投资者注意力、市场波动和各股联动的关系研究

发布时间：2018-08-07 18:51

【摘要】：本文主要分析宏观经济波动对投资者有限注意力分配、市场波动以及股票随市场联动的影响。首先提出了当宏观市场信息到来时,投资者注意力分配、市场波动以及各股联动变化的4个假说；接着运用投资者注意力分配最优化模型给假说的提出予以理论模型支持,模型详细阐释了假说3和假说4的主要依据——宏观经济波动时,由于市场的不确定性增加,投资者会将有限注意力由各股转移到市场信息上以降低自己对将来收益的不确定性；最后通过实证分析,论证所提出的假说。实证结果为：(1)宏观经济波动的当天,市场波动和各股联动均增加,符合所提出的4个假说；(2)高价股面对宏观经济波动时,各股联动先增加,在宏观经济波动后第一天开始降低,符合假说3,即面对宏观经济波动,投资者会将有限注意力转移到市场信息上,随后第二天将注意力转移回到各股特质信息上；(3)低价股面对宏观经济波动时符合假说4,即面对宏观经济波动,投资者会将更多的注意力投入和转移到市场信息上,并且对宏观经济波动信息的处理不仅限于宏观经济波动当天,信息处理完后会将注意力从市场信息转回到各股特质信息上；(4)市场的波动在宏观经济波动后的第二天开始降低,是高价股和低价股的投资者注意力转移共同作用的结果。实证总体上论证了投资者注意力资源的分配随时间变化而变化,当宏观经济波动到来时,市场波动和各股联动增加,投资者会将注意力更多投入到市场信息上,当信息完全被处理后,投资者再将原先转移的注意力重新投入到各股特质信息上,同时市场波动和各股联动降低。
[Abstract]:This paper mainly analyzes the influence of macroeconomic fluctuation on investor's limited attention distribution, market fluctuation and stock interaction with the market. Firstly, four hypotheses of investor's attention distribution, market fluctuation and stock linkage change are put forward when macro market information comes into being, and then the theory model of investor's attention distribution optimization model is used to support the hypothesis. The model explains in detail the main basis of hypothesis 3 and hypothesis 4-macroeconomic fluctuations, due to increased market uncertainty, Investors will shift their limited attention from each share to market information to reduce their uncertainty about future returns. Finally, through empirical analysis, the hypothesis is demonstrated. The empirical results are as follows: (1) on the day of macroeconomic fluctuation, the market volatility and the linkage of each share increase, which accords with the four hypotheses put forward; (2) when the high price stocks face the macroeconomic fluctuation, the stock linkage increases first. The first day after the macroeconomic fluctuation began to decrease, in line with hypothesis 3, that is, in the face of macroeconomic fluctuations, investors will shift their limited attention to market information, and the following day will shift their attention back to the information about the characteristics of each share; (3) Low-price stocks are in line with hypothesis 4, that is, in the face of macroeconomic fluctuations, investors will pay more attention to market information. Moreover, the processing of macroeconomic fluctuation information is not limited to the same day of macroeconomic fluctuation. After processing the information, the attention will be shifted from market information to the specific information of each stock. (4) Market fluctuations begin to decrease the next day after macroeconomic fluctuations. High-priced stocks and low-priced stocks of investors focus on the result of diversion. The empirical results demonstrate that the distribution of investors' attention resources changes with time. When macroeconomic fluctuations come, the market volatility and the linkage of stocks will increase, and investors will pay more attention to market information. When the information is completely processed, investors redirect their original attention to the specific characteristics of each share, while the market volatility and the linkage of each share are reduced.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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