投资者融资融券行为影响因素研究

发布时间：2018-04-02 14:10

本文选题：行为金融学　切入点：融资融券行为　出处：《西安理工大学》2017年硕士论文

【摘要】：随着行为金融学的发展,学者们对于投资行为的研究思路也从“应该怎么做决策”转变为“实际是怎么做决策”。在对投资者行为研究中发现存在非理性行为,这种非理性行为会影响股票市场的定价效率,进而影响股票市场的有效性。融资融券交易的引入旨在通过杠杆交易和卖空机制两种创新交易方式增大股票市场的供给与需求,进而提升股票市场的流动性,增强市场的有效性。但是,国内外学者在对融资融券交易研究过程中发现:我国融资融券制度的引入对于股票市场的稳定作用较为有限。究其原因:我国股票市场散户投资者居多,而散户投资者在进行投资过程中存在大量非理性行为。基于以上背景,本文以投资者在进行融资融券交易中的非理性行为和投资者融资融券行为影响因素为研究的出发点进行研究。'本文首先以行为金融学的相关理论为理论基础,对投资者融资融券行为的产生、强化到消失的过程进行了理论分析。在分析中提出如下假设:当市场传入利好消息,融资交易经历产生、上升、快速上升、快速下降、消失的过程;融券交易经历产生、上升、下降、迅速上升的过程。在分析投资者融资融券行为的影响因素时,主要分析了主观因素和客观因素对投资者融资融券行为的影响。具体假设如下:市场收益、市场风险这两个客观因素会直接或间接影响投资者融资融券行为;投资者情绪和投资者预期这两个主观因素也会直接或间接影响投资者融资融券行为。其次利用回归分析的方法对我国投资者融资融券非理性行为进行验证,通过检验发现:(1)投资者在进行融资融券交易时存在过度自信行为,且在牛市中投资者进行融资融券交易的过度自信程度大于在熊市中的过度自信程度。(2)投资者在进行融资融券交易时存在羊群效应,且在熊市中,投资者融资融券交易的羊群效应程度要高于投资者在整个市场的融资融券交易的羊群效应程度。(3)投资者在进行融资融券交易时倾向于持亏售盈。即投资者在进行融资融券交易时存在大量非理性行为。随后通过R软件对投资者融资融券行为进行刻画,通过观察仿真期间内融资融券余额的变化趋势来体现投资者融资融券行为的变化过程,假设1得到验证。最后建立VAR模型、通过格兰杰因果检验、脉冲响应和方差分析等对投资者融资融券行为的主客观影响因素进行分析,通过检验得出:市场收益、市场风险这两个客观因素以及投资者情绪和投资者预期这两个主观因素都会直接或者间接地影响投资者融资行为,投资者预期会影响投资者融券行为,只是影响方向有所出入。
[Abstract]:With the development of behavioral finance, scholars' research on investment behavior has changed from "how to make decisions" to "how to make decisions in practice".In the study of investor behavior, it is found that there is irrational behavior, which will affect the pricing efficiency of the stock market, and then affect the effectiveness of the stock market.The introduction of margin trading aims to increase the supply and demand of the stock market through two innovative trading methods: leveraged trading and short selling mechanism, thus enhancing the liquidity of the stock market and enhancing the effectiveness of the market.However, in the process of research on margin trading, domestic and foreign scholars find that the introduction of margin and margin system in China has a limited effect on the stability of the stock market.The reason is that the majority of retail investors in China's stock market, and retail investors in the process of investment in a large number of irrational behavior.Based on the above background, this paper takes the irrational behavior of investors in margin trading and the influencing factors of investors' short margin behavior as the starting point of the study.Firstly, based on the theory of behavioral finance, this paper makes a theoretical analysis of the process from the emergence of investors' margin behavior to the disappearance.In the analysis, the following hypotheses are put forward: when the market brings in good news, the process of financing transaction comes into being, rising, rising, fast rising, declining and disappearing, and the process of margin trading coming into being, rising, falling and rising rapidly.When analyzing the influence factors of investors' margin behavior, this paper mainly analyzes the influence of subjective factors and objective factors on investors' margin behavior.The specific assumptions are as follows: market return, market risk, these two objective factors will directly or indirectly affect the behavior of investors margin financing;The subjective factors of investor sentiment and investor expectation will also directly or indirectly affect investors' margin lending behavior.Secondly, we use regression analysis to verify the irrational behavior of investors in margin trading in China. Through the test, we find that there is overconfidence behavior of investors in margin trading.And in bull market, the degree of overconfidence in margin trading is greater than that in bear market.The degree of herding effect of investors in margin trading is higher than that of investors in the whole market. 3) investors tend to hold losses and profits in margin trading.That is, investors have a large number of irrational behavior in margin trading.Then we describe the behavior of investors' margin and margin by R software, and observe the trend of margin balance during the simulation period to reflect the process of investors' short margin behavior. Hypothesis 1 is verified.Finally, the VAR model is established to analyze the subjective and objective factors influencing investors' margin behavior through Granger causality test, impulse response and variance analysis.The two objective factors of market risk and the subjective factors of investor sentiment and investor expectation will directly or indirectly affect the investor's financing behavior. The investor's expectation will affect the investor's margin behavior, but the direction will be different.
【学位授予单位】：西安理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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