基于行为传染的股票市场模型研究及实证分析

发布时间：2018-07-05 14:48

本文选题：行为金融学 + 股票市场模型　；参考：《兰州大学》2014年硕士论文

【摘要】：行为金融学是把心理学尤其是行为科学融入到金融学中来解释、研究和预测资本市场现象和问题的学科。投资者行为传染及其对市场的影响,是当前行为金融学乃至整个金融学研究领域的热点问题之一。国内研究主要集中在检验机构投资者的预测能力,而对基于个人投资者行为传染的股票市场模型研究较少。本文在行为金融学框架下,采用定性与定量结合的分析方法、实证分析方法和比较分析方法等,利用金融学、心理学、统计学、动力学等理论工具以及应用计算软件,对投资者行为传染影响股市资金的流动过程进行了研究,借鉴传染病模型的建模思想建立了股票市场模型,并且通过讨论平衡点的稳定性来分析股市的变化情况,得到适用于股票市场的阈值定理,最后利用上证指数对其进行实证分析。本文通过定义传染率和移出率量化了投资者的行为传染,以此为基础构建的模型更为准确的刻画投资者实际投资决策时的行为规律及其对股指的影响。模型的理论研究与实证分析结果均表明股票涨跌情况与传染率和移出率比值的变化一致,呈现非常强的正相关状态,且非线性关系占主导。最后进行了Granger因果检验,得出的结果说明投资者的行为传染是引起股票市场上涨跌变化的原因,即投资者的行为传染影响着股票市场上的涨跌情况,而股票市场上的涨跌情况不是引起投资者行为传染变化的原因。本文基于投资行为传染建立股市指数模型对股票市场进行模拟,分析投资者行为传染与股市波动的关系,以及得出二者相关性和因果关系的结论,本文的研究方法具有创新性以及得到的结论具有很好的应用价值。
[Abstract]:Behavioral finance is a discipline that integrates psychology, especially behavioral science, into finance to explain, study and predict capital market phenomena and problems. Investor behavior contagion and its impact on the market is one of the hot issues in the field of behavioral finance and finance. Domestic studies mainly focus on testing the prediction ability of institutional investors, but less on the stock market model based on individual investor behavior contagion. In this paper, under the framework of behavioral finance, qualitative and quantitative analysis methods, empirical analysis methods and comparative analysis methods are adopted, and theoretical tools such as finance, psychology, statistics and dynamics, as well as applied computing software, are used. This paper studies the influence of investor behavior contagion on the flow of capital in stock market, establishes the stock market model by using the idea of infectious disease model, and analyzes the change of stock market by discussing the stability of equilibrium point. The threshold theorem for stock market is obtained. Finally, the empirical analysis is carried out by using Shanghai Stock Exchange Index. This paper quantifies the behavior contagion of investors by defining contagion rate and moving out rate. Based on this model, the behavior law of investors' actual investment decision and its influence on stock index are described more accurately. The theoretical research and empirical analysis of the model show that the fluctuation of stock price is consistent with the ratio of contagion rate and moving out rate, showing a very strong positive correlation, and the nonlinear relationship dominates. Finally, the Granger causality test is carried out, and the results show that the behavior contagion of investors is the cause of the ups and downs in the stock market, that is, the behavior contagion of the investors affects the ups and downs in the stock market. But the stock market fluctuation situation is not causes the investor behavior contagion change reason. This paper establishes a stock market index model based on investment behavior contagion to simulate the stock market, analyzes the relationship between investor behavior contagion and stock market volatility, and draws a conclusion of the correlation and causality between them. The research method of this paper is innovative and the conclusions obtained have good application value.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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