投资者情绪与股市波动性的相关性研究

发布时间：2018-01-15 05:03

本文关键词：投资者情绪与股市波动性的相关性研究　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：投资者情绪与股票市场的相关性研究作为行为金融学的相关分支在证券市场的具体应用,在短期内具有很好的预测作用。股票市场是“资金市”,资金由投资者操作,投资者尤其是人数占优的中小投资者对于证券市场的看法并非完全出于理性,而是带有一定的情绪。海纳模型认为越是理性完备的个体,最优选择越难以预测,其越容易产生创新行为;越是理性不完备的个体,其最优选择行为越是有一定的规律可循。另外个体的非理性投资者对股市的影响虽然可以忽略不计,群体的情绪却是我们必须加以考量的。情绪作为一个主观指标难以量化,但是可以通过选取一些盘口语言、指标等间接的对其进行量化,从国内外诸多研究文献中可以发现,相关学者所构建的指数与实际的大盘走势具有相当强的契合度,可以作为预测指标。同时,投资者的情绪与宏观经济存在着正相关关系,在研究过程中必须考虑到宏观经济对于情绪的影响,因此必须尽可能的剔除这种影响,才使结果更加具有说服力。单从我国的证券市场来看,存在着非常大的不稳定性,与宏观经济的契合度并不完全匹配。因此研究过程中须考虑我国的国情,选取合适的指标。在相关研究过程中,由于我国资本市场独特的现状以及一些指标的不再适用,以往的相关研究尤其是一些指标的选取已不再适用于当前的市场环境。本文在借鉴相关研究方面比较有影响力的思想方法基础上,融入能代表我国证券市场现状的指标,构建一个新的情绪指数并验证其与我国大盘走势的契合度。具体选择了市盈率、换手率、融资融券余额、本时间段交易A股的投资者数量四个客观指标与消费者信心指数、中国证券投资者信心指数两个主观指标,同时从生产、消费与经济景气度三个方面分别选取了工业增加值、消费物价指数、生产价格指数与宏观经济景气指数四个指标作为代表宏观经济基本因素的代理变量,采用回归方法剔除其对所研究对象的干扰,然后使用因子分析法构建了一个投资者情绪指数,发现与大盘指数的走势具有相当强的契合度,最后采用回归分析的方法,发现沪深300指数的实际变化在很大程度上可以用所构建的投资者情绪指数来解释,证明所构建的指数具有一定的参考价值。
[Abstract]:The relationship between investor sentiment and stock market as a specific application of behavioral finance in the securities market, it has a good predictive effect in the short term. The stock market is a "capital market". The capital is operated by the investors, and the investors, especially the middle and small investors with dominant numbers, do not think of the securities market completely out of reason, but have certain emotions. Hainer model thinks that the more rational and complete the individual. The more difficult it is to predict the optimal choice, the easier it is to produce innovative behavior. The more rational the individuals, the more their optimal choice behavior can be followed. In addition, the impact of individual irrational investors on the stock market can be ignored. As a subjective indicator, emotion is difficult to quantify, but it can be indirectly quantified by selecting some dish-mouth language, indicators and so on. From many domestic and foreign research literature, we can find that the index constructed by relevant scholars has a strong agreement with the actual market trend, and can be used as a prediction index. There is a positive correlation between investor sentiment and macro-economy. In the process of research, the influence of macroeconomic on emotion must be taken into account, so we must eliminate this influence as far as possible. Only from the stock market in China, there is a very large instability, and the degree of compatibility with the macroeconomic does not fully match. Therefore, we must consider the situation of our country in the process of research. In the relevant research process, due to the unique situation of China's capital market and some indicators are no longer applicable. Previous studies, especially the selection of some indicators are no longer applicable to the current market environment. Integration can represent the current situation of China's securities market indicators, build a new emotional index and verify its compatibility with the trend of China's stock market. The specific choice of price-earnings ratio, turnover ratio, margin margin balance. This period trading A shares of the number of investors in four objective indicators and consumer confidence index, China securities investor confidence index two subjective indicators from the production at the same time. Three aspects of consumption and economic climate are selected industrial added value, consumer price index, production price index and macroeconomic boom index as the proxy variables representing the basic macroeconomic factors. The regression method is used to eliminate the interference to the research object, then the factor analysis method is used to construct an investor sentiment index, and it is found that there is a strong agreement with the trend of the market index. Finally, the regression analysis method is used to find that the actual change of Shanghai and Shenzhen 300 index can be explained by the investor sentiment index to a great extent, which proves that the constructed index has certain reference value.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F713.55;F832.51

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