投资者情绪及其对中国股市影响的实证研究

发布时间：2018-02-28 14:17

本文关键词： 行为金融投资者情绪波动率有效性检验　出处：《辽宁大学》2017年博士论文　论文类型：学位论文

【摘要】：有效市场理论假设市场的参与者是理性的,资产价格完全反映了市场所有可利用信息。这意味着任何投资者都不可能通过技术分析或基本面分析击败市场而获得超额收益。然而,大量的文献通过对“87股灾”、“99互联网泡沫”等“金融异象”的研究发现,投资者并非完全理性的,而是有限理性,甚至是非理性的。20世纪80年代,行为金融学从心理学、行为学和社会学角度,对金融市场中的非理性行为进行了深入探讨,并提出证券价格并不完全由资产的内在价值决定,在很大程度上受到投资者行为的影响,投资者情绪以及由此驱动的行为对证券价格的决定和变动具有重要影响。在此背景下,本文对投资者情绪的测度方法及其对股市的影响进行深入探讨,进一步检验投资者情绪在股票市场中的作用及其影响。本文重点研究以下几个问题:首先是投资者情绪测度问题,这是后面实证研究的基础;其次是投资者情绪的有效性检验,这是保证研究结论准确的必要条件;接下来展开投资者情绪对股市影响的实证研究,主要基于投资者情绪是否具备预测市场的能力,投资者情绪与市场收益率之间存在怎样的动态关系,投资者情绪是否对波动率构成影响及这种影响是否存在非对称效应展开研究;最后结合本文结论给出对策建议。通过对中国股市投资者情绪效应研究,得到如下结论:其一,投资者情绪与股票价格存在长期均衡关系,投资者情绪是构成市场价格短期波动的一股重要力量;其二,投资者情绪与收益率两者之间存在单项的因果关系,理性投资者情绪的变动是引起收益率变化的原因,收益率的变动是引起非理性投资者情绪变动的原因;其三,通过对冲击效应的方差分解分析表明,投资者情绪波动对收益率波动的贡献度虽然不大,但变量间的短期影响会在较长时期中形成累积效应;其四,投资者情绪对波动率的影响存在非对称效应,悲观的理性投资者情绪带来的冲击要大于乐观的理性投资者情绪带来的冲击,悲观的非理性投资者情绪带来的冲击要小于乐观的非投资者情绪带来的冲击。本文提出了利用网站访问量构建投资者情绪的新方法,该方法充分利用了网站访问量所蕴含的投资者情绪信息,拓展了投资者情绪测度的途径。一直以来,投资者情绪有效性问题尚未有过细致的讨论,本文首次将皮尔森相关系数、肯德尔相关系数等统计方法应用于投资者情绪有效性检验上来,提出了投资者情绪测度的有效性检验方法,为投资者情绪测度的有效性评价提供理论依据。本文工作是以往投资者情绪研究的推进,丰富了投资者情绪理论,是对现有行为金融理论的有益补充。本文意在揭示投资者情绪与中国股市价格变动之间的客观规律,为行为金融学理论提供来自中国股市的证据。同时也为监管部门如何通过控制投资者情绪稳定股市,避免股市风险向实体经济扩散提供政策性依据。但不可否认的是,本文关于投资者情绪研究还不够深入,特别在中国股市这样的新兴市场,投资者情绪的波动可能会给市场带来更多的不确定性,未来需要更深刻认识投资者情绪与中国股市价格变动之间的客观规律。
[Abstract]:Efficient market theory assumes that market participants are rational, asset prices fully reflect all available market information. This means that any investors can through technical analysis or fundamental analysis to beat the market and obtain excess returns. However, a large number of literature based on the "87 crash", "99" Internet bubble "" the financial anomalies found that investors are not completely rational, but limited rationality, even irrational.20 century 80s, behavioral finance from the psychology, behavior and sociology perspective of non rational behavior in the financial market are discussed, and put forward the price of securities is not entirely determined by the intrinsic value of the assets. Affected by the behavior of investors to a great extent, has an important influence on investor sentiment and behavior so as to drive the decision and the change of the price of the securities in the background. Next, this paper discusses the measure methods of investor sentiment and its impact on the stock market, to further examine the investor sentiment in the stock market and effect. This paper focuses on the following questions: the first is the problem of investor sentiment measures, which is based on evidence behind; second is to test the effectiveness of investor sentiment, this is the necessary condition to ensure the accurate conclusion of the study; the empirical research on the influence of investor sentiment on the stock market, mainly based on whether investor sentiment has the forecast ability of the market, there is what is the dynamic relationship between investor sentiment and market returns, whether investor sentiment on the volatility of the existence of this effect and asymmetric effect research; finally according to the conclusion of this paper gives suggestions. Through the study of the stock market investors China emotional effect, get the following. Theory: first, investor sentiment and stock price has a long-term equilibrium relationship, investor sentiment is an important force for short-term fluctuations in the market price; second, a causal relationship between the individual investor sentiment and the rate of return between the two, rational investor sentiment changes is the cause of yield changes, changes in the rate of return is the cause irrational investor sentiment changes; thirdly, the impact of the variance decomposition analysis showed that investor sentiment volatility of volatility contribution although modest, but the short-term effect between variables will form a cumulative effect over a long period of time; fourthly, investor sentiment has an asymmetric effect on the impact of volatility, pessimistic reason the impact of investor sentiment than optimistic rational investor sentiment impact, pessimistic irrational investor sentiment impact should be small In non optimistic investor sentiment impact. This paper proposes a new method of constructing the investor sentiment website visits, investor sentiment information the method makes full use of the site visits it, provides a way of investor sentiment measure. Since the effectiveness of investor sentiment has been done in detail in this paper. For the first time, Pearson correlation coefficient, using statistical methods Kendall correlation coefficient to test the effectiveness of investor sentiment, and puts forward some effective test methods to measure investor sentiment, and provide a theoretical basis for the evaluation of the effectiveness of the measure of investor sentiment. This work is a previous study on investor sentiment in advance, enriches the investor sentiment theory is a beneficial supplement. The existing behavioral finance theory. This paper is intended to reveal the law between investor sentiment and stock price volatility China, for From the stock market Chinese evidence of behavioral finance theory. At the same time as the regulatory authorities how to control the stability of the stock market investor sentiment, to avoid the risk of stock market spread to the real economy to provide policy basis. But it is undeniable that the research on investor sentiment is still not deep enough, especially in emerging markets such as Chinese stock market, investor sentiment may the fluctuation of the market will bring more uncertainty, the future need to be more profound understanding of the objective law between investor sentiment and China stock price volatility.

【学位授予单位】：辽宁大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F832.51

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