投资者情绪指标体系的构建及实证检验

发布时间：2018-08-18 12:25

【摘要】：近些年来随着国内对行为金融学研究的深入，发现投资者情绪与股票价格及收益、资产价格的波动都具有很强的相关性，在此背景下，投资者情绪在对资产价格及收益波动的影响上越来越受到投资者的重视。行为金融学是一门综合性非常强的学科，综合了应用心理学、投资者偏好、情感心理学、社会心理学、认知心理学等领域的知识和研究成果。很多前人的研究结果都表明，投资者情绪的变化直接会导致股市的波动，并且这种波动还会随着情绪的蔓延而更加剧烈。这种影响不仅仅造成股市波动，而且对金融资产的价格也会产生很大影响。在整个价格决定和市场波动的过程中投资者情绪都扮演着重要的角色，因此在行为金融学领域对投资者情绪的研究也逐渐流行起来。对投资情绪的研究在实际中也具有重要的意义。投资者情绪与股市在短期的相互关系的研究是十分重要，因为这不仅可以从量上找出投资者情绪对股市的影响程度，而且还可以利用投资者情绪指数来对股市走势及其收益进行有效的预测。其现实意义表现为：在对股市收益及价格走势预测的基础上，为相关监管部门提供对策和建议，对市场进行有效合理的调控，以防止股市出现剧烈的波动，而扰乱市场，导致投机盛行损害投资者利益。本文的主要采用因子分析法构建国内股票市场投资者情绪指数。第一步，先对所构造的指数与收益率之间关系进行分析，找出所构建指数的波动性与收益率波动性的关系，然后根据实际情况对波动曲线进行解释。本文最后的研究结果表明投资者情绪指数与收益率、投资者情绪指数波动与收益率波动都是具有很强的相关性；第二步，再通过实证来检验构造的情绪指数与股市收益的关系，以及对收益的解释程度，，同时与耶鲁-CCER中国投资者信心指数与股市收益的关系进行比较，进而来检验市场现有的耶鲁-CCER投资者情绪指数的对股市收益的影响程度以及对收益的预测能力大小。最后本文所得出的结果是两个指数都具有对收益率的预测能力，但是本文构造的NI指数效果更好；第三步，通过二者实证的检验和比较来验证投资者情绪是否为影响股票均衡价格和收益的的一个重要因素。本文研究结果表明虽然投资情绪指数对股票均衡价格和收益具有较大的影响，但是并不是最重要的因素，因为其影响所占的权重不是很大；第四步，最后对投资者情绪指数在市场中所起的作用进行判别得出结论和启示，为整个股市的良性运行提供政策服务。本文的创新之处：一是把市场上广大个人投资者以及机构投资者的个人预期和对价格的主观反映与价格的走势联系在一起，并且试图找出二者之间所存在的联系，从而能为投资者和市场提供一种新的理论背景下价格发现方式，通过投资者的正反向交易来促进价格向正常值回归；二是通过构造的情绪指数来与市场的情绪指数进行比较性的预测检验，既可以对现有的投资者情绪指数的有效性进行检验，又可以对投资者情绪对市场的解释程度进行测度；三是本文通过投资者情绪对股市收益率和波动两个方面的影响来进行预测，分别把市场现有的投资者情绪指数与本文构造的指数的预测结论进行对比，一则能检验二者与市场收益波动相关性的大小，二则也能检验市场上投资者情绪指数对股市收益率波动的影响程度。本文不足之处：数据相对较少，少部分数据中间不连贯；耶鲁-CCER情绪者指数存在一个问题，即问卷调查数据只反映被调查者的主观意愿，但实际投资时未必真的这样做。
[Abstract]:In recent years, with the in-depth study of behavioral finance in China, it is found that investor sentiment has a strong correlation with stock prices, returns and asset price volatility. Under this background, investor sentiment has been paid more and more attention to the impact of asset prices and returns volatility. Behavioral finance is a comprehensive non-finance. Chang Qiang's discipline combines the knowledge and research results of applied psychology, investor preference, emotional psychology, social psychology, cognitive psychology and other fields. The impact not only causes stock market volatility, but also has a great impact on the price of financial assets. Investor sentiment plays an important role in the whole process of price determination and market volatility. Therefore, the study of investor sentiment in the field of behavioral finance has become increasingly popular.
The research on the relationship between investor sentiment and stock market in the short run is very important, because it can not only find the influence of investor sentiment on the stock market quantitatively, but also make use of the investor sentiment index to make the stock market trend and return effective. Forecast. Its practical significance is as follows: on the basis of forecasting stock market returns and price trends, it provides countermeasures and suggestions for relevant regulatory departments to effectively and reasonably regulate the market so as to prevent violent fluctuations in the stock market, disrupt the market and cause speculation to prevail and damage the interests of investors.
The first step is to analyze the relationship between the index and the yield, find out the relationship between the volatility of the index and the yield volatility, and then explain the volatility curve according to the actual situation. The second step is to test the relationship between the constructed sentiment index and stock market returns, and the degree of interpretation of returns. At the same time, the relationship between the constructed sentiment index and Yale-CCER China's investor confidence index and stock market returns. Finally, the results of this paper are that both indexes have the ability to predict the return, but the NI index constructed in this paper is better; the third step, through the two empirical studies. The results of this study show that although the investment sentiment index has a greater impact on the stock equilibrium price and returns, it is not the most important factor, because the impact of the weight is not very large. Finally, the paper discriminates the role of investor sentiment index in the market and draws conclusions and enlightenment, providing policy services for the healthy operation of the whole stock market.
The innovations of this paper are as follows: Firstly, it links the individual expectations of the vast number of individual investors and institutional investors and the subjective reflection of the price with the price trend, and tries to find out the relationship between the two, so as to provide a new way of price discovery for investors and the market under the theoretical background. Investor's positive and negative trading can promote the return of price to normal value; the second is to construct an emotional index to compare with the market's emotional index, which can not only test the validity of the existing investors'emotional index, but also measure the degree of investors' emotional interpretation of the market; the third is the paper. This paper predicts the return and volatility of stock market through the influence of investor sentiment, and compares the current investor sentiment index with the prediction conclusion of the index constructed in this paper. It can test the correlation between the two indexes and the volatility of market returns, and it can also test the investor sentiment index on the stock market. The degree of fluctuation of market yield.
The inadequacies of this paper are as follows: the data are relatively small and a few of them are inconsistent; there is a problem in the Yale-CCER Emotional Persons Index, that is, the questionnaire data only reflect the subjective wishes of the respondents, but it is not necessarily true to do so when investing.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.9

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