证券未来价格具有尖峰厚尾特征,本文选用能够描述尖峰厚尾特征的Levy分布来修正DSSW模型,通过新模型的推导,发现存在噪音投资者的市场均衡价格与噪音投资者的估计偏误期望水平成正比；与估计偏误水平高于其期望水平成正比；与证券的历史走势波动在一定情况下成正比。最后,通过推导发现市场情绪指数滞后一定阶数的数据与系统性定价偏误因子成正比,通过采用上证180指数构建的定价偏误因子与市场情绪指数进行实证发现,这种结论成立,可以看出市场情绪对系统性定价偏误具有一定的解释能力。
[Abstract]:The problem of pricing bias in securities market has been paid close attention to by financiers, and a lot of researches have been done on it. This paper explains the problem of pricing bias in securities market from the perspective of market sentiment, and makes an empirical study of the relationship between the two, and finds out the empirical model between the two. First of all, the market sentiment is studied. This paper summarizes the relevant research results of market sentiment index and compares various methods of market sentiment index. The paper adopts the monthly turnover rate of Shanghai Stock Exchange and the first-day return of IPO. A-share number of new accounts to build a combination of three indicators of market sentiment index on the Chinese market. Through the empirical study, the market sentiment index lag 4 times data and the Shanghai stock index trend is more consistent, and the market mood index can guide the Shanghai index change, but vice versa. Secondly, the IPO and buy-back behavior of listed companies are used as a measure of stock overvaluation and undervaluation. This article combs the Shanghai Stock Exchange 180 index component stock, sells the additional stock, buys the buy-back stock to construct the systematic pricing error factor, the result shows that the systematic pricing error factor can track this kind of pricing error. Thus, the existence of systematic pricing errors is proved. Then, the DSSW model of the relationship between market sentiment and pricing bias is studied, and it is found that the assumption that the future securities price obeys normal distribution does not agree with the actual situation. It is found by statistics that the future price of securities in the market has the characteristics of spikes and thick tails. In this paper, the Levy distribution which can describe the characteristics of spikes and thick tails is selected to modify the DSSW model, and the derivation of the new model is carried out. It is found that the market equilibrium price of noise investors is in direct proportion to the expectation level of noise investors' estimation errors. It is proportional to the level of estimation error higher than its expected level and to the fluctuation of the historical trend of securities under certain circumstances. Finally, it is found that the data of market sentiment index lagging a certain order is proportional to the systematic pricing error factor, and the empirical result is found by using the pricing error factor constructed by Shanghai Stock Exchange 180 Index and the market sentiment index, and this conclusion is valid. It can be seen that market sentiment to the systematic pricing bias has a certain ability to explain.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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