投资者情绪对中小板指收益率影响的实证分析

发布时间：2018-09-09 13:16

【摘要】：本文研究投资者情绪对中小板指收益率的影响。本文借鉴BakerWurgler(2006)的方法，从筛选综合情绪因子和理性预期因子入手。选择短期好淡指数和中期好淡指数分别作为短期和中期综合情绪因子指标。理性预期因子的选择基于扩展的fama-french三因子模型，最终选择大盘股对小盘股溢价、高价股对低价股溢价、市场溢酬因子、封闭基金折价率和A股市场换手率作为理性预期因子。通过BW模型，得到短期理性情绪因子、短期非理性情绪因子；中期理性情绪因子、中期非理性情绪因子；理性情绪因子、非理性情绪因子三组指标。本文第三章首先构造出这三组指标，然后分别讨论这三组指标与中小板指收益率的关系；第四章分别使用向量自回归模型以及马尔科夫框架下的向量自回归模型探讨这三组指标与中小板指收益率的关系；最后是本文的结论部分。通过实证分析，本文得出以下结论： 1、情绪因子，无论是中期、短期、理性或非理性，对同期中小板指收益率的影响均是正向的，即情绪因子的增大会导致中小板指收益率的增大。 2、理性情绪因子变化的趋势相对缓慢，，非理性情绪因子的波动相对剧烈。这反映市场出理性预期的具有持久性，而非理性的预期则具有不可持续性。 3、从情绪因子与中小板指收益率的动态关系研究可以得知，中期情绪因子对中小板指收益率的持续影响大于短期情绪因子；理性情绪因子对中小板指收益率的持续影响大于非理性情绪因子。 4、具体到不同的滞后期，不同类型的情绪因子对中小板指收益率的影响比较复杂，中期情绪因子中不同滞后期的中期理性情绪因子和中期非理性情绪因子对中小板指收益率的影响以互相抵消为主，短期情绪因子中不同滞后期的短期理性情绪因子和短期非理性情绪因子对中小板指收益率的影响以互相加强为主，这将导致中小板指收益率在短期受情绪因子影响波动较大，而在中期以后受情绪影响逐渐变小。 5、理性情绪因子的一阶和四阶滞后，无论是短期还是中期，对中小板指收益率的影响均是负的；二阶和三阶滞后，无论是短期还是中期，对中小板指收益率的影响均是正的，因此，从预测的角度来讲，当期理性因子对后一期中小板指收益率的影响是相反的方向。
[Abstract]:This paper studies the effect of investor sentiment on the yield of small and medium board index. Based on BakerWurgler's (2006) method, this paper starts with the screening of comprehensive emotional factors and rational expectation factors. Select short term good light index and medium term good light index as short term and medium term comprehensive emotion factor index respectively. The rational expectation factor is based on the extended fama-french three-factor model, and the rational expectation factors are the premium of large-cap stock to small-cap stock, the premium of high-priced stock to low-price stock, the premium of market overpayment, the discount rate of closed fund and the turnover rate of A-share market. Through BW model, three groups of indexes are obtained: short-term rational emotional factor, short-term irrational emotional factor, medium-term rational emotional factor, medium-term irrational emotional factor, rational emotional factor and irrational emotional factor. The third chapter first constructs the three groups of indicators, and then discusses the relationship between the three groups of indicators and the return rate of small and medium-sized board index. The fourth chapter uses the vector autoregressive model and the vector autoregressive model under the Markov framework to explore the relationship between the three groups of indicators and the return rate of the small and medium plate index. Finally, the conclusion of this paper is given. Through the empirical analysis, this paper draws the following conclusions: 1, emotional factors, whether medium-term, short-term, rational or irrational, have a positive impact on the return rate of small and medium-sized boards in the same period. That is, the increase of emotional factors will lead to the increase of the return rate of small and medium-sized boards. 2, the trend of the change of rational emotional factors is relatively slow, and the fluctuation of irrational emotional factors is relatively violent. This reflects the persistence of rational expectations in the market and the unsustainability of irrational expectations. 3. From the study of the dynamic relationship between emotional factors and the rate of return of small and medium-sized board indicators, we can know that, The lasting influence of medium term emotion factor on small and medium board index yield is greater than that of short term emotion factor, and rational emotion factor has more influence on medium and small board index return rate than on irrational emotion factor. 4, specific to different lag period, The influence of different types of emotional factors on the yield of small and medium board index is more complex. The influence of different lag period of medium term emotion factor and medium term irrational emotion factor on medium and small board index yield is mainly offset by each other. Among the short-term emotional factors, the short-term rational emotional factors and the short-term irrational emotional factors mainly strengthen each other, which will lead to the small and medium board index yield fluctuating greatly in the short term by the emotional factors. After the medium term, the influence of emotion gradually becomes smaller. 5. The first and fourth order lag of rational emotion factor is negative, the second and third order lag, whether in the short or medium term, the influence on the index yield of small and medium-sized board is negative, the second order and the third order lag, the second order and the third order lag, No matter in the short term or in the medium term, the effect on the yield of small and medium scale board is positive, therefore, from the perspective of prediction, the effect of current rational factor on the rate of return of small and medium-sized board index in the following period is in the opposite direction.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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