基于效用函数的投资者行为研究

发布时间：2017-12-31 00:34

本文关键词：基于效用函数的投资者行为研究　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来，金融全球化的趋势已经越来越明显，它在促进世界经济的发展，，实现资源的最优配置的同时也无法避免的产生金融市场的异象和波动。传统的金融理论已经无法应对这种时代性的变化，国内外学者也已从传统的对股价、股利、收入的研究转变为对金融市场上的投资者心理、偏好、投资者决策制定过程的研究。 2008年的金融危机给经济学的研究学者们敲响了警钟，这场危机，令人们对现存金融体制的合理性提出质疑，于是，更契合金融市场实际情况的行为金融学为人们指明了研究的方向，成为研究金融市场异象的有力工具。行为金融学假设投资者存在个体偏好或理念偏差，且存在损失厌恶现象，即面对风险，人们的偏好并不一致。当风险与收益相连，人们表现为风险厌恶；当风险与损失相连，人们则更愿意寻求风险。基于上述原因，本文在前景理论的框架上，综合金融学、数学和统计等众多学科的研究成果，以我国主要股票市场上的投资者心理为研究对象，以效用函数为模型基础，借助Matlab、Excel等编程计量工具以及Gamma函数考察了效用函数对投资者行为的理论解释，并利用中国股票市场的股票指数分别对相应的理论结果进行了实证检验。研究结果表明，我国主要股票市场的损失厌恶下界大约在1-3之间，且损失厌恶下界随曲率参数差的增大而增大，主板市场的投资者对于投资于风险资产带来的损失相对于中小板和创业板的投资者来说更加敏感，即存在一个更大的损失厌恶系数。本文的研究对于行为金融学的理论进行了深化和发展，不仅有利于学者对投资者行为进行更加深入的研究，更便于监管当局从微观层面管理金融市场，引导中小投资者进行合理的投资行为，提高股市的投资决策能力，推动经济体制健康有序的发展。
[Abstract]:In recent years, the trend of financial globalization has become more and more obvious, it is promoting the development of the world economy. To achieve the optimal allocation of resources at the same time can not avoid the emergence of financial market anomalies and fluctuations. The traditional financial theory has been unable to cope with the changes of the times, domestic and foreign scholars have also been from the traditional stock price. The research of dividend and income is transformed into the research of investor psychology, preference and investor decision-making process in financial market. In 2008, the financial crisis sounded the alarm bell for the scholars of economics. This crisis made people question the rationality of the existing financial system. Behavioral finance, which is more in line with the actual situation of financial markets, points out the direction of research and becomes a powerful tool for studying the anomalies of financial markets. Behavioral finance assumes that investors have individual preferences or deviations of ideas and loss aversion, that is, in the face of risk, people's preferences are not consistent. When risk and income are linked, people behave as risk aversion; When risk is linked to loss, people are more willing to seek risk. Based on the above reasons, this paper studies the psychology of investors in the main stock market of our country on the frame of prospect theory, synthesizing the research results of many disciplines such as finance, mathematics and statistics. On the basis of utility function model, the theoretical explanation of utility function to investors' behavior is investigated by means of programming tools such as Matlab Excel and Gamma function. The corresponding theoretical results are tested by using the stock index of Chinese stock market. The results show that the lower bound of loss aversion in the main stock market of our country is about 1-3. And the lower bound of loss aversion increases with the increase of curvature parameter difference. Investors in the main board market are more sensitive to the loss caused by investing in risky assets than the small and medium-sized board and gem investors. That is, there is a greater loss aversion coefficient. The research of this paper deepens and develops the theory of behavioral finance, which is not only helpful for scholars to study investor behavior more deeply, but also more convenient for regulatory authorities to manage the financial market from the micro level. We should guide small and medium-sized investors to carry out reasonable investment behavior, improve the investment decision-making ability of the stock market, and promote the healthy and orderly development of the economic system.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】