我国投资者情绪与股市收益的关系研究

发布时间：2018-01-17 21:32

本文关键词：我国投资者情绪与股市收益的关系研究　出处：《深圳大学》2017年硕士论文　论文类型：学位论文

【摘要】：自沪深交易所成立至今,在我国宏观经济保持平稳发展的情况下我国股市发生了多次幅度较大的异常波动,同时期的美股市场并未发生如此大幅度的波动,这些现象无法用传统金融学理论解释。结合国内学者的研究,本文认为我国股市的现状与传统金融学的假设框架相去甚远,我国股市的真实运行情况更适合用行为金融学理论来分析解释。行为金融学认为,投资者情绪是除资产内在价值以外的影响金融资产价格的一个重要因素。研究投资者情绪有助于更好的理解我国股市投资者情绪波动与股价变化的内在联系,也有助于帮助监管层理解投资者情绪对市场稳定性的影响。本文在梳理了国内外投资者情绪相关文献的基础上,对国内外学者研究时选取的投资者情绪指标进行分析,对比我国股市与国外股市的不同点,按照我国股市的实际情况来筛选适合我国股市现状的投资者情绪代理变量,然后使用主成分分析法将筛选后的多个情绪代理变量复合成一个投资者情绪指数,然后用该投资者情绪指数从总体层面和横截面层面两个角度来实证检验,分析投资者情绪与股市收益之间的关系。本文实证部分使用2014年11月17日至2016年12月2日的周度数据,这样能得出更符合我国股市近况的结论,并且周度数据相比月度数据更具敏感性,能较及时的观察投资者情绪的动态变化,并据此辅助投资交易。通过实证分析发现:投资者情绪指数与A股指数,投资者情绪指数的变动与股市收益有显著的正相关关系。使用向量自回归模型分析发现:投资者情绪是影响我国A股股指走势的一个重要因素,本周投资者情绪指数的变动值会影响下周股指的涨跌情况,分析投资者情绪指数的变动在一定程度上可预测下一周股指的涨跌方向。投资者情绪指数的变动是引起A股指数涨跌幅变动的格兰杰原因,而A股指数涨跌幅变动并不是引致投资者情绪指数变动的格兰杰原因。投资者情绪对股票横截面收益有显著影响,且投资者情绪会对某一市场特征下高/低特征值的股票组合产生不同的影响,投资者情绪是除市场风险以外的对股票组合收益有显著影响的因子。
[Abstract]:Since the establishment of the Shanghai and Shenzhen Stock Exchange, the stock market of our country has experienced a lot of abnormal fluctuations under the condition of maintaining a steady development of the macro economy in our country, and the American stock market has not fluctuated so much in the same period. These phenomena can not be explained by the traditional financial theory. Combined with the research of domestic scholars, this paper argues that the current situation of China's stock market is far from the hypothetical framework of traditional finance. The real operation of China's stock market is more suitable to use behavioral finance theory to analyze and explain it. Investor sentiment is an important factor that affects the price of financial assets in addition to the intrinsic value of assets. It also helps regulators to understand the impact of investor sentiment on market stability. This paper analyzes the investor sentiment index selected by scholars at home and abroad, and compares the differences between Chinese stock market and foreign stock market. According to the actual situation of the stock market in our country, the investors' emotional agent variables suitable for the present situation of our stock market are screened, and then the principal component analysis method is used to compound the selected multiple emotional agent variables into a single investor sentiment index. Then using the investor sentiment index from the overall level and cross-sectional two angles to empirical test. This paper analyzes the relationship between investor sentiment and stock market returns. The empirical part of this paper uses the weekly data from November 17th 2014 to December 2nd 2016. This can be more in line with the recent situation of China's stock market conclusions, and the weekly data than the monthly data more sensitive, can more timely observe the dynamic changes of investor sentiment. Through empirical analysis, we find: investor sentiment index and A share index. There is a significant positive correlation between the change of investor sentiment index and stock market returns. Using the vector autoregressive model, it is found that investor sentiment is an important factor affecting the trend of A-share stock index in China. The change in investor sentiment this week will affect the stock index's gains and losses next week. To some extent, the change of investor sentiment index can predict the direction of the index's rise and fall next week. The change of investor sentiment index is the reason for the fluctuation of A-share index. The fluctuation of A-share index is not the cause of the change of investor sentiment index. Investor sentiment has a significant impact on cross-section returns. Investor sentiment has different effects on the stock portfolio with high / low eigenvalues under a certain market feature. Investor sentiment is a significant factor that has a significant effect on the return of stock portfolio except for the market risk.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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