基于合竞行为视角的中美股市投资者行为研究

发布时间：2018-06-26 10:45

本文选题：合竞行为 + 收益率分布　；参考：《杭州电子科技大学》2017年硕士论文

【摘要】：现有观点认为理性行为是一种竞争行为,行为结果使得市场达到竞争性均衡;而与之对应的“非理性”行为是否就可以认为是一种合作行为,行为结果是否使市场达到合作性均衡。学者们对投资者行为中合作与竞争关系的认识偏差,也就导致了理性行为与非理性行为的对立;在投资行为的实证研究指标中,学者们往往仅考虑非理性行为,而没有考虑理性行为。而现实中投资行为不是单纯竞争或合作,而是合作与竞争并存的行为。正是在这一背景下,本文提出了从合竞行为的视角,试图用一个统一的框架研究理性行为与非理性行为中的合作与竞争关系,并用收益率的分布状态与风险态度这两个指标度量投资者行为中的合作与竞争程度。本文借用了经典经济学的产品之间合竞关系与理性行为分析框架,揭示了金融资产之间的合竞关系,进一步分析了投资者行为所面临的需求曲线与供给曲线的合竞关系。通过模型研究发现:理性行为与非理性行为是对立统一的,他们统一之处在于投资者所面临的需求曲线与供给曲线都是合竞曲线,他们的行为也都是合竞行为;对立之处在于理性行为假设投资者只有一种风险厌恶的态度,从而可以达到合竞均衡,而非理性行为认为投资者的风险态度会改变,甚至是风险爱好者,无法达到合竞均衡。根据本文的结论,理性行为和非理性行为是一种风险态度不同的合竞行为,因此文章采用收益率的分布状态和风险态度这两个指标度量投资者合竞行为中的合作竞争程度。收益率的分布状态被用来判断投资者是理性的合竞行为还是非理性的合竞行为:当收益率是正态分布,衡量的是一种理性的合竞行为;当收益率呈现正偏分布时,投资者的行为是偏好合作的合竞行为;负偏分布时,投资者的行为是偏好竞争的合竞行为。但是,收益率的分布状态仅仅验证了投资者合竞行为的宏观情况,还需要另选指标具体考察投资者合作竞争程度。风险态度代表投资者对待风险的一种观点,可以用风险补偿系数衡量。而投资者对待风险的态度不同,可以将之分为理性行为与非理性行为,也就代表了合作竞争的不同程度。本文就采用了投资者风险补偿系数这个指标衡量投资者合作竞争程度,构建GARCH-M模型,选取中美股市4个综合指数数据,以投资者整体行为为研究对象,实证检验的中美两国的投资者合作竞争程度。实证得出以下结果:按照收益率标准,中美股市中的上证指数、标准普尔指数、创业板指数和纳斯达克指数的收益率序列都呈现负偏态分布,即四个市场中的投资者行为都是偏好于竞争的合竞行为;按照风险补偿系数,上证市场的投资者风险补偿系数最小,即上证市场投资者的合竞行为最偏向于竞争;其次是创业板市场,接着是纳斯达克市场,最后是标准普尔指数市场。美国股市的合作竞争程度均小于中国股市,这也表明美国投资者相对中国的投资者而言更具有合作精神。实证结果基本符合预期,这也更加验证了本文的理论思想,说明合竞行为理论能够很好的解释投资者的行为,特别是对理性行为与非理性行为的对立统一问题给予了全面的诠释。同时,根据中美两国市场综合数据实证研究结果,分析两国市场上投资者合作竞争程度的差异,从而帮助投资者做出合理的决策,促进我国股市的稳定。
[Abstract]:The existing view holds that rational behavior is a competitive behavior, and the result of the behavior makes the market achieve a competitive equilibrium; and whether the corresponding "irrational" behavior can be considered as a cooperative behavior, whether the result of the behavior makes the market achieve a cooperative equilibrium. It leads to the antagonism between rational behavior and irrational behavior. In the empirical research indicators of investment behavior, scholars tend to consider irrational behavior and do not consider rational behavior. In reality, investment behavior is not only competition or cooperation, but coexistence of cooperation and competition. The perspective of behavior tries to use a unified framework to study the relationship of cooperation and competition in rational and irrational behavior, and to measure the cooperation and competition in investor behavior with the two indexes of the distribution state of the rate of return and the risk attitude. This paper borrows the competitive relationship and rational behavior analysis between the products of the classic economics. The framework reveals the competitive relationship between financial assets and further analyzes the competing relationship between the demand curve and the supply curve facing investor behavior. Through the model study, it is found that rational behavior and irrational behavior are the unity of opposites, and their unity lies in the competition between the demand curve and the supply curve facing investors. The opposite is that the rational behavior assumes that the investor has only a risk aversion, which can achieve a competitive equilibrium, and the irrational behavior thinks that the investor's risk attitude will change, and even the risk lover can not reach the competitive equilibrium. Rational behavior is a kind of competing behavior with different risk attitude, so the article uses the two indexes of the distribution state of the yield and the risk attitude to measure the degree of cooperation in the investor's competing behavior. The distribution state of the yield is used to judge whether the investor is rational or irrational, or the irrational competing behavior: when the rate of return is The normal distribution is a rational competitive behavior. When the yield is positive, the investor's behavior is the cooperative behavior of preference cooperation; the investor's behavior is a competitive behavior of preference when the negative bias is distributed. However, the distribution state of the rate of return only proves the macro situation of the investor's competing behavior, and it also needs to be selected. The index specifically examines the degree of investor cooperation. The risk attitude represents an investor's view of the risk, and it can be measured by the risk compensation coefficient. The investor's attitude to the risk is different, which can be divided into rational and irrational behavior, and it also represents the different degree of the cooperation competition. This article adopts the investor's wind. The risk compensation coefficient is used to measure the degree of investors' cooperation and competition, constructs the GARCH-M model, selects 4 comprehensive index data of China and the US stock market, and takes the investor's overall behavior as the research object, and empirically tests the cooperation and competition of the investors between China and the United States. The standard & Poor index, the gem index and the NASDAQ index have a negative skewness distribution, that is, the investors' behavior in the four markets is a competitive competitive behavior. According to the risk compensation coefficient, the investor's risk compensation coefficient of the Shanghai stock market is the least, that is, the competition behavior of the Shanghai stock market investors is most biased to Yu Jing. Second, the GEM market, followed by the Nasdaq market, and finally the standard & Poor's index market. The United States stock market is less competitive than the Chinese stock market, which shows that American investors are more cooperative than Chinese investors. The empirical results are basically consistent with the expectation, which also validates the theoretical ideas of this article. It shows that the theory of competition behavior can explain the behavior of investors well, especially to explain the contradiction and unity of rational behavior and irrational behavior. At the same time, according to the results of the empirical research on the comprehensive data of China and the United States, this paper analyzes the difference of the degree of competition of investors in the two countries' market, thus helping investors to make a conclusion. A reasonable decision to promote the stability of the stock market in China.
【学位授予单位】：杭州电子科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F837.12

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