中国证券投资者信心指数构建及实证研究

发布时间：2017-12-31 21:04

本文关键词：中国证券投资者信心指数构建及实证研究　出处：《湖南大学》2014年博士论文　论文类型：学位论文

【摘要】：我国资本市场历经短短二十多年的发展,从无到有、从小到大、从区域到全国、从默默无闻到具有世界影响力,得到了迅速的发展,取得了长足的进步,也正面临着难得的发展机遇期。但我国证券市场投资者仍以中小投资者为主,个人投资者教育程度参差不齐,部分投资者缺乏必要的投资知识和技能,交易频繁,非理性交易行为明显,信心明显不足。同时,信息不对称等问题的存在也严重侵害了中小投资者权利和利益。让中小投资者充分享有知情权,公平获得应当公开的全部信息,是维护其合法权益的基本前提。因此,编制并发布投资者信心指数具有十分重要的现实意义。同时,在金融理论方面,基于理性人假设和有效市场假设的传统金融学理论对证券市场很多的“异常”现象(如股权溢价之谜、封闭式基金之谜、股利之谜、过度反应或反应不足等)难以做出很好的解释。为更好地解释金融市场中的各种“异常”现象,金融经济学家把心理实验的结果引入金融理论中,从而建立了行为金融学。行为金融学把人的心理等主观因素加入到经典的金融模型的考虑之中,并认为投资者信心对于资产定价有显著影响。投资者信心的度量和研究已成为行为金融学的一个重要课题。因此,本文认为编制并发布投资者信心指数,了解不同投资者,特别是中小投资者行为和信心特征,对于推动行为金融学的研究,为投资者提供更多市场信息,保护中小投资者权益,促进资本市场健康运行都具有十分重要的意义。具体的研究工作包括： 1.对国内外相关文献及资料进行收集和整理,对目前这个领域的研究成果和研究方向进行梳理,确定拟研究的方向。 2.在经典的信息传递模型基础上,考虑投资者信心因子对均衡解的影响,对原模型进行扩展。给出了没有发布投资者信心指数和发布投资者信心指数两种情况下的风险资产的均衡价格和波动率,证明了发布投资者信心指数可以减少股票市场的波动。 3.在借鉴国内外已有投资者信心指数编制工作的基础上,根据中国证券市场自身特点,引入了国内经济基本面、国内经济政策、国际经济和金融环境等市场外因素,给出了中国证券投资者信心指数编制方案,并采用网上调查的方式开展了国内持续时间最长、调查样本量最大的投资者信心调查。通过将参与调查投资者结构与总体投资者结构进行比较,论证了本研究所采用的网上调查的合理性,利用综合评分法计算了投资者信心指数并对结果进行了分析。结果表明：投资者信心指数较好地预测了上证综指在2008年底的市场底部,其先行性特征比较明显。 4.对投资者信心的影响因素进行了实证分析。分析结果表明：就国内因素而言,投资者的信心受到上证综指收盘价、腾落指数、上证综指收益波动率的显著影响,且这些因素在下跌期影响最为显著。而就国际因素而言,前一期标准普尔500指数与中国证券投资者信心存在负相关关系；美国消费者信心指数对中国证券投资者信心的影响不显著。 5.使用VAR模型对投资者信心与上证综指之间的互动关系进行了实证分析。分析表明：滞后3期上证综指对投资者信心有显著反向影响,滞后1期的投资者信心对上证综指具有显著正向影响：投资者信心对上证综指的影响先增后减,在第8期达到最大并在第30期后冲击的影响逐步消失,持续时间较长,而上证综指对投资者信心的影响在滞后1期最大,随后影响逐步降低并在第15期消失,持续时间较短。 6.运用非对称的EGARCH模型分析了投资者信心及其波动与上证综指收益率之间的关系。分析表明：在控制投资者信心及其波动后,上证综指收益率的波动仍呈非对称关系,这表明除了投资者信心之外,还存在其他市场冲击因素导致上证综指收益率的波动呈非对称关系。全文按照文献整理、理论分析、指数构建及分析、实证研究的逻辑进行。全面系统地梳理了现有投资者信心指数相关工作。通过对经典的信息传递模型进行扩展,理论上证明了编制并发布投资者信心指数具有减少股票市场波动的积极作用。首次引入市场外因素编制了中国证券投资者信心指数,开展了投资者信心网络调查,证明了网络调查在证券投资者调查实践中的科学性和可行性,有力质疑了“网络调查是随便调查”的观点；较好地预测了上证综指在2008年底的市场底部。由于信心调查开展时间长,样本量大,从而提供了分上涨、下跌、横盘等不同市场趋势进行讨论的可能性。通过对上涨、下跌、横盘时期投资者信心与证券市场及其影响因素的实证分析,发现投资者信心在下跌期对证券市场的影响最为显著,有力地支持了人们对股票市场的相关直觉。
[Abstract]:After just more than 20 years of development, China's capital market from scratch, from small to large, from regional to national, from the unknown to the public to have influence in the world, has been rapid development, has made considerable progress, is facing a rare opportunity for development. But our country's securities market investors are still small and medium investors and individual investors the education level uneven, some investors lack the necessary knowledge and skills of investment, frequent trading, irrational trading behavior is obvious, apparent lack of confidence. At the same time, the problem of information asymmetry is a serious infringement of the rights and interests of small investors. For small and medium-sized investors to fully enjoy the right of equitable access to all the information should be open to the public, is the basic premise to safeguard their legitimate rights and interests. Therefore, has very important practical significance to compile and publish the investor confidence index.
At the same time, the theory of finance, traditional finance theory hypothesis and efficient market hypothesis many of the abnormal phenomenon of the stock market based on (such as the equity premium puzzle, the puzzle of closed-end funds, dividend puzzle, overreaction or underreaction etc.) it is difficult to make a good explanation for a better explanation. The financial market in a variety of "abnormal" phenomenon, the financial economists have psychological experiments into financial theory, so as to establish the behavioral finance behavioral finance. The psychology of people's subjective factors into consideration the financial model, and that investor confidence has a significant impact on asset pricing measure and research. The confidence of investors has become an important topic of behavioral finance.
Therefore, the preparation and release of investor confidence, to understand the different investors, especially small investors behavior and confidence characteristics, to promote the research of behavioral finance, provide more market information for investors, protect the interests of small investors, promote has very important significance for the healthy operation of the capital market.
The specific research work includes:
1. to collect and collate the relevant literature and information at home and abroad, to sort out the research results and research direction in this field, and to determine the direction of the research.
