投资者理性情绪与投资者非理性情绪对股市收益影响的比较研究

发布时间：2018-02-05 18:54

本文关键词： 投资者理性情绪投资者非理性情绪多元回归模型向量自回归模型　出处：《华南理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：投资者情绪是行为金融学的重要研究领域,本文将对投资者情绪对股市收益的影响进行研究,具体包括投资者理性情绪、投资者非理性情绪、股市收益间的引导关系研究及互动关系研究,以期对投资者心理特征和中国证券市场有更深的认识。为实现研究目的,本文首先对己有的研究成果进行了评述,在此基础上,对现有的各种投资者情绪指数进行了总结和梳理。然后,通过主成分分析构建了投资者情绪,并通过建立多元回归模型,把投资者情绪分解为投资者理性情绪与投资者非理性情绪。接下来,利用格兰杰因果检验,对投资者理性情绪、投资者非理性情绪与股市收益三个变量进行分析,确定投资者情绪与收益间及不同投资者情绪间的互动引导关系。最后,通过建立向量自回归模型,利用脉冲响应分析和方差分解分析,研究了投资者理性情绪与投资者非理性情绪与各类股票指数之间的动态关系。研究结果表明,投资者理性情绪、投资者非理性情绪与股市收益的互动关系存在明显区别,投资者情绪对不同类型股票指数的影响亦存在明显差异；投资者非理性情绪是影响股市收益的重要因子。
[Abstract]:Investor sentiment is an important research field in behavioral finance. This paper will study the impact of investor sentiment on stock market returns, including investor rational emotion, investor irrational emotion. In order to understand the psychological characteristics of investors and the securities market in China, the research on the guiding relationship and the interactive relationship between stock market returns and stock market is carried out in order to get a deeper understanding of the psychological characteristics of investors. In order to achieve the purpose of the research, this paper first reviews the existing research results, and then summarizes and combs the existing investor sentiment index. Through principal component analysis to construct investor sentiment, and through the establishment of multiple regression model, the investor sentiment is decomposed into investor rational emotion and investor irrational emotion. Next, Granger causality test is used. This paper analyzes the three variables of investor rational emotion, investor irrational emotion and stock market return, and determines the interactive and guiding relationship between investor emotion and return and between different investor emotions. By establishing a vector autoregressive model, using impulse response analysis and variance decomposition analysis, the dynamic relationship between investor rational emotion and investor irrational emotion and various stock indices is studied. The results show that there are obvious differences between investor's rational emotion, investor's irrational emotion and stock market return, and the influence of investor's emotion on different stock index. Investors' irrational sentiment is an important factor affecting stock market returns.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】