中国股票指数心理关口实证研究

发布时间：2018-02-24 23:10

本文关键词： 股票指数心理关口 M值　出处：《苏州大学》2014年硕士论文　论文类型：学位论文

【摘要】：股权分置改革以来,我国股票市场交易非常活跃,不仅中国投资者关注中国的股票市场,许多国外的投资者也逐步研究、关注中国的股票市场,随着中国资本市场的逐步开放,必将吸引国内外投资者的更加深入的参与,对指数的各方面的研究也成为了一个极具意义的课题。各个股评家们以及各财经媒体常在评论各种股票指数时,赋予某些数字特殊的涵义,“某一指数点位”成了关键性的词汇,证券分析师、各财经媒体以及一些投资达人对股票市场的各种各样的评论都是围绕着这些数字,进行解释与说明。他们的解释及说明是否有理论依据,这些指数点位对投资者是否真正具有特殊意义,中国股票指数是否真正存在心理关口效应,值得我们深入研究。本论文第一部分简要介绍了论文的研究背景及意义,给出了有关股票指数的基本知识,从而引出中国股票指数心理关口现象存在的可能性及意义。第二部分主要阐述介绍了国内外有关股票指数心理关口效应的研究。国外这方面理论相对较成熟,国内该方面研究及文献极为欠缺。本文第三部分主要介绍本论文提及或运用的各理论及模型。包括逐步回归法、ARMA模型、Q统计检验、LM检验、ARCH模型和GARCH模型。第四部分为实证分析,主要以2012年1月4日至2014年3月21日的上证综合指数和深证成分指数为分析对象。分别进行了股票指数绝对值心理关口检验和股票指数收益率心理关口检验。第五部分进行了总结分析,得出以下结论： (1)在同样的宏观环境中,无论是上证综合指数还是深证成分指数都存在心里关口效应,但两个指数的心里关口效应表现出明显的差别。上证综合指数在50分位及100分位都存在心理关口现象,而深证成分指数在50分位或100分位的心理关口效应不明显。指数向上突破或向下跌穿50分位、100分位心理关口对股指收益率的影响都非常明显,其中向上突破心理关口对收益率的影响更大。深证成分指数100分位心理关口的回归系数大于上证综合指数,即深证成分指数在100分位心理关口效应更为明显；而深证成分指数50分位心理关口的回归系数要小于上证指数,即上证综合指数在50分位心理关口效应强于深证成分指数。 (2)在回归方程中,前一天及后一天的回归系数与当天的回归系数相比要小很多,这说明投资者对已发生的和即将发生的情况在意较少,影响程度衰减,投资者在做投资决策时更为关注当前的股指变化情况。 (3)无论是上证综合指数还是深证成分指数,100分位心理关口对收益率的回归系数均大于50分位心理关口的回归系数,即100分位心理关口对收益率的影响要大于50分位的心理关口,100分位心理关口效应更明显。
[Abstract]:Since the reform of non-tradable shares, the stock market in China has been very active. Not only Chinese investors have paid close attention to China's stock market, but also many foreign investors have gradually studied and paid attention to China's stock market. With the gradual opening of China's capital market, It will attract more deep participation of domestic and foreign investors, and the research on all aspects of the index has become a very meaningful topic. In commenting on various stock indices, various stock commentators and financial media often assign a special meaning to certain numbers. "A certain index level" becomes the key word, and securities analysts, The various financial media and the various comments of some investors on the stock market revolve around these figures, explaining and explaining whether there is a theoretical basis for their explanation and explanation. Whether these index points are of special significance to investors or not and whether there is a psychological threshold effect in China's stock index is worthy of further study. The first part of this paper briefly introduces the research background and significance of the paper, gives the basic knowledge of stock index, and leads to the possibility and significance of the existence of psychological barrier phenomenon of Chinese stock index. In the second part, the author mainly introduces the research on the psychological barrier effect of stock index at home and abroad. The theory of this field is relatively mature in foreign countries, and the domestic research and literature on this aspect is extremely lacking. The third part mainly introduces the theories and models mentioned or applied in this paper, including the stepwise regression model and the Q statistical test, the LM test and the arch model and the GARCH model. The 4th part is an empirical analysis. Taking the Shanghai Composite Index and the Shenzhen Stock Exchange component Index from January 4th 2012 to March 21st 2014 as the analysis objects, this paper carries out the stock index absolute psychological threshold test and the stock index yield psychological test respectively. The conclusion of the 5th part is as follows:. 1) in the same macro environment, both the Shanghai Composite Index and the Shenzhen Composite Index have the psychological gate effect, but the two indexes show obvious difference. Shanghai composite index has psychological barrier phenomenon in 50 and 100 points, but the psychological barrier effect of Shenzhen stock market component index in 50 or 100 is not obvious. The impact of psychological level of 100 quartile on the return of stock index is very obvious, and the influence of psychological level of breaking through psychological level on the yield is even greater. The regression coefficient of 100 quartile psychological level of Shenzhen Stock Exchange Index is greater than that of Shanghai Composite Index, that is, the effect of Shenzhen component Index is more obvious than that of Shanghai Composite Index, while the regression coefficient of Shenzhen Stock Exchange component Index at 50 points is lower than that of Shanghai Stock Exchange Index. That is, the Shanghai Composite Index is stronger than the Shenzhen Stock Exchange component Index at the psychological level of 50. (2) in the regression equation, the regression coefficient of the previous day and the following day is much smaller than that of the same day, which indicates that investors care less about what has happened and what is about to happen, and the influence degree is attenuated. Investors are more concerned about the current stock index changes when making investment decisions. (3) the regression coefficient of 100 quartile psychological threshold to the return rate is greater than that of 50 psychological level, regardless of the composite index of Shanghai stock market or the component index of Shenzhen Stock Exchange. That is, the psychological threshold of 100 points has more influence on the return rate than that of 50 points, and the psychological level of 100 quartiles is more obvious.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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