投资者非理性对市场质量的影响分析

发布时间：2018-01-21 14:51

本文关键词： 市场质量投资者非理性有效性　出处：《内蒙古大学》2017年硕士论文　论文类型：学位论文

【摘要】：金融市场的投资主体是投资者,传统金融理论假设投资者都是理性人,然而随着行为金融的兴起,大量的实证研究表明,市场中投资者在进行交易时通常都是非理性的,研究投资者非理性程度成了一个热门的方向。市场质量是一个资本市场的基础,市场质量的好坏关系着资本市场资源配置效率。本文通过将投资者非理性程度与市场质量建立联系,通过向量自回归模型(VAR)以及Granger因果关系检验探讨投资者非理性对市场质量的影响,通过实证发现投资者非理性程度对市场质量有着负面的影响。当投资者非理性程度高时,市场质量趋于恶化的态势。对Granger因果关系检验可以得出,投资者非理性程度是影响市场质量的原因,相关部门可以根据投资者非理性程度指标对市场质量进行相应的改善。通过本文研究可以得出,通过投资者非理性程度可以预测市场质量指标的变化。本文进一步研究了在投资者非理性的影响下,市场质量对超额收益的影响,得出的结论是投资者非理性程度较高时,会恶化市场质量,导致市场是非有效的,市场超额收益增加。最终我们得出的结论以及政策意见是降低投资者的非理性程度对于改善市场质量有着重要的影响,有利于市场资源的优化配置以及市场效率的提升。
[Abstract]:The main body of investment in financial markets is investors, and the traditional financial theory assumes that investors are rational people. However, with the rise of behavioral finance, a large number of empirical studies show that. Investors in the market are usually irrational in trading, and it is a hot direction to study the irrationality of investors. Market quality is the basis of a capital market. The quality of the market relates to the efficiency of resource allocation in the capital market. This paper establishes a link between the irrational degree of investors and the quality of the market. The influence of investor irrationality on market quality is discussed by vector autoregressive model (VAR) and Granger causality test. It is found that the irrationality of investors has a negative impact on market quality. When investors are irrational, the market quality tends to deteriorate. The Granger causality test can be obtained. The irrationality of investors is the reason that affects the market quality. The relevant departments can improve the market quality according to the index of investor irrationality. The change of market quality index can be predicted by the irrationality of investors. This paper further studies the influence of market quality on excess return under the influence of investor irrationality. The conclusion is that when investors have a high degree of irrationality, the quality of the market will deteriorate and the market will not be effective. The final conclusion and policy advice is that reducing the irrationality of investors plays an important role in improving market quality. It is beneficial to the optimal allocation of market resources and the promotion of market efficiency.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.5

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