2. in the classical information transmission model based on the consideration of investor confidence factor effect on the equilibrium solution, extend the original model. The equilibrium price and volatility are not issued investor confidence index and investor confidence index released two cases of risk assets ratio, that released the investor confidence index can reduce the volatility of the stock market.
3. based on the domestic and foreign existing investor confidence index from the stock market Chinese, according to its own characteristics, introduced the domestic economic fundamentals, domestic economic policy, international economic and financial environment and market factors, gives China securities investor confidence index compilation scheme, and the use of the online survey carried out continuously at home for the longest time, investor confidence survey sample survey of the largest. By comparing the structure of investors and investors involved in the investigation of the overall structure, demonstrates the online survey of the rationality, by using the comprehensive evaluation method to calculate the investor confidence index and the results were analyzed. The results show that the investor confidence index forecast the Shanghai Composite Index 2008 at the bottom end of the market, the first feature is obvious.
An empirical analysis of influencing factors of investor confidence on the 4.. The results showed that: the domestic factors, the confidence of investors by the Shanghai Composite Index closing price, ADL, significantly affect the yield of SSE Composite index volatility, and these factors in the decline of the most significant impact. While the international factors, there is a negative correlation before a period of standard & Poor's 500 index and China securities investor confidence; U.S. consumer confidence index of Chinese securities investor confidence is not significant.
5. use the VAR model to make an empirical analysis of the interactive relationship between investor confidence and Shanghai. Analysis shows that the lagged 3 Shanghai Composite Index has a significant negative impact on investor confidence, 1 period lag of investor confidence has significant positive effects on the Shanghai Composite Index: the impact of investor confidence of Shanghai composite index increased firstly and then decreased gradually disappear in eighth stage reached the maximum in the thirtieth period and the impact of longer duration, while the Shanghai Composite Index of investor confidence in the effect of lag 1 maximum, then gradually reduce the impact and disappeared in the fifteenth period, lasted for a short time.
6. using the asymmetric EGARCH model to analyze the relationship between investor confidence and its volatility and the Shanghai composite index return. Analysis shows that: in the control of investor confidence and volatility, Shanghai stock return volatility is still a non symmetrical relationship, indicating that in addition to the confidence of investors, there are other factors that lead to the market impact of Shanghai composite index return the fluctuation is asymmetric.
According to literature review, theoretical analysis, construction and analysis of index, empirical research logic. Systematically combed the existing investor confidence index related work. Through extending the classical information transmission model, theoretically proved that compile and publish the investor confidence index has a positive role in reducing the volatility of the stock market for the first time into the market. External factors for securities investor confidence index Chinese, the investor confidence network survey, network survey proved that in the securities investor survey in the practice of science and feasibility, strong question "network survey is just investigating" point of view; to predict Shanghai at the bottom of the end of 2008 the market. Due to the confidence survey time long, a large number of samples, thus providing a rose, fell, the possibility of different market trends sideways are discussed. Through the Up, down, sideways period analysis of investor confidence and the stock market and its influence factors, that affect the confidence of investors on the stock market fell in the period of the most significant, the strong support of the people related to intuition of the stock market.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】