中国投资者情绪指数的度量及其与股票市场收益互动关系研究

发布时间：2017-12-30 21:27

本文关键词：中国投资者情绪指数的度量及其与股票市场收益互动关系研究　出处：《广东外语外贸大学》2014年硕士论文　论文类型：学位论文

【摘要】：传统金融学的一些假设前提如投资者理性、同质，市场有效等越来越受到人们的质疑，行为金融学的研究引起了学术界和实务界的广泛关注。中国股票市场作为一个典型的不成熟新兴市场，，与国外成熟股票市场相比存在很大差别，其产生的“金融异象”更加显著突出。投资者情绪是反映投资者心理的重要因素，必然会对投资者决策和行为产生重大影响。因此系统深入地研究中国股票市场收益与投资者情绪之间的关系是正确解释中国股票市场“金融异象”的有效途径，其对于加强中国股票市场的风险管理和控制、改善政府对股票市场的监管效率、进而保障中国股票市场稳定、健康、持续发展都具有非常重要的理论和现实意义。为实现研究目的，本文首先对已有的研究成果进行了评述，在此基础上对现有的各种投资者情绪指数的观点进行了总结和梳理，并对不同态势下的投资者情绪与股票收益关系进行了探讨。首先分析了中国股票市场的投资者情绪的主要特征，在此基础上利用主成分分析方法从三个隐性投资者情绪构建出了能反映中国股票市场行为的投资者情绪指数，然后创新性地引入状态空间模型对市场态势进行分类，把总体样本的研究区间划分为正子区间和负子区间进行研究，最后建立VAR系统模型，结合模型实证结果，探讨了不分状态的整体市场以及特定态势中投资者情绪与股票收益率的动态关系，并分析了两者之间的相互作用机理。研究结果表明，综合情绪指数具有比单个指标更好的效果，也更能反映出投资者情绪的波动；格兰杰因果关系分析表明，股票收益能引起投资者情绪显著变化，而投资者情绪变动并不能引起股票收益率显著变化；通过卡尔曼滤波算法进行迭代运算，得到的变参数时间序列及其走势图与上证综指的走势相类似；股票收益起初通常能引起约三期的投资者情绪积极响应，而在投资者情绪驱动股票价格的上涨方面，无论在总体样本区间、正子区间与负子区间的效应都不显著，这印证了Granger因果分析的结论，而正子区间在三者中的作用相对明显；在总体样本区间、正子区间与负子区间三个区间内，投资者情绪与股票收益之间的作用机理并没有本质的区别。
[Abstract]:The traditional finance some assumptions such as rational investors, homogeneous, effective market is increasingly questioned by people, research on behavioral finance has aroused widespread concern in the academic circles and practical circles. China stock market is a typical emerging market is not mature, and the foreign mature stock market there is a big difference, the the "financial vision" more prominent. Investor sentiment is an important factor to reflect the psychology of investors, will inevitably have a significant impact on the investors' decision and behavior. So an effective way to systematically research the relationship between Chinese stock market returns and investor sentiment is the correct interpretation of China stock market "financial vision", to strengthen the risk the management and control of Chinese stock market, improve the efficiency of government regulation on the stock market, and thus protect the Chinese stock market stable, healthy, holding The continued development has a very important theoretical and practical significance.
In order to achieve the purpose of the study, this paper first reviews the existing research results, on the basis of the existing various index of investor sentiment summaries and combing, and the different situation of the relationship between investor sentiment and stock returns are discussed. The main features of the first China stock market investor sentiment, based on the analysis from the three recessive investor sentiment to construct Chinese can reflect the behavior of the stock market investor sentiment index using principal components, and the introduction of innovative state space model to classify the market trend, the research sample is divided interval sub interval and negative sub interval were studied, finally the establishment of VAR system the model, combined with empirical results of the model, discusses the overall market investors regardless of the state and the specific situation of sentiment and stock return dynamic The relationship and the interaction mechanism between the two are analyzed.
The results show that the comprehensive sentiment index has better effect than the single index, it can reflect the volatility of investor sentiment analysis; Grainger causal relation shows that stock returns can cause significant changes in investor sentiment, and changes in investor sentiment and stock returns do not cause significant changes; through Calman iterative filtering algorithm, time varying parameter sequence and chart with the Shanghai composite index trend is similar; stock returns at first usually can cause about three of the investors in a positive emotional response, while the investors sentiment driven stock prices, both in the overall sample interval, positive and negative effects of sub interval sub intervals are not significant, which confirms the Granger causality the conclusion of analysis, and the effect of the three sub interval is relatively obvious; in the overall sample interval, positive and negative sub interval between the three sub district There is no essential difference in the mechanism between investor sentiment and stock returns within the interval.

【学位授予单位】：广东外语外贸大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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