基于行为财务学的中国证券市场投资策略实证研究

发布时间：2018-01-01 02:36

本文关键词：基于行为财务学的中国证券市场投资策略实证研究　出处：《中南林业科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：中国证券市场经历近二十年的发展,无论是投资结构还是投资规模都发生了巨大的变化,根据中国证监会的数据显示,从2008年到2012年间,我国沪深股市总市值从12.14万亿元增加到23.04万亿元,4年的时间增加了大约一倍,总股本为从24522.85亿股增长到38395亿股,投资者开户总数从10449.69万户到2012年的的2.097亿户,增幅接近100%,其中2012年个人投资者的开户数为19893万户,机构投资者的开户数为108万户。但是目前,我国证券市场中投资者存在各种认知和情绪偏差,导致投资理念尚未成熟,投资策略也有待于进一步发展,而行为财务学从投资者的心理和行为关系出发,弥补了传统财务理论的不足,解释了证券市场诸如过度自信、反转效应,处置效应等异常现象,行为财务学作为行为经济学的一个分支,将人们的财务行为,以财务信息在流程中所体现出来的作用及效果为研究对象,探讨投资决策过程,行为财务主要强调客观市场环境对财务行为的反作用。本文试图从投资者的有限理性出发,以沪深股市A股作为研究对象,运用相关经济学理论、行为财务学理论、行为分析方法和实证分析方法,对中国证券市场中投资者的有限理性、行为偏差和投资策略进行较为深入的研究,以此提出对投资者有针对性的投资策略建议,期盼对改善投资决策和提高市场效率会有一些帮助。首先通过对标准财务理论中投资策略的局限性进行分析的基础上,基于行为财务理论对投资者的投资行为偏差进行分析,然后进一步对中国证券市场上投资者的各种行为偏差进行深入的探讨,并在此基础上针对中国投资者的各种有限理性提出相应的行为投资策略。本文主要就价值投资策略和反转投资策略在中国证券市场的有效性进行深入的理论分析。其次,为了检验理论分析所得出的结论,本文首先就价值投资策略进行实证检验,然后解释了价值投资策略产生的原因,在对原因进行分析的基础上,提出了运用反转投资策略的理念,并比较了采用价值投资策略和反转投资策略投资于样本股票的收益情况,证明了两种投资策略在国内股市的有效性和适用性。最后,实证研究证明,在牛市中,运用价值投资策略能够给投资者带来更多的收益,而在熊市中,投资者通过构建一个套利组合,结合运用反转投资策略,在两年持有期内的任何月份均可以获利。
[Abstract]:China's securities market has experienced nearly two decades of development, both investment structure and investment scale have undergone tremendous changes, according to the data of the China Securities Regulatory Commission, from 2008 to 2012 years. The total market value of China's Shanghai and Shenzhen stock market increased from 12.14 tillion yuan to 23.04 tillion yuan, and the total capital stock increased from two tillion four hundred and fifty-two billion two hundred and eighty-five million shares to three tillion eight hundred and thirty-nine billion five hundred million shares in four years. The total number of accounts opened by investors rose from one hundred and four million four hundred and ninety-six thousand and nine hundred to 209.7 million in 2012, an increase of nearly 100, of which 198.93 million were opened by individual investors on 2012. The number of institutional investors accounts is 1.08 million, but at present, there are a variety of cognitive and emotional deviations among investors in our securities market, resulting in the investment concept is not yet mature, investment strategies need to be further developed. Behavioral finance makes up for the deficiency of traditional financial theory from the psychological and behavioral relationship of investors, and explains the abnormal phenomena such as overconfidence, reverse effect, disposition effect and so on. Behavioral finance, as a branch of behavioral economics, takes the financial behavior of people as the object of study on the role and effect of financial information in the process, and probes into the investment decision-making process. Behavioral finance emphasizes the reaction of objective market environment to financial behavior. Based on the limited rationality of investors, this paper takes A shares in Shanghai and Shenzhen stock markets as the research object, using relevant economics theory, behavioral finance theory, behavioral analysis method and empirical analysis method. This paper makes a deep study on the limited rationality, behavioral bias and investment strategy of investors in China's securities market, and puts forward targeted investment strategy suggestions for investors. Look forward to improving investment decisions and market efficiency will have some help. Firstly, on the basis of analyzing the limitation of investment strategy in the standard financial theory, this paper analyzes the investor's investment behavior deviation based on behavioral finance theory. Then the author makes a further study of the investors' behavior bias in China's securities market. On the basis of this, the author puts forward corresponding behavioral investment strategies in view of the limited rationality of Chinese investors. This paper makes a deep theoretical analysis on the effectiveness of value investment strategy and reverse investment strategy in China's securities market. . Secondly, in order to test the conclusions of the theoretical analysis, this paper first carries on the empirical test to the value investment strategy, then explains the reason of the value investment strategy, on the basis of the analysis of the reason. This paper puts forward the idea of using reverse investment strategy, and compares the return of investment in sample stock with value investment strategy and reverse investment strategy. It proves the validity and applicability of the two investment strategies in the domestic stock market. Finally, empirical research proves that in bull market, using value investment strategy can bring more income to investors, while in bear market, investors use reverse investment strategy by constructing a arbitrage portfolio. You can make a profit in any month during a two-year period.
【学位授予单位】：中南林业科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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