基于ETF基金市场的投资者情绪研究

发布时间：2018-01-01 10:29

本文关键词：基于ETF基金市场的投资者情绪研究　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：作为行为金融理论的前沿与热点,对投资者情绪进行研究具有诸多意义:首先,投资者情绪作为行为金融理论对于经典金融学的重要补充,其研究无疑会完善现有的金融体系;其次,投资者情绪的研究有助于揭示投资者非理性决策的内在逻辑,进而加深我们对于金融资产价格运行规律的理解;最后,投资者情绪的研究有助于市场监管方对投资者心理与市场动态进行有效地掌控,可以为相关政策的制定与实施提供重要的参考依据。本文以行为金融学已有的对投资者情绪的研究成果为出发点,与之前研究的对象多为综合性的股票市场不同,把目光转向新兴的ETF基金市场,将上证50ETF市场作为本文的研究对象。接着借鉴国外成熟市场波动率指数(VIX)的编制方法,通过提取上证50ETF期权市场的交易信息,计算了我国期权市场的VIX指数,并将其作为上证50ETF基金市场投资者情绪的代理指数。本文首先对构建的VIX指数的统计特征及其与ETF市场走势之间的关系进行了研究,接着利用非对称广义异方差模型--EGARCH,研究了ETF市场价格与投资者情绪的互动关系,同时对市场信息对于ETF价格波动和投资者情绪波动的不对称冲击进行了考察,最后利用VAR模型与Granger因果关系检验对ETF市场收益率与投资者情绪变化之间的关系进行了研究。研究结果表明,VIX可以间接反映投资者情绪。ETF价格是投资者情绪显著的正影响因子,反过来,投资者情绪也是ETF价格显著的正影响因子。实证结果显示,市场信息对投资者情绪的冲击和对ETF价格的冲击均为不对称的。其中负面信息对投资者情绪波动产生的冲击,比相同程度的正面信息产生的冲击要大;与之相反,正面信息对ETF价格波动产生的冲击,比相同程度的负面信息产生的冲击要大。最后,Granger因果关系检验表明,投资者情绪变化与ETF收益率互为Ganger因果。这说明,在ETF基金市场上,投资者的市场收益率有助于预测未来投资者的情绪变化,反过来投资者情绪的变化同样有助于预测未来投资者的市场收益率。
[Abstract]:As the frontier and hot spot of behavioral finance theory, the research on investor sentiment has many meanings: first, investor sentiment is an important supplement of behavioral finance theory to classical finance. Its research will undoubtedly perfect the existing financial system; Secondly, the study of investor sentiment helps to reveal the internal logic of investors' irrational decision, and then deepen our understanding of the operating law of financial asset prices. Finally, the study of investor sentiment helps market regulators to effectively control investor psychology and market dynamics. It can provide an important reference for the formulation and implementation of relevant policies. This paper takes the existing research results of behavioral finance on investor sentiment as the starting point. Different from the previous research on the comprehensive stock market, the focus is on the emerging ETF fund market. Taking the Shanghai 50 ETF market as the research object of this paper. Then draw lessons from the foreign mature market volatility index (VIX) compilation method through extracting the trading information of Shanghai 50 ETF option market. The VIX index of Chinese option market is calculated. This paper first studies the statistical characteristics of the constructed VIX index and its relationship with the trend of the ETF market. Then, using the asymmetric generalized heteroscedasticity model (EGARCH), we study the interaction between ETF market price and investor sentiment. At the same time, the asymmetric impact of market information on ETF price volatility and investor sentiment volatility is investigated. Finally, using VAR model and Granger causality test, the relationship between ETF market yield and investor sentiment is studied. The results show that. VIX can indirectly reflect investor sentiment. ETF price is a significant positive influence factor of investor sentiment, in turn, investor sentiment is also a significant positive impact factor of ETF price. The empirical results show that. The impact of market information on investor sentiment and ETF price is asymmetric, and the impact of negative information on investor mood fluctuation is greater than that of positive information to the same extent. On the contrary, the impact of positive information on ETF price volatility is greater than that of the same degree of negative information. Finally, the Granger causality test shows that. Investor sentiment change and ETF yield are Ganger causality. This shows that in ETF fund market, investors' market yield can help predict future investor sentiment change. Changes in investor sentiment, in turn, also help predict future market yields for investors.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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