不同市场态势下投资者情绪与市场收益关系实证研究
发布时间:2018-08-02 18:44
【摘要】:中国的证券市场还不是一个成熟有效的市场,股票市场中个体投资者居多,他们对于理性的价值投资认识不足,市场中存在着很多的非理性行为,传统的金融理论并不适合我国证券市场的现状。本文对于投资者情绪的研究可以引起投资者对情绪的潜在影响因素的注意,对于提高监管部门的监管效率、加强中国股票市场的风险管理和控制,进而保障中国股票市场稳定、健康的发展都具有非常重要的理论和现实意义。本研究通过构建投资者情绪指数,探讨在不同市场态势下投资者的情绪变化与市场收益率之间的相互作用关系。具体思路:首先清晰的界定投资者情绪的概念,并从其定义和内涵角度出发,选择更为直接的反映投资者情绪的市场指标,利用主成分分析法,构建投资者情绪指数。然后,借鉴非参数诊断法,根据样本期间(2003.1-2017.3)的上证综指划分市场态势。通过格兰杰因果检验确定各阶段内两者是否具有格兰杰因果关系,并进一步研究相应时段内投资者情绪变化与市场收益率间的相互影响程度和显著性。得到如下结果:在全样本阶段和股市上升阶段1,当期和历史市场收益率都对投资者情绪变化存在正向影响,而且当期市场收益率对投资者情绪变化的幅度的影响大于历史收益率的影响。在股市下降阶段、股市上升阶段2和上升阶段4,投资者情绪与市场收益之间无格兰杰因果关系,相互之间的影响没有统计意义上的显著性。投资者的情绪变化对当期收益率的影响只有在全样本阶段表现显著。在全样本阶段和不同市场态势下各分样本阶段的结论不同,说明投资者情绪变化与市场收益率之间的作用机理存在区别。
[Abstract]:China's securities market is not yet a mature and effective market. In the stock market, individual investors are the majority. They do not know enough about rational value investment, and there are a lot of irrational behaviors in the market. The traditional financial theory is not suitable for the present situation of China's securities market. The study of investor sentiment in this paper can arouse investors' attention to the potential influencing factors of emotion, improve the regulatory efficiency, strengthen the risk management and control of China's stock market, and then ensure the stability of China's stock market. Healthy development has very important theoretical and practical significance. By constructing investor sentiment index, this study explores the interaction between investor sentiment change and market yield under different market conditions. Concrete thinking: firstly, the concept of investor sentiment is clearly defined, and from the angle of its definition and connotation, the author chooses the market index which reflects investor sentiment more directly, and constructs investor sentiment index by principal component analysis. Then, using the nonparametric diagnosis method for reference, the market situation is divided according to the Shanghai Composite Index of the sample period (2003.1-2017.3). The Granger causality test is used to determine whether there is a Granger causality between the two in each stage, and the degree and significance of the mutual influence between investor sentiment change and market yield in the corresponding period are further studied. The results are as follows: in the whole sample stage and the stock market rising stage 1, both current and historical market yields have positive effects on the changes of investor sentiment. Moreover, the influence of current market yield on investor sentiment is greater than that of historical return. There is no Granger causality between investor sentiment and market returns in the declining stage, the second stage and the fourth stage in the stock market, and there is no statistical significance between the influence of each other. The effect of investor mood change on current yield is significant only in the whole sample stage. The conclusions in the whole sample stage and in the different market situation are different, which indicates that there are differences in the mechanism between the investor sentiment change and the market rate of return.
【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
[Abstract]:China's securities market is not yet a mature and effective market. In the stock market, individual investors are the majority. They do not know enough about rational value investment, and there are a lot of irrational behaviors in the market. The traditional financial theory is not suitable for the present situation of China's securities market. The study of investor sentiment in this paper can arouse investors' attention to the potential influencing factors of emotion, improve the regulatory efficiency, strengthen the risk management and control of China's stock market, and then ensure the stability of China's stock market. Healthy development has very important theoretical and practical significance. By constructing investor sentiment index, this study explores the interaction between investor sentiment change and market yield under different market conditions. Concrete thinking: firstly, the concept of investor sentiment is clearly defined, and from the angle of its definition and connotation, the author chooses the market index which reflects investor sentiment more directly, and constructs investor sentiment index by principal component analysis. Then, using the nonparametric diagnosis method for reference, the market situation is divided according to the Shanghai Composite Index of the sample period (2003.1-2017.3). The Granger causality test is used to determine whether there is a Granger causality between the two in each stage, and the degree and significance of the mutual influence between investor sentiment change and market yield in the corresponding period are further studied. The results are as follows: in the whole sample stage and the stock market rising stage 1, both current and historical market yields have positive effects on the changes of investor sentiment. Moreover, the influence of current market yield on investor sentiment is greater than that of historical return. There is no Granger causality between investor sentiment and market returns in the declining stage, the second stage and the fourth stage in the stock market, and there is no statistical significance between the influence of each other. The effect of investor mood change on current yield is significant only in the whole sample stage. The conclusions in the whole sample stage and in the different market situation are different, which indicates that there are differences in the mechanism between the investor sentiment change and the market rate of return.
【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
【参考文献】
相关期刊论文 前10条
1 刘桂荣;颜梦雅;金永红;;对投资者情绪与股市崩盘风险关系的检验[J];财会月刊;2017年05期
2 饶兰兰;Q迷H,
本文编号:2160361
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