我国证券市场投资者情绪的测度及其对市场收益的影响研究

发布时间：2018-04-15 03:27

本文选题：行为金融理论 + 投资者情绪测量　；参考：《湖南师范大学》2014年硕士论文

【摘要】：上世纪80年代末开始,金融市场中出现了一系列的惊人震荡、泡沫和经济危机,使基于“完全理性人”和“有效市场假说”的经典金融学理论受到了巨大的挑战和普遍质疑。行为金融学融合了金融学、心理学和社会学等学科的重要研究成果,修正了标准金融学中完全理性人假设,认为认知过程的偏差、情绪、情感和偏好等心理方面的原因使投资者无法以理性方式做出无偏估。本文从行为金融学中的投资者情绪理论出发,以2006.06-2013.06的我国证券市场的月度公开交易数据为样本,选取了消费者信心指数、封闭基金折价率、市场成交量、市场换手率和新增开户数等5个情绪直接或间接指标,利用主成分分析法,构建了符合中国证券市场特征的投资者情绪综合测量指数,并运用该指数对我国证券市场收益进行了深入研究。在实证部分中,文章基于Fama-French的三因素模型和资本资产定价(CAPM)模型,利用已构造的投资者情绪指数,从时间序列和截面数据两个角度出发,对我国证券市场整体收益、不同行业特征、不同板块的指数的证券收益和按市值规模和账面市值比两个市场风险因素进行分类排序构造的5×5结构的25种证券组合的截面收益进行了深入分析。实证分析的主要结论有以下几点：1、投资者情绪对市场整体收益之间具有双向相关关系。尤其当情绪指数滞后4期时,对市场收益具有显著的正向影响。2、投资者情绪对各个行业和不同板块的证券收益的冲击程度有差异,而且冲击的表现方式呈现多样化,收益在滞后期经常出现反转现象。3、通过情绪指数与5×5结构的25种证券组合收益的回归分析,证实了情绪对证券市场收益具有横截面影响,即投资者情绪对难以定价和难以套利的证券收益的影响较大。
[Abstract]:At the end of the 1980s , a series of alarming shocks , bubbles and economic crises appeared in the financial markets , and the classical financial theories based on " complete rational people " and " effective market hypothesis " were challenged and generally questioned . Behavioral finance combines the important research results of finance , psychology and sociology .

Based on the investor sentiment theory in behavioral finance , this paper takes five emotional direct or indirect indicators , such as consumer confidence index , closing fund discount rate , market volume , market exchange rate and new opening number , based on the monthly public transaction data of China ' s securities market in 2006 . 06 - 2013 . By using principal component analysis method , the investor sentiment comprehensive measurement index conforming to the characteristics of China ' s security market is constructed .

Based on Fama - French ' s three - factor model and Capital Asset Pricing ( CAPM ) model , this paper makes an in - depth analysis on the stock returns of stock market , different industry characteristics , index of different sectors , and the cross - sectional benefits of 25 securities combinations based on the market capitalization and book market value of 5 脳 5 structure .

The main conclusions of the empirical analysis are as follows : 1 . The investor sentiment has a two - way correlation between the overall income of the market . Especially when the emotional index lags behind the four periods , there is a significant positive impact on the market earnings .

【学位授予单位】：湖南师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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