基于投资者情绪的投资组合收益—风险关系研究

发布时间：2018-02-10 19:34

本文关键词： 投资者情绪投资组合好淡指数收益-风险关系　出处：《重庆大学》2013年硕士论文　论文类型：学位论文

【摘要】：作为一个典型的不成熟新兴市场，中国股票市场与国外成熟股票市场相比还存在较大差别，其产生的“金融异常现象”也更为突出和显著。作为反映投资者心理的重要因素，投资者情绪必然会对投资者行为和决策、进而对股票市场收益和波动性产生重大影响。因此，系统深入地研究投资者情绪对投资组合结构及其收益-风险关系可以给中国股票市场的“金融异常现象”提供一个合理的解释途径，它对于加强中国股票市场的风险管理和控制、改善政府对股票市场的监管效率、进而保障中国股票市场健康、稳定、持续发展都具有非常重要的理论和现实意义。本文首先通过建立基于投资者情绪的投资组合模型从理论上研究了投资者情绪对投资组合结构及其收益-风险关系的影响，其次采用《股市动态分析》杂志发布的“好淡指数”作为投资者情绪的测度指标，以2005年1月1日—2011年12月16日期间的上证综合指数日收盘价数据及《股市动态分析》杂志每周发布的中国股票市场“好淡指数”为研究样本，利用GARCH-M模型实证研究投资者情绪对中国股票市场收益-风险关系的影响。同时从理论和实证两个方面进行了研究。本文的主要研究工作和创新表现在以下几个方面： ①从中国股票市场的制度安排、投资者结构以及行业特征等方面分析我国股票市场投资者情绪的产生因素；结合我国股票市场实际情况、从过度自信、羊群行为和投机心理等方面分析投资者情绪的主要特征。 ②在假设投资者风险厌恶、且其风险厌恶程度受其情绪影响的条件下，以投资者效用最大化为决策目标，建立基于投资者情绪的投资组合模型从理论上研究投资者情绪对投资组合结构及其收益-风险关系的影响。研究结果表明，当投资者过度乐观时，其将通过银行借贷融资等方式购买超额风险资产；当投资者情绪处于相对理性状态时，其将合理分配无风险资产和风险资产的投资比例；当投资者情绪处于悲观状态时，其将卖空风险资产。当投资者情绪处于过度乐观和相对理性状态时，投资组合预期超额收益与风险正相关；当投资者情绪处于悲观状态时，投资组合预期超额收益与风险负相关。 ③采用《股市动态分析》杂志发布的“好淡指数”构造投资者情绪度量指标，以2005年1月1日—2011年12月16日期间的上证综合指数日收盘价数据及《股市动态分析》杂志每周发布的中国股票市场“好淡指数”为研究样本，利用GARCH-M模型实证研究投资者情绪对中国股票市场收益-风险关系的影响。研究结果表明，当投资者情绪处于乐观期间，中国股票市场的收益与风险正相关；当投资者情绪处于悲观期间，，中国股票市场的收益与风险负相关。本文的研究结果表明，投资者情绪对投资组合结构及其收益-风险关系有着显著影响，中国股票市场的暴涨暴跌在一定程度上是由于投资者情绪的不稳定变化造成的。我国证券市场管理部门要特别重视股市中心理因素的作用，要在加强对投资者心理和行为特征研究的基础上，采取有效措施促进证券市场稳定、繁荣。
[Abstract]:As a typical immature and emerging market, China stock market compared with the foreign mature stock market there is a big difference, the "financial anomalies" are more prominent and significant. As an important factor to reflect the psychology of investors, investor sentiment is bound to the behavior of investors and decision-making, which have a significant impact on the stock market return and volatility. Therefore, a systematic study of investor sentiment on the portfolio structure and the return risk relationship can give China stock market "financial anomalies" to provide a reasonable explanation way, it is to strengthen risk management and control Chinese stock market, improve the efficiency of government regulation on the stock market, and security China stock market healthy, stable, and has a very important theoretical and practical significance to sustainable development. This paper based on the theory of investors The portfolio model of emotion on the influence of investor sentiment on the portfolio structure and the return risk theoretically, followed by analysis of market dynamics "magazine published" Haodan index as investor sentiment index, in January 1, 2005 December 16, 2011 the Shanghai Composite Index closing Chinese stock market release Analysis > magazine weekly price data and the stock market "Haodan index as the research sample, using empirical research on the relationship between investor GARCH-M model of emotional return China risk of stock market. At the same time from two aspects of theory and empirical research.
The main research work and innovation in this paper are as follows:
From the China stock market institution, investor structure and the industry characteristics, analysis of China's stock market investors sentiment factors; combined with the actual situation of China's stock market, from overconfidence, herd behavior and psychological speculation and other aspects of the analysis of the main characteristics of investor sentiment.
The assumption of risk aversion, and the degree of risk aversion is affected by the sentiment conditions, with investors to maximize utility for decision-making, establish the model of investment portfolio based on investor sentiment from the theoretical research on the influence of investor sentiment on the relationship between the portfolio structure and the return risk. The results show that, when investors over optimistic that it would buy the excess risk asset by bank lending; when investor sentiment is relatively rational and the rational allocation of riskless asset and risky asset investment ratio; when investor sentiment is pessimistic about the state, the short selling risk assets. When investor sentiment is over optimistic and relatively rational and investment a combination of the expected excess returns and risk; when investor sentiment is pessimistic when the portfolio expected excess return with the wind The risk is related.
The < > analysis published in the journal "Haodan index structure of investor sentiment index stock market, in January 1, 2005 December 16, 2011 the Shanghai Composite Index closing China stock market" magazine published weekly price data analysis and "stock market dynamic good light index" as the research sample, using empirical research on investor GARCH-M model the mood on the relationship between income Chinese risk of stock market. The results show that, when investor sentiment is optimistic, the income and risk of the stock market Chinese positive correlation; when investor sentiment is pessimistic, negative correlation Chinese stock market returns and risks.
The results of this study show that investor sentiment has a significant impact on the relationship between the portfolio structure and the return risk, Chinese stock market spike is caused by instability due to changes in investor sentiment in a certain extent. The management of China's securities market should pay special attention to the stock market center of physical factors, to strengthen the basis for study on the characteristics of investor psychology and behavior, and take effective measures to promote the securities market stability and prosperity.

【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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