货币政策对投资者情绪至股市波动影响的实证研究

发布时间：2018-03-09 05:23

本文选题：货币政策　切入点：投资者情绪　出处：《辽宁大学》2017年博士论文　论文类型：学位论文

【摘要】：货币政策的传导机制一直以来都是学术界研究的一个热点,传统的货币政策理论认为,在市场有效且投资者理性的前提下,货币政策能够借助利率、信用以及资产价格等手段对社会经济产生影响,从而达到稳定物价和维持经济发展的目的。但经济学家在论及货币政策传导效应时的一个基本前提假设是投资者理性。经典的金融理论认为,市场中的投资主体是理性的,并且资产价格已经能够完全反映其基本价值。然而,各种无法解释的金融异象的出现对经典金融理论产生了巨大冲击,从而促使经济学家对传统金融学的基本假设条件进行了更为深入的思考,他们认为现实的金融市场比较复杂,与假设相去甚远。并且越来越多的证据表明,金融市场并未完全按照经典金融理论假设运行,作为金融市场主体的投资者,他们的心理会影响到其行为进而影响到金融市场。(7)(8)TverskyKahneman和1979通过实验验证了,大部分投资者不是完全理性的,而是不理性的,并根据这个观点提出了展望理论。此后随着行为金融学的不断发展,投资者的非理性行为受到了越来越广泛的关注。人们发现,投资者的非理性行为会引起金融市场波动进而影响到企业的投资行为,因此研究投资者情绪在货币政策对股市波动影响中的作用显得尤为重要。而货币政策变化本身也能够引起投资者情绪的变化,所以有必要进一步研究货币政策变化引起的投资者情绪对股市波动的影响。该研究有助于央行更加准确的预测货币政策效果,从而更加精准高效地制定货币政策,同时也为投资者的投资决策提供一定的参考依据。本文主要从投资者情绪和货币政策的传导这两方面入手,首先,系统的对国内外关于货币政策对投资者情绪及股市波动影响的相关理论和实证分析进行了文献梳理,指出了投资者情绪对股市波动的影响,以及货币政策对股市波动的影响。其次,论述了相关理论,包括货币政策理论和投资者情绪理论,给出了投资者情绪定义,并构造了投资者复合情绪指数。再次,论述了货币政策对投资者情绪至股市波动影响的传导机制,重点分析了货币政策对投资者情绪影响、投资者情绪对股市波动影响以及货币政策对股市波动影响的传导机制。第四,检验了投资者情绪在货币政策对股市波动影响中的作用。主要通过对比考虑投资者情绪和不考虑投资者情绪这两种情况下,货币政策对股市波动影响的结果,来验证投资者情绪影响了货币政策对股市波动的影响。第五,对货币政策对投资者情绪的影响进行了实证分析,并与货币政策对消费者信心指数的影响进行了对比,证实了本文构造的投资者复合情绪指数的合理性,同时估计出货币政策引起的投资者情绪。第六,对该投资者情绪对股市波动影响进行了实证分析,主要对实证结果进行分析。最后,对全文进行了总结。本文得到的主要结论如下:(1)不论是股市高涨期还是股市低迷期,投资者情绪均会影响到货币政策对股市波动的影响结果,且这种影响具有非对称性。(2)在股票市场的高涨期和低迷期,货币供给增速和存款准备金率变化均会对投资者情绪产生显著影响,但是货币供给增速变化对投资者情绪的影响要大于存款准备金率变化带来的影响。(3)当股票市场处于高涨期时,货币供给增速对投资者情绪的影响要大于股市低迷期货币供给增速对投资者情绪的影响;而存款准备金率对投资者情绪的影响在股市的高涨期和低迷期没有显著差异。(4)当股票市场处于高涨期时,投资者乐观情绪会使得股市收益上涨的幅度大于股市低迷期时股市收益上涨的幅度;而投资者的乐观情绪对股市波动的影响不同,股市高涨期时,投资者的乐观情绪会使得股市波动加剧,而股市低迷期,投资者的乐观情绪短期并不会加剧股市波动,长期来看,股市波动仍然是增加的。(5)股市高涨期时,股市收益的上升对投资者情绪的影响要大于股市低迷期股市收益上升对投资者情绪带来的影响,而股市收益的上涨会降低股市的波动。论文的创新之处在于:(1)采用主成分分析法构造投资者复合情绪指数。(2)研究投资者情绪对股票市场影响的传导途径时,根据中国股票市场的具体情况以及DSSW模型,构造了一个单期噪声交易者模型,并由此分析投资者情绪对中国股市波动影响的传导途径。(3)本文在进行实证分析时,将中国股票市场分为股市高涨期和低迷期两个阶段,分别进行了如下的实证分析:(1)在检验投资者情绪是否影响货币政策对股市波动影响的实证分析时,加入了投资者情绪因子。构建MS-VAR模型分别对考虑投资者情绪和不考虑投资者情绪这两种情况下,股市收益、波动对货币政策冲击的不同响应,来检验投资者情绪对货币政策影响股市波动的作用。(2)在进行货币政策对投资者情绪影响及非对称性的实证分析时,利用马尔可夫区制转换模型,将中国股市分为高涨期和低迷期,分别考虑在股票市场的不同阶段,货币政策对投资者情绪的影响,同时利用回归分析,将货币政策对投资者情绪的影响提取出来。(3)在进行投资者情绪对股市波动影响的实证分析时,构建MS-VAR模型研究在股票市场的不同阶段,投资者情绪和股市收益、波动之间的动态变化,由此来讨论在股票市场的不同阶段,投资者情绪对股市波动的影响。
[Abstract]:The transmission mechanism of monetary policy has always been a hot topic in academic circles, that the traditional theory of monetary policy, effective and rational investors in the market under the premise of monetary policy can use the interest rate, credit and asset prices and other means of influence to the social economy, so as to achieve price stability and sustain economic development. But an economist the basic assumptions on the effect of monetary policy transmission is the rational investors. The classic financial theory, market investors are rational, and asset prices have been able to fully reflect the basic value. However, the financial anomalies appear unable to explain the impacts of classical financial theory, and the economists have done more in-depth thinking on the basic assumptions of traditional finance, they think that compared to the reality of the financial market The complex, with the assumption that far. And more and more evidence that the financial market is not fully in accordance with the classical finance theory hypothesis, as the main body of financial market investors, their psychology will affect their behavior and influence to the financial market. (7) TverskyKahneman (8) and 1979 were verified by experiments, most investors are not fully rational but, not rational, and puts forward the prospect theory according to this view. Then with the development of behavioral finance, the irrational behavior of investors has attracted more and more attention. It was found that the non rational behavior of investors will cause fluctuations in the financial markets affect the investment behavior of enterprises, so the study of investor sentiment in the monetary policy on the stock market fluctuations in the role is particularly important. The monetary policy change itself can also cause changes in mood of investors, the It is necessary to further study the monetary policy changes due to the influence of investor sentiment on stock market volatility. The study has the effect of monetary policy to help the central bank forecast more accurate, more accurate and efficient monetary policy, but also provide a reference for the investment decisions of investors. This article mainly from the investor sentiment and monetary policy transmission of these two aspects, first, to the domestic and foreign related theories about the impact of monetary policy on the stock market volatility and investor sentiment and positive analysis system of literature review, pointed out that the impact of investor sentiment on stock market volatility, and the influence of monetary policy on the stock market volatility. Secondly, discusses the relevant theories, including the theory of monetary policy and the investor sentiment theory, gives the definition of investor sentiment, and