投资者情绪与股票市场收益的相关性研究——基于多重分形分析方法

发布时间：2018-05-06 02:03

本文选题：投资者情绪 + 多重分形分析　；参考：《金融评论》2017年05期

【摘要】：随着现代金融市场理论的不断发展,越来越多的学者认为,金融市场既不简单地遵循"理性人"假设的有效市场理论,也不完全遵循放松"理性人"假设的行为金融理论;金融市场是一个非线性复杂的动力系统,其个体之间通常表现出显著的非线性、复杂性、动态性等特征。因此,目前迫切需要解决的问题是如何准确地刻画并度量金融市场个体之间的相关行为及其特征。本文以分形理论为基础对金融市场的相关性度量方法进行实证研究,发现金融市场的个体之间呈现多重分形的非线性特性,并着重研究投资者情绪与金融市场的相互影响。利用多重分形理论对投资者情绪与股票市场收益的相关性进行分析,将分形理论应用于行为金融领域,是对分形理论的新尝试。
[Abstract]:With the development of modern financial market theory, more and more scholars believe that financial market does not simply follow the efficient market theory of "rational man" hypothesis, nor completely follow the behavioral finance theory of relaxing "rational person" hypothesis. Financial market is a nonlinear and complex dynamic system, and its individuals usually show remarkable characteristics of nonlinearity, complexity, dynamics and so on. Therefore, it is urgent to solve the problem of how to accurately depict and measure the related behaviors and characteristics of individuals in financial markets. On the basis of fractal theory, this paper makes an empirical study on the measurement method of financial market correlation, and finds out that there is a multi-fractal nonlinear character among individuals in financial market, and focuses on the interaction between investor sentiment and financial market. The multifractal theory is used to analyze the correlation between investor sentiment and stock market returns. The application of fractal theory to behavioral finance is a new attempt of fractal theory.
【作者单位】：中南财经政法大学金融学院;
【基金】：教育部人文社会科学规划基金项目“金融市场时变联动与金融风险溢出的机制与实证研究”(项目编号:11YJA790206) “产业升级与区域金融”湖北省协同创新中心课题“金融科技、金融效率与金融风险管理”的支持
【分类号】：B842.6;F832.51

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