A股投资者情绪与股市收益的关系研究

发布时间：2018-01-14 10:00

本文关键词：A股投资者情绪与股市收益的关系研究　出处：《对外经济贸易大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文通过研究国内外《关于投资者情绪与股市收益关系》相关文献，结合在股市多年的实践经验，从理论研究到实践分析，结合本论文研究的2005年9月到2014年3月期间中国股市发展现状和所接触的个人投资者、机构投资者的心态变化历程，提出了利用行为金融学来研究A股投资者情绪与股市收益关系的实用性和必要性。本文的研究方法，首先选定了IPO首日收益率（RIPO）、IPO数量、新增开户数、A股平均换手率（TURNOVER）、交易量等五个具有代表性的情绪代理变量，采用的主成分分析法，构造出一个综合的投资者情绪指数。然后建立VAR模型和Tgarch-M，分析了牛市和熊市各个时期，投资者情绪与股市收益之间的互动关系和互动关系中的非对称效应。经过实证分析，得出以下两个主要结论：第一，，基于VAR模型的投资者情绪与股市收益关系结论通过研究得出，牛市期间，投资者情绪和股票收益率之间都存在双向的格兰杰因果关系，熊市期间，投资者情绪与股票收益之间不存在双向的格兰杰因果关系。而且相比较而言，收益率对于投资者情绪的影响更为显著。第二，利用Tgarch-M模型得出的关于非对称性效应研究结论投资者情绪对于股市收益的非对称性影响表现在牛市期间股票收益受乐观情绪影响大，悲观情绪被忽略，熊市期间则恰好相反。股票收益率对投资者情绪的非对称性影响也表现在牛市期间收益率上涨更明显影响投资者情绪，股票收益下降被忽略，熊市期间则恰好相反。本文通过研究投资者情绪与股市收益之间关系，得出的结论对于投资者进行股票投资具有一定的指导意义，也对监管层增强监管、出台促进股市走向成熟的措施提供一定的理论依据。
[Abstract]:Through the research on the relationship between investor sentiment and stock market returns at home and abroad, this paper combines the practical experience in the stock market for many years, from theoretical research to practical analysis. Combined with the development of Chinese stock market from September 2005 to March 2014 in this paper and the changes of individual investors and institutional investors. This paper puts forward the practicability and necessity of using behavioral finance to study the relationship between investor sentiment of A shares and stock market returns. The research method of this paper, first selected the first day yield of IPO, the number of new IPO, the number of new accounts, A share average turnover rate (TURNOVERR). The principal component analysis method is used to construct a comprehensive investor sentiment index. Then the VAR model and Tgarch-M are established. This paper analyzes the interactive relationship between investor sentiment and stock market returns and the asymmetric effect in each period of bull market and bear market. Through empirical analysis, the following two main conclusions are drawn: First, the conclusion of the relationship between investor sentiment and stock market returns based on VAR model. Through the study, during the bull market, there is a two-way Granger causality between investor sentiment and stock yield, during the bear market. There is no bidirectional Granger causality between investor sentiment and stock returns. Second, the conclusion about asymmetric effect obtained by Tgarch-M model. The asymmetric impact of investor sentiment on stock market returns is reflected in the bullish period when stock returns are strongly affected by optimism and pessimism is ignored. During the bear market, the opposite is true. The asymmetric effect of stock yield on investor sentiment is also reflected in the higher yield during the bull market, and the decline in stock returns is ignored. The opposite is true during bear markets. Through the study of the relationship between investor sentiment and stock market returns, the conclusion has a certain guiding significance for investors to invest in stocks, but also to strengthen the supervision of the regulatory layer. The introduction of measures to promote the maturity of the stock market to provide a certain theoretical basis.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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