投资者情绪对股市收益率及其波动影响的实证研究

发布时间：2018-01-12 09:18

  本文关键词：投资者情绪对股市收益率及其波动影响的实证研究　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

  更多相关文章： 投资者情绪 股市收益率 市场波动 非对称影响

【摘要】：股市的起伏和震荡一直牵动着股票投资者的心。我国股市由于发展时间较短、机构组织不完善、信息不对称、投资者的投资知识和风险意识匮乏等原因,仍隶属于新兴资本市场的范畴。在20多年的发展过程中,我国股市经历了数次剧烈震动,股指暴涨暴跌,收益率起伏巨大。这种现象的出现有政策、体制、世界经济形势等多种多样的影响因素,但其中一个绝对不能忽视的作用力就是投资者的非理性。我国投资者的结构特点鲜明,个人投资者占据极高的比重,而个人投资者由于投资热情高而投资经验少、趋利欲望高而风险意识差等原因,非常容易对股市走势产生错误预期,对资产价格存在估计偏差,从而做出非理性的判断和选择。尤其令人注意的是,我国股票市场中“羊群效应”十分严重,使得大量的个人投资者更加容易被非理性力量裹挟,跟风投资,追涨杀跌,进一步引发股市的波动。行为经济学学者首先注意到了这种非理性的预期偏差带来的影响,并将其称为“投资者情绪”。情绪定义的出现,为研究股市的收益和波动等相关现象提供了新的途径。本文正是在这种背景下,结合我国股市的特点,对我国投资者情绪对股市收益率及其波动的影响展开研究。本文首先选用了消费者信心指数(CCI)、新增投资者开户数(NOA)、A股市盈率(PE)和股市成交量(VOL)等四个指标,采用主成分分析法构建了综合情绪指数,然后以我国A股股票市场为研究对象,建立了包含Fama-French三因子在内的多变量回归模型,针对投资者情绪对股市收益率的影响进行了实证分析,得出了投资者情绪会显著正向影响股市收益率的结论。另外,由于投资者情绪具有双面性,本文又在原有模型中加入了示性函数用来分别探讨乐观情绪和悲观情绪对股市收益率的影响,结果表明双面情绪的影响具有非对称性,且乐观情绪对股市的推动作用与悲观情绪对股市的拉低作用相比更为显著。之后,本文进一步研究投资者情绪的变化对收益率波动的影响,并继续贯彻非对称的思想,建立了包含示性函数的GJR-GARCH模型展开研究。结果显示,投资者情绪转向积极的过程会显著加大股市波动的程度,而情绪低落过程虽对波动有平抑作用,但效果并不明显。总体而言,投资者情绪确实是我国股市收益和波动的重要影响因子,应当予以重视。政府和监管部门应该寻找科学有效的方式对投资者情绪进行一定程度的调控,避免滥用频繁而单一的政策干预手段,要借助新媒体平台的力量对投资者进行相关教育,引导其进行理性思考和科学选择,弱化市场中的非理性力量,从而达到熨平收益波动、保障市场健康有序发展的目的。投资者也应开始认识到情绪的影响力,培养独立理性思考的投资习惯,脱身非理性“羊群”,避免遭受损失。
[Abstract]:The ups and downs of the stock market have always affected the hearts of stock investors. The stock market in our country is short of development time, imperfect organization, asymmetric information, lack of investors' investment knowledge and risk awareness, and so on. Still belong to the category of emerging capital markets. In the development of more than 20 years, China's stock market experienced a number of violent shocks, the stock index rose and plummeted, the rate of return fluctuated greatly. There are policies and systems in this phenomenon. There are a variety of factors affecting the world economic situation, but one of the forces that can not be ignored is the irrationality of investors. The investors in our country have distinctive structural characteristics and individual investors occupy a very high proportion. Individual investors because of high investment enthusiasm and less investment experience, high desire to profit and poor risk awareness and other reasons, it is very easy to have wrong expectations on the trend of the stock market, there is a deviation in the estimation of asset prices. In order to make irrational judgment and choice, it is especially noticeable that the "herd effect" is very serious in our stock market, which makes a large number of individual investors more vulnerable to irrational forces to follow the trend of investment. The behavioral economists first noticed the impact of this irrational expectation deviation and called it "investor sentiment". This paper provides a new way to study the related phenomena of stock market, such as return and volatility. Under this background, this paper combines the characteristics of Chinese stock market. This paper studies the impact of investor sentiment on the stock market yield and its volatility. Firstly, this paper selects the consumer confidence index (CCI) and the number of new investors to open an account (NOAA). In this paper, we use principal component analysis method to construct the comprehensive sentiment index, and then take the A share stock market of China as the research object, which is based on the four indexes of A share price and earnings ratio (PEV) and stock market turnover volume (Vol). A multivariable regression model including three factors of Fama-French is established, and an empirical analysis is made on the influence of investor sentiment on stock market returns. The conclusion is that investor sentiment will significantly positively affect the stock market yield. In addition, investor sentiment has a dual nature. This paper also adds an indicative function to the original model to discuss the impact of optimism and pessimism on stock market returns. The results show that the influence of double-sided emotion is asymmetric. Moreover, the effect of optimism on stock market is more significant than that of pessimism on stock market. After that, this paper further studies the influence of investor sentiment on the volatility of yield. And continue to carry out the idea of asymmetric, the establishment of an indicative function of the GJR-GARCH model to carry out the study. The results show that the positive process of investor sentiment will significantly increase the degree of volatility in the stock market. Although the process of depression has a stabilizing effect on volatility, the effect is not obvious. Overall, investor sentiment is indeed an important factor affecting the stock market returns and volatility in China. The government and regulatory authorities should seek scientific and effective ways to regulate investor sentiment to a certain extent to avoid abuse of frequent and single policy intervention. We should make use of the power of new media platform to educate the investors, guide them to think rationally and choose scientifically, weaken the irrational power in the market, and achieve ironing income fluctuation. Investors should also begin to recognize the influence of emotion, cultivate the investment habit of independent and rational thinking, get rid of irrational "sheep" and avoid loss.
【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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本文编号：1413628