投资者情绪与中国股市价格互动关系研究

发布时间：2018-05-18 06:37

本文选题：投资者情绪 + 股价指数　；参考：《湘潭大学》2013年硕士论文

【摘要】：行为金融学理论认为，由于投资者是有限理性的，所以金融市场是缺乏效率的。行为金融学将社会行为学和认知心理学纳入到金融研究中来，对经典金融学中的理性人假设提出了质疑。其实从近年国内外证券市场的实际情况来看，大量证据表明投资者决策时被许多心理、情绪上的偏差所影响。因此我们迫切需要一种理论来解释这种偏差形成的原因和机制，有必要对这一问题进行深入的研究。本文选取了封闭基金折价率，新增开户数等作为情绪的代理变量，再通过主成分分析法提取了投资者情绪指标，并通过构造VAR模型将其分别对市场收益、大盘股收益和小盘股收益进行了分析。并得出了以下的结论：第一，投资者情绪指数和股票价格存在相互作用，，投资者情绪与股票价格对来自于对方冲击的反应存在着不对称性，股票价格对投资者情绪的影响效应更大，而投资者情绪仅在当期对股票收益正向影响效应明显。第二，投资者情绪与不同的股票组合收益的互相作用存在差异，投资者情绪上升更能带动小盘股价格上涨（即存在着小盘股效应）。而权重股的涨跌对投资者情绪的影响效应更大。第三，特定的投资者情绪一旦形成短期内难以改变，而股价走势往往以波浪式的方式迂回递进。本文针对以上结论认为我国证券监管部门应当将“以人为本”作为政策制定的出发点，合理疏通和引导投资者情绪。
[Abstract]:Behavioral finance theory holds that the financial market is inefficient because investors are limited rational. Behavioral finance brings social behavior and cognitive psychology into financial research, and challenges the hypothesis of rational man in classical finance. In fact, from the actual situation of domestic and foreign securities markets in recent years, a large number of evidence shows that investors are influenced by many psychological and emotional deviations in their decision-making. Therefore, we urgently need a theory to explain the cause and mechanism of this deviation. In this paper, the discount rate of closed fund and the number of new accounts are selected as proxy variables of emotion, and then the index of investor sentiment is extracted by principal component analysis, and the market returns are obtained by constructing VAR model. Large-cap stock returns and small-cap stock returns were analyzed. The conclusions are as follows: first, there is an interaction between investor sentiment index and stock price, and there is asymmetry between investor sentiment and stock price response to shocks from the other side. The effect of stock price on investor sentiment is more significant, while investor sentiment only has a positive effect on stock returns in the current period. Second, the interaction between investor sentiment and the return of different stock combinations is different. The rise of investor sentiment can lead the price of small-cap stocks to rise (that is, there is a small-cap effect). The weight of the rise and fall of the impact of investor sentiment is greater. Third, specific investor sentiment is hard to change in the short term, and stock prices tend to move in waves. In view of the above conclusions, this paper holds that China's securities regulatory authorities should take "people-oriented" as the starting point of policy formulation and reasonably dredge and guide investor sentiment.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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