基于PLS的投资者情绪指标构建及其应用研究

发布时间：2018-03-24 15:47

本文选题：投资者情绪　切入点：偏最小二乘法　出处：《华侨大学》2017年硕士论文

【摘要】：传统的金融学理论假设投资者是理性人,而且资本市场是有效的。然而,行为金融学认为由于异质信念的存在,投资者的决策往往会偏离预期,投资者情绪可能会对资产收益产生影响。大多数学者是运用主成分分析法来构建投资者情绪综合指数的,Huang et al.(2015)认为传统的主成分分析法无法有效消除共同噪声成分,因此改用偏最小二乘法来构建新的投资者情绪综合指数。基于上述背景,本文重新构建了投资者情绪综合指数,并进行投资者情绪综合指数对股票收益影响的实证研究,主要做了以下两个工作:第一,由于我国证券市场的实际情况与美国存在较大差异,本文借鉴Huang et al.(2015)的构建思路,选取2008年4月至2015年6月投资者信心指数、新增A股开户数、市场市盈率以及流通市值加权市场月换手率的数据来构建投资者情绪综合指数,并将其与主成分分析法构建的投资者情绪综合指数进行初步的比较。结果显示二者的走势整体上还是比较一致的,但偏最小二乘法构建的投资者情绪综合指数更能反映我国A股市场的情绪波动。第二,本文将市场溢酬因子、规模因子和账面市值比因子作为控制变量,检验投资者情绪综合指数对股票收益的影响,发现投资者情绪综合指数是除了三因子之外的又一个影响股票收益的因子。本文进一步检验投资者情绪综合指数对融资标的股票收益的影响,结果显示当投资者情绪高涨时,投资者会进行融资交易,从而增加对股票的需求,股票价格上涨,股票收益也随之增加。本文的实证结果表明偏最小二乘法构建的投资者情绪综合指数能够解释股票收益,而且投资者情绪对股票收益有显著的正向影响。
[Abstract]:Traditional financial theories assume that investors are rational people and that capital markets are efficient. However, behavioral finance believes that due to the existence of heterogeneous beliefs, investors' decisions tend to deviate from expectations. Investor sentiment may have an impact on asset returns. Most scholars, Huang et al.2015, who use principal component analysis to construct a composite index of investor sentiment, believe that traditional principal component analysis cannot effectively eliminate common noise components. Therefore, the partial least square method is used to construct a new composite index of investor sentiment. Based on the above background, this paper reconstructs the composite index of investor sentiment, and carries out an empirical study on the impact of the composite index of investor sentiment on stock returns. The main work is as follows: first, because the actual situation of China's securities market is quite different from that of the United States, this paper draws lessons from Huang et al.2015), selects the investor confidence index from April 2008 to June 2015, and increases the number of A-share accounts opened. Market price-earnings ratio and circulation market value weighted monthly turnover ratio data to build a composite index of investor sentiment. And it is compared with the comprehensive index of investor sentiment constructed by principal component analysis. The results show that the trend of the two indexes is still consistent as a whole. However, the composite index of investor sentiment constructed by partial least square method can better reflect the emotion fluctuation in A-share market. Secondly, this paper takes market overflow factor, scale factor and book market value ratio factor as control variables. To test the impact of the investor sentiment composite index on stock returns, It is found that the composite index of investor sentiment is another factor that affects the stock returns in addition to three factors. This paper further examines the influence of the composite index of investor sentiment on the stock returns of the underlying financial target. The results show that when investor sentiment is high, Investors will make financing transactions to increase the demand for stocks, and the stock price will rise, and the stock returns will increase. The empirical results of this paper show that the composite index of investor sentiment constructed by the partial least squares method can explain the stock returns. And investor sentiment has a significant positive impact on stock returns.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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