基于客观指标的投资者情绪指数构建及其影响研究
发布时间：2019-07-06 09:50
【摘要】：传统金融理论都假设投资者是理性的,并以此建立了许多经典的金融计量模型。随着金融市场的发展,出现了越来越多的用传统金融理论无法解释的金融异象,这就促使学者们思考理性人假设的合理性并逐渐打破该假设的束缚。行为金融学正是在这样的背景下应运而生,它提出了投资者异质性的概念,并将心里学的相关理论应用到投资者行为的研究中,从而以一个全新的角度对金融市场中的种种异象做出了解释。 行为金融学的一个重要研究领域是对投资者情绪的研究。就像股市常常被称为宏观经济的“晴雨表”一样,投资者情绪也被普遍认为是股票市场的“风向标”。行为金融理论认为：投资者情绪会影响投资者决策,进而会影响到资产的价格走势。特别是对于我国这样还不够成熟的市场,投资者决策更容易受到自身情绪非理性变化的影响：投资者情绪越高涨,投资者越可能选择性忽略负面消息或过度的相信市场上的利好消息,导致股价高估。因此,对投资者情绪进行深入的研究有助于我们理解资本市场上的投资者行为；有助于揭示投资者情绪波动与股票价格之间的互动关系；为投资者决策提供参考。 本文首先从理论上阐述投资者情绪的概念、度量方法及投资者情绪对股票收益的影响机理。然后通过对常用投资者情绪指标优缺点进行分析,精选多个可以每日更新数据的客观投资者情绪指标,并通过主成分分析提取各单一指标的信息,构造出一个能够综合反映投资者情绪的投资者情绪指数。最后通过GARCH模型检验和回归分析得出本文的结论：投资者情绪指数与沪深300的周收益率存在正相关关系而投资者情绪的波动率与沪深300指数周收益率存在负相关关系。
文内图片：
图片说明：投资者情绪走势与沪深300指数走势对比图
[Abstract]:Traditional financial theory assumes that investors are rational, and establishes many classical financial measurement models. With the development of financial market, there are more and more financial anomalies that can not be explained by traditional financial theory, which urges scholars to think about the rationality of rational man hypothesis and gradually break the shackles of this hypothesis. It is in this context that behavioral finance emerges as the times require. It puts forward the concept of investor heterogeneity and applies the relevant theories of psychology to the study of investor behavior, thus explaining all kinds of anomalies in the financial market from a new point of view. An important research field of behavioral finance is the study of investor sentiment. Just as the stock market is often called a "barometer" of macroeconomics, investor sentiment is widely seen as a "bellwether" for the stock market. Behavioral finance theory holds that investor sentiment will affect investors' decision-making, and then affect the price trend of assets. Especially for the immature market in China, investor decision-making is more likely to be affected by irrational changes in their own emotions: the higher the investor sentiment, the more likely investors are to selectively ignore the negative news or overbelieve the good news in the market, resulting in overvaluation of the stock price. Therefore, an in-depth study of investor sentiment is helpful for us to understand the investor behavior in the capital market, to reveal the interactive relationship between investor mood volatility and stock price, and to provide a reference for investors to make decisions. This paper first expounds the concept of investor sentiment, the measurement method and the influence mechanism of investor emotion on stock return in theory. Then through the analysis of the advantages and disadvantages of the commonly used investor sentiment indicators, select a number of objective investor sentiment indicators that can update the data daily, and extract the information of each single index through principal component analysis, and construct an investor sentiment index which can comprehensively reflect the investor sentiment. Finally, through GARCH model test and regression analysis, it is concluded that there is a positive correlation between investor sentiment index and the weekly rate of return of Shanghai and Shenzhen 300, and there is a negative correlation between the volatility of investor sentiment and the weekly rate of return of Shanghai and Shenzhen 300 index.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51
本文编号：2510932
文内图片：
图片说明：投资者情绪走势与沪深300指数走势对比图
[Abstract]:Traditional financial theory assumes that investors are rational, and establishes many classical financial measurement models. With the development of financial market, there are more and more financial anomalies that can not be explained by traditional financial theory, which urges scholars to think about the rationality of rational man hypothesis and gradually break the shackles of this hypothesis. It is in this context that behavioral finance emerges as the times require. It puts forward the concept of investor heterogeneity and applies the relevant theories of psychology to the study of investor behavior, thus explaining all kinds of anomalies in the financial market from a new point of view. An important research field of behavioral finance is the study of investor sentiment. Just as the stock market is often called a "barometer" of macroeconomics, investor sentiment is widely seen as a "bellwether" for the stock market. Behavioral finance theory holds that investor sentiment will affect investors' decision-making, and then affect the price trend of assets. Especially for the immature market in China, investor decision-making is more likely to be affected by irrational changes in their own emotions: the higher the investor sentiment, the more likely investors are to selectively ignore the negative news or overbelieve the good news in the market, resulting in overvaluation of the stock price. Therefore, an in-depth study of investor sentiment is helpful for us to understand the investor behavior in the capital market, to reveal the interactive relationship between investor mood volatility and stock price, and to provide a reference for investors to make decisions. This paper first expounds the concept of investor sentiment, the measurement method and the influence mechanism of investor emotion on stock return in theory. Then through the analysis of the advantages and disadvantages of the commonly used investor sentiment indicators, select a number of objective investor sentiment indicators that can update the data daily, and extract the information of each single index through principal component analysis, and construct an investor sentiment index which can comprehensively reflect the investor sentiment. Finally, through GARCH model test and regression analysis, it is concluded that there is a positive correlation between investor sentiment index and the weekly rate of return of Shanghai and Shenzhen 300, and there is a negative correlation between the volatility of investor sentiment and the weekly rate of return of Shanghai and Shenzhen 300 index.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51
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