爆炸事件、投资者情绪和股票市场

发布时间：2018-03-19 11:05

本文选题：投资者情绪　切入点：爆炸事件　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：有效市场假说假设投资者基本上是理性的。即使有一部分是非理性的,它们的交易方向总体而言较为随机,对整个市场的影响会相互抵消。因此对价格的影响几乎为零。即使有一部分非理性投资者的交易方向相同,理性的套利会将价格拉回基本面。行为金融学领域的学者在许多方面对有效市场假说提出了挑战,并假设投资者是非理性的,而且套利是受限制的。对有限套利的研究针对的是理性投资者,而整个经济学对理性投资者的研究是较为成熟的。因此我们对于投资者情绪的理解远小于对于套利受限的理解。本文将爆炸事件作为对投资者情绪的一个代替。按照爆炸事件的时间和省份抓取上市公司作为样本。检验事件窗口爆炸事件省份内所有公司的异常收益率的反应。理性来讲,爆炸事件对省内的公司是有可能有一定的冲击的。然而分析该省个别公司受到此爆炸事件的影响需要足够的技术和注意力。而往往投资者的注意力是有限的,有限的注意力使得投资者无法关注足够多的有效信息来做出理性的选择,并且使得投资者倾向于吸收类别化的信息,比如某个行业,地区或是板块的公司信息。因此省份作为一个类别,很有可能成为爆炸事件的投资者情绪的载体,使得公司名字中含有明确省份信息的公司所受到的冲击较为快速,集中和显著。而同样设立于爆炸事件省份的公司,名字中没有明确的省份信息,受到的冲击较为缓慢,分散,而且显著性较弱。作为稳健性检验,本文分别用CAPM模型和四因子模型计算异常收益率。在名字中含有省份信息的公司和不含省份信息的公司的对比中,为了消除公司本身特征差异所导致的差异。对两组公司在同一省份,同一年份中对企业年龄,市值和账面市值比进行倾向性得分匹配。最后为了消除样本期间特大事件的负面影响,还对特大事件期,如亚洲金融危机,2008金融危机期间做了样本的删除。
[Abstract]:The efficient market hypothesis assumes that investors are rational basically. Even if one part is irrational, their overall trading direction is random, impact on the market will offset each other. So the impact on prices is almost zero. Even if there is a part of the same trade in the direction of non rational investors, rational arbitrage will the price back to the fundamentals. The field of behavioral finance scholars in many aspects of the efficient market hypothesis challenges, and assuming that investors are irrational, and arbitrage is limited. Research on limited arbitrage for the rational investors, and the whole economics research of rational investors is relatively mature. So we have to investor sentiment understanding is far less than for arbitrage limited understanding. The explosion as a substitute for investor sentiment. In accordance with the explosion time and provinces Grab a sample of listed companies. All the test of event window explosion within the province abnormal return response. Rational terms, company explosion in the province is likely to have a certain impact. However, the analysis of individual companies affected by the explosion of technology and need enough attention. But often the attention of investors limited attention is limited, investors can not pay attention to enough useful information to make a rational choice, and investors tend to absorb the categories of information, such as an industry, regions or sectors of the company information. So the provinces as a category, is likely to become the carrier of the explosion of investor sentiment make clear information, containing provinces in the name of the company, the company has been the impact of a more rapid and significant. While the same concentration and set up in the explosion incident A company, there is no clear information provinces in the name of the impact is relatively slow, but significant dispersion, weak. As a robustness test, this paper used the CAPM model and four factor model to calculate abnormal returns. In the name of the province contains information and does not contain a contrast information of the company, in order to eliminate the difference caused by the difference of the company itself characteristics. On two groups of Companies in the same province, the same year in the age of the enterprise, the market value and book value ratio of propensity score matching. Finally, in order to eliminate the negative effects of large events during the sample period, but also of large events, such as the Asian financial crisis, the 2008 financial period the sample crisis deleted.

【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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