投资者情绪与沪市A股市场收益和波动率的影响关系研究

发布时间：2018-03-04 08:34

本文选题：投资者情绪综合指标　切入点：市场收益　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：传统金融学理论认为参与市场的投资者是理性的,而且都追求自身利益最大化,但是众多的实证研究发现市场上存在很多无法用传统金融学解释的“异象”,针对这些“异象”,学者们又展开大量研究,并在此基础上逐渐形成以行为金融学为理论背景的投资者情绪理论,该理论认为投资者并非是全部理性,人们在投资决策的过程中总是会受情绪的影响,从而产生行为偏差。越来越多的文献证明投资者情绪是影响股市收益和波动率的重要因素,该理论已经成为近年来行为金融学的研究热点。因此研究投资者情绪对了解我国证券市场特征,正确指引投资者的行为,保障证券市场的安定、有序、持续发展具有重要意义。本文在前人研究的基础上,选取了封闭式基金折价率、股票市场换手率、新增A股开户增长率、消费者信心指数、交易量、上市首日收益率、市场市盈率、IPO数量、上市首日换手率九个代理指标,运用主成分分析构建了一个投资者情绪综合指标CISI,接着运用OLS回归模型、VAR自回归模型和格兰杰因果检验对沪市A股市场整体收益率和波动率进行实证分析,此外,还单独用格兰杰因果检验了CISI对沪市A股市场分阶段(牛、熊市及横盘时期)的收益和波动率的因果关系,最后对CISI与证监会行业收益和波动率的影响关系进行实证研究。本文的研究表明,本文构建的CISI和上证综指收益率有一致的整体走势,说明具有较好的拟合性。OLS回归结果表明投资者综合情绪指标对沪市A股市场收益率和波动率具有正向的显著影响,并且对收益率的影响程度大于波动率。VAR模型和格兰杰因果检验结果表明投资者情绪和沪市A股市场收益互为显著.的正向预期影响关系和互为格兰杰原因；投资者情绪对预期股票市场波动率也产生显著正向的影响,是造成市场波动的格兰杰原因。但反过来,市场波动率对预期投资者情绪的影响是不确定的,而且波动率也不是引致投资者情绪的格兰杰原因。分阶段格兰杰因果检验表明在沪市A股市场上,投资者情绪和市场收益、波动率之间的因果关系在牛市表现的较显著,但是在熊市和调整期,两者的关系并不确定。行业分类的回归结果表明,投资者情绪与证监会行业收益和波动率显著正相关,而且其影响存在明显的差异性。
[Abstract]:The traditional theory of finance holds that investors who participate in the market are rational and all pursue the maximization of their own interests. However, many empirical studies have found that there are many "anomalies" in the market that cannot be explained by traditional finance. In view of these "anomalies", scholars have carried out a large number of studies. On this basis, the investor sentiment theory based on behavioral finance is gradually formed, which holds that investors are not all rational, and people are always influenced by emotion in the process of investment decision. More and more documents prove that investor sentiment is an important factor affecting stock market returns and volatility. This theory has become a hot research topic in behavioral finance in recent years. Therefore, studying investor sentiment can help us understand the characteristics of our securities market, guide the behavior of investors, and ensure the stability and order of the securities market. On the basis of previous studies, this paper selects closed-end fund discount rate, stock market turnover rate, new A-share account opening growth rate, consumer confidence index, trading volume, return on the first day of listing. The number of IPOs on the market price-earnings ratio, the nine proxy indicators of the turnover rate on the first day of the market, This paper constructs a comprehensive index of investor sentiment using principal component analysis (PCA), and then uses OLS regression model and Granger causality test to analyze the overall yield and volatility of Shanghai A-share market. Granger causality is also used to test the causality of CISI to the earnings and volatility of Shanghai A-share market in stages (bull, bear and horizontal). Finally, the paper makes an empirical study on the relationship between CISI and industry returns and volatility of CSRC. The research shows that the yield of CISI and Shanghai Composite Index constructed in this paper has the same overall trend. The results of OLS regression show that investors' comprehensive emotional indicators have a positive and significant impact on the return and volatility of Shanghai A-share market. And the influence degree of return is greater than volatility. VAR model and Granger causality test results show that investor sentiment and Shanghai A-share market returns are significant, the positive expected impact relationship and Granger cause; Investor sentiment also has a significant positive impact on the expected stock market volatility, which is the cause of the market volatility. In turn, the impact of the market volatility on the expected investor sentiment is uncertain. Moreover, volatility is not the Granger cause of investor sentiment. The stepwise Granger causality test shows that the causal relationship between investor sentiment, market returns and volatility in Shanghai A-share market is significant in the bull market. However, the relationship between bear market and adjustment period is uncertain. The regression results of industry classification show that investor sentiment is significantly positively correlated with industry returns and volatility of CSRC, and there are obvious differences in their effects.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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