投资者情绪对我国股价的影响

发布时间：2017-12-30 19:48

本文关键词：投资者情绪对我国股价的影响　出处：《苏州大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文从行为金融学的角度，试图研究投资者情绪对我国证券市场价格的影响。在梳理了国内外文献后，，选择新开户数、市盈率、流通股换手率和消费者信心指数，运用主成分分析法提取了得到了情绪因子。通过ADF检验发现投资者情绪与上证综指收益率均为平稳性序列，并建立了VAR模型。考虑到投资者情绪对上证综指收益率可能存在的非对称影响，我们在完成VAR模型之后建立了TARCH模型。实证结果表明投资者情绪对上证综指收益率确实存在着杠杆效应，不同的投资者情绪对上证综指收益率的影响是存在差异的。在脉冲响应函数中，我们发现给投资者情绪一个正的冲击，在第一期对上证综指收益率产生明显的正的影响，之后正面影响逐渐减少，到第四期达到极小值后又恢复上涨，此后保持一个平稳的长期正向影响，这充分说明投资者情绪对我国股价有一个长期的复杂的影响。
[Abstract]:From the perspective of behavioral finance, this paper attempts to study the impact of investor sentiment on the price of securities market in China. After combing the domestic and foreign literature, we choose the number of new accounts and the price-earnings ratio. Turnover rate and consumer confidence index, using principal component analysis to extract the emotional factors. Through the ADF test found that investor sentiment and Shanghai Composite Index returns are stable sequence. The VAR model is established, considering the asymmetric influence of investor sentiment on the yield of Shanghai Composite Index. After completing the VAR model, we establish the TARCH model. The empirical results show that investor sentiment does have a leverage effect on the yield of Shanghai Composite Index. The impact of different investor sentiment on Shanghai Composite Index yield is different. In the impulse response function, we find a positive impact on investor sentiment. In the first period of the Shanghai Composite Index yield has a clear positive impact, and then the positive impact gradually decreased, to 4th reached a minimum value and then recovered to rise, and then maintain a stable long-term positive impact. This fully shows that investor sentiment has a long-term complex impact on China's stock price.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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