上证综合指数天气效应研究

发布时间：2018-06-28 02:44

本文选题：行为金融学 + 天气　；参考：《北京交通大学》2017年硕士论文

【摘要】：随着行为金融学研究的兴起,越来越多的学者得出投资者不是“理性人”,而是有限理性自然人的结论,同时结合具有中国特色的股票市场的现实背景,提出了“天气-投资者情绪-投资者行为-股票市场波动”的新角度传导机制假设。为了验证股票市场的天气效应,选取上证综合指数和上海等五个地区的天气进行实证研究,即以“上证综合指数的报酬率、换手率和波动率”为因变量,以“天气指标(气温、气压、湿度等)和天气变化指标(气温波动率、气压波动率、湿度波动率等)”为自变量,通过进行EGARCH(1,1)拟合,来探讨天气和上证综合指数的关系。最终研究结果表明,上证综合指数存在天气效应。首先,影响上证综合指数报酬率的因素有光照、气压和气压波动率三个天气变量。光照(云层覆盖量少)、气压和气压波动率与上证综合指数收益率呈现显著正相关。其次,影响上证综合指数换手率的天气因子有光照、气温、湿度、温度波动率、湿度波动率和气压波动率六个指标,可见影响换手率的因素明显比影响收益率的因素要多,这也表明换手率更能直接反映天气对投资者行为的影响。就天气指标对换手率的影响来说,光照与上证综合指数换手率是显著的负相关关系,而气温、湿度与上证综合指数换手率是显著的正相关关系。就天气变化指标对换手率的影响来说,除了温度波动率与换手率是正相关关系之外,其他天气变量对换手率是负向影响。最后,本文还研究了上证综合指数波动率与天气变量之间的关系。研究表明,天气变化指标对波动率的影响比天气指标对波动率的影响更加显著。气温波动率的增大,会导致上证综合指数波动率的增强;气压的波动率的增高,会导致股票市场波动率的减弱。综上所述,天气的确可以通过影响投资者的情绪,进而影响投资者的行为,来对上证综合指数的报酬率、换手率和波动率产生影响,尤其是对换手率影响明显。本研究在一定程度上丰富了行为金融学理论,特别是天气因素对投资决策影响方面。
[Abstract]:With the rise of behavioral finance, more and more scholars come to the conclusion that investors are not rational people, but natural persons with limited rationality, and combine with the realistic background of the stock market with Chinese characteristics. A new angle transmission mechanism hypothesis of "weather-investor sentiment-investor behavior-stock market volatility" is proposed. In order to verify the weather effect of the stock market, the weather of Shanghai Composite Index and Shanghai are selected for empirical research, that is, "return rate, turnover rate and volatility rate of Shanghai Composite Index" are taken as dependent variables, and "Weather Index (temperature)" is taken as dependent variable. The relationship between weather and Shanghai Composite Index is discussed by using EGARCH (1 ~ 1) fitting, and the index of weather change (temperature volatility, pressure volatility, humidity volatility, etc.) as independent variables. The final research results show that the Shanghai Composite Index has weather effect. First of all, the factors influencing the return of Shanghai Composite Index are three weather variables: illumination, barometric pressure and barometric volatility. Light (less cloud cover), pressure and pressure volatility and Shanghai Composite Index yield showed a significant positive correlation. Secondly, the weather factors affecting the turnover rate of the Shanghai Composite Index are light, temperature, humidity, temperature volatility, humidity volatility and atmospheric pressure volatility. It can be seen that there are more factors affecting the turnover rate than those affecting the return rate. This also shows that the turnover rate can more directly reflect the impact of the weather on investor behavior. As far as the influence of weather index on turnover rate is concerned, there is a significant negative correlation between light and turnover rate of Shanghai Composite Index, while there is a significant positive correlation between temperature, humidity and turnover rate of Shanghai Composite Index. In terms of the influence of the weather change index on the turnover rate, other weather variables have a negative effect on the turnover rate in addition to the positive correlation between the temperature fluctuation rate and the turnover rate. Finally, the relationship between the volatility of Shanghai Composite Index and weather variables is studied. The results show that the influence of weather index on volatility is more significant than that of weather index on volatility. The increase of temperature volatility will lead to the increase of Shanghai Composite Index volatility, and the increase of atmospheric pressure volatility will lead to the weakening of stock market volatility. To sum up, the weather can affect the return rate, turnover rate and volatility rate of Shanghai Composite Index, especially on the turnover rate by affecting investor sentiment and then the behavior of investors. To some extent, this study enriches behavioral finance theory, especially the influence of weather factors on investment decision.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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