投资者情绪对中国股市收益及波动影响的实证研究
发布时间:2018-01-01 04:28
本文关键词:投资者情绪对中国股市收益及波动影响的实证研究 出处:《辽宁大学》2014年硕士论文 论文类型:学位论文
更多相关文章: 投资者情绪 股票收益 股票收益波动率 预测能力
【摘要】:传统金融理论假设市场是有效的,即金融市场中产品的价格可以充分反应出产品历史的价格信息,这就意味着投资者情绪对市场价格不产生影响,但金融市场中有许多异常现象是市场有效性理论所无法解释的。因此,行为金融学就提出了情绪概念,以解释金融市场中的异常现象。行为金融学认为市场是有限套利的,实证结论表明投资者情绪对市场收益率及波动率具有显著影响,本文对投资者情绪的研究,有助于进一步检验市场的有效性,从实践意义的角度而言,如果投资者情绪是市场收益率及波动率的影响因素,我们在今后对金融市场的研究就要更多的倾向于投资者情绪。 本文采用耶鲁-CCER投资者信心指数作为解释变量,通过计量模型的实证分析来检验投资者情绪是否对股市收益率和波动率具有显著性影响。全文共有五部分。其中,第一部分是绪论,阐述了本文选题背景、研究意义并回顾了国内外相关文献的研究分析情况,简单的介绍了研究的主要内容和研究方法,最后还说明了本文的创新性和不足之处。第二部分从理论上介绍了有关投资者情绪与股票收益率及波动率关系的部分经典理论知识。第三部分构建了计量模型实证检验了投资者情绪对我国上证A股市场收益率及波动率的影响。第四部分主要阐述了投资者情绪指数在预测市场收益率及波动率方面的能力,体现了其在滞后的时间上依然存在着影响。最后一部分是全文的结论,根据本文的论证情况提出了一些建设性的意见,并对未来相关研究做出了展望。通过实证研究,全文的研究结果主要包括以下三个方面: 首先,投资者情绪对股票市场收益率有显著的影响,投资者情绪指数的变动会很快体现在收益率的变动上,,并且在不同阶段体现出来的特征有所不同。具体说来,在大盘上涨阶段,投资者情绪对股票收益的影响效应最为显著,而在大盘横盘震荡阶段与下跌阶段,投资者情绪对股票收益的影响相对较小。 其次,投资者情绪与股票波动率之间存在着显著的影响关系。投资者的非理性决定了投资者情绪容易变动,而投资者情绪的变动会通过收益的波动很快体现出来。和收益率相似,投资者情绪对股票波动性的影响同样具有阶段性,不同的投资情绪会造成波动率不同程度和方向的变化。 再次,当期投资者情绪能预测未来股票收益率、波动率的走势。即投资者情绪会对被解释变量产生一定程度的滞后效应,当然随着时间的推移,这种滞后效应的影响会变得越来越微弱。 本文的创新之处:1通过显性情绪指标,重点关注投资者心理及投资者情绪的变化,在保证样本充足的情况下检验投资者情绪对股票收益率及波动率是否具有显著影响。2利用投资者情绪对未来收益率及波动率进行了预测,对投资者及监管机构具有一定的参考价值。 但是由于耶鲁—CCER投资者信心指数调查对象针对机构和个人,所以它是一项综合性指数,理性投资者情绪指数完全针对机构投资者,而非理性投资者情绪指数依赖于个人投资者,所以我们应该在今后的研究中尝试将个人和机构的调查情况分开研究,双向探讨理性和非理性投资者情绪对股市的影响。
[Abstract]:Suppose the market of traditional financial theory is valid, i.e. products in the financial market prices fully reflect the history of the product price information, which means that the investor sentiment has no effect on the market price, but there are many abnormal phenomena in the financial market is unable to explain the theory of market efficiency. Therefore, behavioral finance is put forward the conception of emotion, to explain the abnormal phenomena in the financial market. The behavioral finance believes that the market is limited arbitrage, the empirical results show that investor sentiment has a significant impact on the market rate of return and volatility, this paper studies on investor sentiment, the effectiveness is helpful to further test the market, from the perspective of practical significance and if the investor sentiment is a factor affecting the market return rate and volatility in the future, we tend to research on the financial market will be more to the investor sentiment.
The Yale -CCER investor confidence index as explanatory variables, to test whether investor sentiment has a significant impact on the stock market return and volatility through empirical analysis of econometric models. The thesis consists of five parts. The first part is the introduction, elaborated this article selected topic background, research significance and research reviewed the related literature at home and abroad the analysis of the situation, introduces the main contents and research methods, finally discussed the innovations and deficiencies. The second part introduces the classical theory of knowledge about the relationship between investor sentiment and stock returns and volatility in theory. The third part built an econometric model to empirically test the impact of investor sentiment on China's Shanghai A stock market returns and volatility. The fourth part mainly expounds the investor sentiment index in predicting the market rate of return and Volatility The rate of the ability to reflect the lag in time still exist. The last part is the conclusion of the paper, according to the demonstration this paper puts forward some constructive suggestions and prospects for future research. Through empirical research, the research results of the paper mainly includes the following three aspects:
First of all, investor sentiment has a significant effect on the rate of return of stock market, investor sentiment index changes will soon be reflected in changes in the rate of return, and reflected in the characteristics of different stages are different. In particular, in the rising stage of market effect, the influence of investor sentiment on stock returns is the most significant, and in the market sideways and falling stage, the influence of investor sentiment on stock returns is relatively small.
Secondly, there is a significant impact between investor sentiment and stock volatility. Irrational investors decide the investor sentiment and investor sentiment is easy to change, change will soon be reflected by the fluctuation of income. And the rate of return is similar to that of the influence of investor sentiment on stock volatility also has different investment stages, mood it will result in changes of different degree and direction of the volatility.
Thirdly, current investor sentiment can predict the trend of future stock returns and volatility. That is, investor sentiment will have a lagging effect on the explanatory variables. As time goes on, the lag effect will become weaker and weaker.
The innovation of this paper: 1 the dominant sentiment index, focus on changes in investor psychology and investor sentiment, to ensure sufficient samples under the condition of test of investor sentiment on stock return and volatility has a significant effect on whether.2 uses investor sentiment on the future rate of return and volatility are predicted, which has a certain reference value for investors and regulators.
But because Yale CCER investor confidence index survey for institutions and individuals, so it is a comprehensive index, the rational investor sentiment index completely for institutional investors, and irrational investor sentiment index depends on individual investors, so we should in the future research will try to separate research survey of individuals and institutions, two-way to explore the influence of rational and irrational investor sentiment on the stock market.
【学位授予单位】:辽宁大学
【学位级别】:硕士
【学位授予年份】:2014
【分类号】:F832.51;F224
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