基于锚定效应的上海证券市场投资者情绪影响研究

发布时间：2018-01-06 00:17

本文关键词：基于锚定效应的上海证券市场投资者情绪影响研究　出处：《华东理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：20世纪80年代以来金融市场上涌现出很多传统金融理论无法解释的异象,在一定程度上促使了行为金融学的产生,目前,各国学者对行为金融领域的研究不是很成熟,较多学者只是从理论层面来对异象进行解释,而缺少实证方面的研究探讨。主要的研究范围集中在对证券市场上投资者的行为研究,而投资者情绪作为一个能够影响行为决策的变量,对证券市场的影响较明显。鉴于此,本研究选择了上海证券市场上投资者情绪作为研究对象,探讨投资者的锚定效应通过情绪对证券市场的影响。具体思路：首先选择了2006-2012年上证A股的周收益率,并划分三个时间段,然后确定了好淡指数作为投资者情绪指标,发现了投资者情绪对上证A股周收益率的锚定效应。然后,对比分析不同阶段的锚定程度和特点。接着探讨不同时间段投资者情绪对收益率的具体影响程度,而且发现了总体上投资者情绪变化会形成上证A股周收益率的系统性风险。最后,总结得出投资者短期情绪在股市上升阶段锚定程度最大,其次是下降阶段,最后是低迷阶段。在投资者情绪对收益率的预测影响方面,在股市上升阶段,短期情绪对收益率的影响较大,而在低迷阶段,中期情绪具有更大的影响。通过结论分析并结合我国的实际情况在改善和引导投资者情绪问题上从微观层面即投资者角度、中观层面即企业角度、宏观层面即政府角度三方面来提出一些可操作性的建议。
[Abstract]:Since 1980s, the emergence of a lot of traditional financial theories can not be explained in the financial market, to a certain extent, the emergence of behavioral finance, at present. Scholars from different countries are not very mature in the field of behavioral finance, more scholars only explain the anomalies from the theoretical level. The main research scope is focused on the behavior of investors in the securities market, and investor sentiment as a variable that can affect behavior decisions. The impact on the securities market is obvious. In view of this, this study chooses investor sentiment in Shanghai stock market as the research object. This paper discusses the influence of investors' anchoring effect on the securities market through emotion. The specific ideas are as follows: firstly, the weekly return rate of A shares in Shanghai Stock Exchange from 2006 to 2012 is selected, and three time periods are divided. Then determine the good light index as an indicator of investor sentiment, and find the anchor effect of investor sentiment on the weekly yield of A shares in Shanghai Stock Exchange. Then. Compare and analyze the anchoring degree and characteristics of different stages, and then explore the specific impact of investor sentiment on the return in different time periods. And found that the overall change of investor sentiment will form the systemic risk of Shanghai A-share weekly yield. Finally, the conclusion is that investor short-term sentiment is the largest anchoring degree in the rising stage of the stock market, followed by the declining stage. The last is the downturn stage. In the forecasting impact of investor sentiment on the yield, in the stock market rising stage, short-term sentiment has a greater impact on the yield, while in the downturn stage. Through the conclusion analysis and combining the actual situation of our country, we can improve and guide the investor sentiment from the micro level, that is, the investor angle, the meso level is the enterprise angle. Macroscopic level namely government angle three respects come to put forward some operable suggestion.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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