我国投资者情绪度量及其与股市关系研究

发布时间：2018-04-05 06:19

本文选题：投资者情绪　切入点：股市收益　出处：《西北大学》2017年硕士论文

【摘要】：上世纪七十年代末以来,金融研究者发现证券市场出现了许多有悖于标准金融理论的投资者异常行为及金融市场异象。如股票溢价之谜和股价过度波动之谜、规模优先效应、长期逆转现象、规模—价格比的预测能力、动量交易现象、盈利公告效应、红利之谜、投资分散化不足、过度交易和卖出决定之谜等。这些难以用标准金融理论解释的金融异象对标准金融理论产生强烈冲击,标准金融理论的完备体系面临了金融现实的挑战。我国自90年代初建立证券市场以来资本市场发展迅速。但目前我国金融制度还不完善、金融监管不到位、中小散户居多。由此导致的股市暴涨暴跌现象频繁。如股市长期与经济增长背离、最近股市出现的“千股涨停”、“千股跌停”、“妖股”现象。由此看来我国资本市场投资的情绪化明显。以投资者情绪作为理论基础来研究分析我国证券市场具有显著的优势,并且对于完善我国证券二级市场具有指导意义。本文从行为金融角度思考我国证券市场上出现的一些现象,从行为金融学相关理论出发,分析了投资者情绪的产生的心理过程以及对人的行为决策产生的影响、如何较好的度量我国投资者情绪以及投资者情绪与股票市场之间相互关系。本文的创新点在于不仅使用了最新包括2015年股市大震荡行情的数据对投资者情绪和股市关系进行实证,而且根据股市的规模特征对投资者情绪和不同规模股票的关系进行了实证分析。本文首先综合叙述了行为金融学、投资者情绪以及投资者情绪与股市关系的相关理论。其次,从行为金融学的角度分析了投资者情绪与股市的作用机制以及相关理论模型。然后,选择新增投资者开户数、市场换手率、IPO规模、消费者信心指数和封闭式基金折溢价率五个指标通过主成分分析构建了能很好反应我国投资者情绪的综合指标。最后,利用向量自回归模型对投资者情绪变化与总体股票市场收益进行实证;利用广义自回归条件异方差模型对投资者情绪波动与股市波动、不同规模市值股市波动关系进行实证。通过实证研究得到如下结论:1、投资者情绪变化对沪深300收益率有显著的正向影响。投资者情绪变化与股票市场收益互为格兰杰原因。2、股市收益率的波动与投资者情绪的波动正相关,也就是说情绪波动增加了股市风险。3、大盘股收益与投资者情绪变化关系并不显著,也不存在ARCH效应,即投资者情绪波动不会对大盘股波动产生显著影响。4、中小盘股收益与投资者情绪变化关系显著有显著性影响,且都存在ARCH,即投资者情绪波动值对中小盘股的波动有显著影响。5、投资者情绪变化对小盘股的影响大于中盘股的影响,说明我国情绪投资者更倾向于投机小盘股股票。
[Abstract]:Since the late 1970s, financial researchers have found that there are many abnormal behaviors of investors and anomalies of financial markets that are contrary to the standard financial theory in the securities market.Such as the riddle of stock premium and excessive volatility of stock price, scale priority effect, long-term reversal phenomenon, predictive power of scale to price ratio, momentum trading phenomenon, profit announcement effect, dividend mystery, insufficient diversification of investment,The mystery of overtrading and selling decisions, etc.These financial anomalies, which are difficult to explain by standard financial theory, have a strong impact on standard financial theory, and the complete system of standard financial theory is facing the challenge of financial reality.China's capital market has developed rapidly since the establishment of the securities market in the early 1990's.But at present, our financial system is not perfect, financial supervision is not in place, small and medium-sized retail investors are the majority.As a result, the stock market skyrocketing and plummeting frequently.For example, the stock market has deviated from economic growth for a long time. Recently, the stock market has seen the phenomenon of "thousands of stocks", "thousands of stocks falling by the limit" and "evil stocks".In view of this, China's capital market investment is obvious emotional.Using investor sentiment as the theoretical basis to study and analyze China's securities market has significant advantages and has guiding significance for the perfection of our country's secondary securities market.Based on the theory of behavioral finance, this paper analyzes the psychological process of investor emotion and its influence on people's behavior decision.How to measure investor sentiment and the relationship between investor sentiment and stock market.The innovation of this paper is not only to use the latest data, including the stock market volatility in 2015, to demonstrate the relationship between investor sentiment and the stock market.And according to the scale characteristics of the stock market, the relationship between investor sentiment and stocks of different sizes is analyzed empirically.In this paper, the theory of behavioral finance, investor sentiment and the relationship between investor sentiment and stock market is introduced.Secondly, it analyzes the action mechanism of investor sentiment and stock market and relevant theoretical models from the perspective of behavioral finance.Then, we choose the new investors to open accounts, market turnover rate and IPO size, consumer confidence index and closed-end fund discount premium rate through principal component analysis to construct a comprehensive index that can well reflect the investor sentiment in China.Finally, we use the vector autoregressive model to demonstrate the change of investor sentiment and the overall stock market returns, and use the generalized autoregressive conditional heteroscedasticity model to analyze the volatility of investor sentiment and stock market.Market value different scale stock market fluctuation relation carries on the demonstration.Through empirical research, the following conclusions are drawn: 1: 1, the change of investor sentiment has a significant positive effect on the yield of Shanghai and Shenzhen 300.The change of investor sentiment and stock market income are Granger's cause. The volatility of stock market yield is positively related to the volatility of investor sentiment.That is to say, the emotional fluctuation increases the stock market risk. 3. The relationship between the return of large-cap stocks and the change of investor sentiment is not significant, and there is no ARCH effect.That is, investors' emotional fluctuation will not have a significant impact on the volatility of large-cap stocks. 4. The relationship between the returns of small and medium-sized stocks and the changes of investor sentiment has a significant impact.All of them have arch, that is, the fluctuation value of investor's emotion has a significant influence on the volatility of small and medium-sized stocks, and the change of investor's sentiment has more influence on small-cap stocks than on mid-cap stocks, which indicates that Chinese emotional investors tend to speculate on small-cap stocks.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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