投资者情绪与财务报告透明度对股票市场影响的实证研究

发布时间：2018-01-07 03:19

本文关键词：投资者情绪与财务报告透明度对股票市场影响的实证研究　出处：《哈尔滨商业大学》2014年硕士论文　论文类型：学位论文

【摘要】：在中国现行资本市场环境下,人们对投资者情绪与财务报告透明度的研究逐步增加,虽然有较多的文献研究了投资者情绪对股票收益的影响和财务报告透明度对股票收益的影响,但尚未发现研究投资者情绪和财务报告透明度两者共同影响股票收益的文献。因此本文采用了规范分析和实证研究相结合的方法,深入的考察和研究了投资者情绪和上市公司财务报告透明度共同对股票市场的影响。文章首先是在对投资者情绪和财务报告透明度相关文献梳理和分析的基础上,分别介绍了投资者情绪和财务报告透明度的概念和计量方法,并基于信息不对称理论、信号传递理论、财务报告披露和质量评价理论、行为金融学理论等理论基础,分别分析了投资者情绪对股票市场影响的作用机理、财务报告透明度对股票市场影响的作用机理以及投资者情绪和财务报告透明度共同对股票市场影响的作用机理,并提出实证研究假设；在理论分析基础上,采用了2008—2012年期间我国深圳证券交易所上市公司的数据为研究样本,选取了成交量、消费者信心指数、新增开户数增长率、换手率4个指标,采用了主成分分析方法构建了投资者情绪复合指数；按照本文对财务报告透明度的定义,借鉴了Ball and Shivakumar (2005)的计量模型,并根据Khan and Watts (2009)的研究成果对其进行了必要的修正,作为财务报告透明度的替代变量,基于前述的投资者情绪和财务报告透明度的度量指标,构建了回归分析模型,分别考察和研究了投资者情绪对股票市场的影响、财务报告透明度对股票市场的影响以及投资者情绪与财务报告透明度共同对股票市场的影响；研究发现,无论投资者情绪处于乐观还是悲观时期,财务报告透明度对股票收益的影响都不显著,投资者情绪是影响股票市场的主要因素；最后根据实证分析结果,分别提出有效引导投资者情绪和有效提高财务报告透明度的建议。
[Abstract]:In the current capital market environment in China, the research on investor sentiment and transparency of financial reporting is gradually increasing. Although there is more literature on the impact of investor sentiment on stock returns and financial reporting transparency on the impact of stock returns. However, there is no literature on the impact of investor sentiment and financial reporting transparency on stock returns. Therefore, this paper adopts the combination of normative analysis and empirical research. The influence of investor sentiment and financial reporting transparency on the stock market is studied. First of all, this paper introduces the concepts and measurement methods of investor sentiment and financial reporting transparency based on the review and analysis of the relevant literatures on investor sentiment and financial reporting transparency. Based on the information asymmetry theory, signal transmission theory, financial report disclosure and quality evaluation theory, behavioral finance theory and other theoretical basis, this paper analyzes the impact of investor sentiment on the stock market. The effect mechanism of financial report transparency on stock market and the mechanism of investor sentiment and financial report transparency on stock market together, and put forward the empirical research hypothesis; On the basis of theoretical analysis, using the data of listed companies in Shenzhen Stock Exchange from 2008 to 2012 as the research sample, the paper selects the trading volume, consumer confidence index and the growth rate of new account opening. Turnover rate of 4 indicators, using the principal component analysis method to construct the composite index of investor sentiment; According to the definition of transparency of financial reporting in this paper, the measurement model of Ball and Shivakumar 2005 is used for reference. And according to the research results of Khan and Watts 2009, it is necessary to revise it as a substitute variable of financial reporting transparency. Based on the aforementioned metrics of investor sentiment and transparency of financial reports, a regression model is constructed to investigate and study the impact of investor sentiment on the stock market. The influence of financial report transparency on stock market and the influence of investor sentiment and financial report transparency on stock market; It is found that no matter investor sentiment is in a period of optimism or pessimism, the influence of transparency of financial statements on stock returns is not significant, and investor sentiment is the main factor affecting stock market. Finally, according to the results of empirical analysis, some suggestions are put forward to effectively guide investor sentiment and improve the transparency of financial reports.
【学位授予单位】：哈尔滨商业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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