construct investor sentiment index composite. Thirdly, discusses the monetary policy The transmission mechanism of impact on investor sentiment and stock market volatility, analyzes the impact of monetary policy on investor sentiment, the conduction mechanism of the influence of investor sentiment on the stock market volatility and the influence of monetary policy on the stock market volatility. Fourth, to test the effect of investor sentiment on stock market volatility in the effect of monetary policy. By comparing considering and not considering the investor sentiment the two kinds of investor sentiment, the impact of monetary policy on the stock market volatility results, to verify the investor sentiment affects the effect of monetary policy on stock market volatility. Fifth, on the impact of monetary policy on investor sentiment is analyzed, compared and effects of monetary policy on consumer confidence index, confirms the rationality investor sentiment index composite constructed in this paper, at the same time to estimate the monetary policy caused by investor sentiment. In sixth, the investment The effects of emotion on the volatility of stock market by empirical analysis, the main analysis of the empirical results. Finally, a summary of the full text. The main conclusions are as follows: (1) whether the stock market or the stock market downturn, investor sentiment will affect the effect of monetary policy on the stock market volatility, and this effect is asymmetric. (2) in the stock market downturn and rising period, the growth rate of the money supply and deposit reserve rate changes will have a significant impact on investor sentiment, but the impact of changes in the growth rate of the money supply is greater than the impact on investor sentiment changes in the deposit reserve rate brought. (3) when the stock market is rising period when the growth rate of the money supply impact on investor sentiment is greater than the stock market downturn in the growth rate of the money supply impact on investor sentiment; while the deposit reserve rate impact on investor sentiment in the There is no significant difference between the stock market boom and downturn. (4) when the stock market is rising period, investor optimism makes the stock market rising income is greater than the stock market downturn when stock returns rise; and the impact of investor optimism on the stock market volatility, the stock market boom, investor optimism the stock market volatility, and the stock market downturn, investors optimism in the short term does not aggravate the fluctuation of the stock market, the long term, stock market volatility is still increasing. (5) the stock market boom, rising stock market impact on investor sentiment is greater than the stock market downturn caused by the impact of rising stock market return on investor sentiment. The stock market rose will reduce the volatility of the stock market. The innovation of this paper is: (1) using principal component analysis method to construct the investor sentiment index composite. (2) of investors Pathway of emotional impact on the stock market, according to the specific circumstances of Chinese stock market and DSSW model, constructed a single phase noise trader model, transmission and analysis of the influence of investor sentiment on the stock market volatility China. (3) based on the empirical analysis, the China stock market is divided into the stock market during the downturn and two stages are analyzed as follows: (1) the empirical test in the empirical analysis of whether investor sentiment affects the effect of monetary policy on the stock market volatility, with investor sentiment factor. To construct the MS-VAR model respectively for the investor sentiment and stock market returns without considering the two kinds of investor sentiment,, different wave response to monetary policy shocks, the volatility of the stock market to test the role of the influence of investor sentiment on monetary policy. (2) the effect of monetary policy on investor sentiment and non An empirical analysis of symmetry, using the Markov switching model, will be divided into China stock market boom period and the downturn in the stock market, considering the different stages respectively, the impact of monetary policy on investor sentiment, at the same time, the use of regression analysis to extract the impact of monetary policy on investor sentiment. (3) in the empirical analysis influence of investor sentiment on stock market volatility, the construction of MS-VAR model in different stages of the stock market, investor sentiment and stock market returns, volatility between dynamic changes, in order to discuss the different stages in the stock market, the influence of investor sentiment on the stock market volatility.

【学位授予单位】：辽宁大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F832.51;F822.0

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