我国投资者情绪与上证A股收益的关系研究

发布时间：2018-01-12 00:25

本文关键词：我国投资者情绪与上证A股收益的关系研究　出处：《南京师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着金融业的快速发展,证券市场已经成为国际范围内的重要投融资渠道。它不仅为企业融通资金提供了广阔的平台,同时也吸引了越来越多的个人投资者参与到市场中,使得他们的生活更加经济化、信息化。然而证券市场发展的同时,也产生了一系列的问题,市场中出现了很多传统金融学难以解释的异常现象,比如封闭式基金折价之谜、日历效应等。为了解释这些金融异象,经济学家们将社会学、心理学、经济学等学科结合起来发展了一门新学科——行为金融学。投资者情绪是行为金融学中的研究热点,它研究投资者的行为决策对股票市场的影响。本文结合了前人的研究和我国股票市场的特点,通过理论和实证分析建立了一个投资者情绪指数,并研究其与股票收益率的关系。为排除主观指标可能存在的随意性,所选指标均为客观指标,采用2005—2011年的月度数据,以我国上证A股月收益率作为股票收益率指标。通过主成分分析法进行降维,最终用换手率、封闭式基金折价率、IPO首日收益、市盈率这4个成分构建了投资者情绪指数。建立VAR模型回归分析投资者情绪指数与股票收益率的影响关系。由于2007年金融危机的爆发,我国股票市场受到了很大的冲击,因此本文将样本区间分成2005年-2007年和2008年-2011年进行分析比较。得到结论：换手率、封闭式基金折价、IPO首日收益和市盈率能够通过主成分分析法构建一个较好的投资者情绪指数；换手率和市盈率与投资者情绪指数正相关,与股票收益率负相关,封闭式基金折价率和IPO首日收益率与投资者情绪指数负相关,与股票收益率正相关；投资者情绪指数与股票收益率负相关。对于投资者情绪的研究是符合股票市场实际需要的。我国股票市场金融异象频现,尤其如今正处于市场极度低迷的阶段,投资者情绪脆弱,因此对于投资者情绪波动与股票收益的研究具有重要的现实意义。经济意义：有利于投资者了解其情绪的客观影响因子,正确面对市场信息,并进行合理投资；有利于股票市场的稳定发展。政策建议：增强信息披露透明度；加强对证券公司的监管力度,减少并杜绝恶意传播市场信息的行为；引导投资者正确认识市场；建立完善的风险规避制度。
[Abstract]:With the rapid development of the financial industry, the securities market has become an important channel for investment and financing in the international scope. It not only provides a broad platform for financing, but also attracted more and more investors to participate in the market, making their lives more economic information. However, the development of the securities market at the same time. It also caused a series of problems in the market, there are a lot of traditional finance difficult to explain anomalies, such as the closed-end fund discount puzzle, calendar effect. In order to explain these anomalies, economists are sociology, psychology, economics and other disciplines together and develop a new discipline of behavior finance. Investor sentiment is a hot research topic in finance, its influence behavior of investors on the stock market. This paper combines the previous research and China's stock market The characteristic of the field is to establish an investor sentiment index through theoretical and empirical analysis, and to study the relationship between the investor's emotional index and the stock return rate.
In order to exclude the subjective indicators of possible randomness, the selected indicators are objective indicators, using monthly data from 2005 to 2011, with China Shanghai A shares monthly returns as the stock yield index. The dimensionality reduction based on principal component analysis, the final turnover rate, the discount rate of closed-end fund, IPO first day return the 4 components of earnings, build investor sentiment index. VAR model regression analysis of investor sentiment index and stock return. In 2007 due to the outbreak of the financial crisis, China's stock market has been a great impact, this paper will be divided into the sample interval during 2005 -2007 and 2008 -2011 were analyzed and compared. Conclusion: the exchange rate, the discount of closed-end fund, IPO's earnings and price earnings ratio to build a better investor sentiment index by principal component analysis; turnover rate and earnings and investors Sentiment index is positively correlated with stock returns. Negative correlation between closed-end fund discount rate and IPO first day return rate is negatively correlated with investor sentiment index, positively correlated with stock returns, and investor sentiment index is negatively correlated with stock returns.
The stock market is in line with the actual needs of the research on investor sentiment. Financial anomalies are frequent in the stock market of our country, especially in the market is now extremely depressed, sentiment is fragile, so it has important practical significance for the study of investor sentiment volatility and stock returns. The economic significance for investors to understand the influence of objective emotional factor right, in the face of market information, and make reasonable investment; conducive to the stable development of the stock market. Policy suggestions: to enhance the transparency of information disclosure; strengthen the supervision of the securities companies, to reduce and eliminate malicious dissemination of market information to guide investors to understand the market behavior;; establish and improve the system of risk aversion.

【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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