投资者情绪对股票收益的影响研究

发布时间：2018-06-15 08:00

本文选题：投资者情绪 + 中小板　；参考：《江西财经大学》2016年硕士论文

【摘要】：自上世纪九十年代,上海证券交易所、深证证券交易所分别在上海、深圳成立,证券市场在我国快速发展,取得了傲人的成绩。我国上市企业市值全球占比在2015年首次突破十分之一,在全球的规模仅次于美国。由于我国证券市场发展时间很短,跟西方国家相比还相当不成熟,证券市场在市场监管、法律机制、运行机制等多个方面还不是特别完善。首当其冲的是政府政策干扰很严重,我国证券市场并没有经过一个相对完整的发展过程,证券市场的运行都是在我国政府的指导下建立的,这又必然产生政府政策和市场行为不相符合的情况,因此,我国证券市场的震荡和政府制定的政策不稳定有很大的相关性。此外,证券投资者在我国经常是非理性的。在短短三十年的证券市场,我国股市已经经历了好几次牛市和熊市,这反应了我国证券投资者的行为是非理性的。证券市场的非有效性和投资者非理性行为的存在,使得投资者在我国证券市场主要关注和上市企业基本面无关的一些东西,比如内幕、小道消息等等,这又进一步加剧了证券投资者受市场信息干扰的程度,产生羊群行为等。在证券市场发展的三十多年的过程中,尽管我国证券市场在产品、法制和机制等取得了一定的成效,但证券市场还有巨大的成长空间。这主要有两个原因引起的。其中之一是退市和卖空现象的存在,这使得市场不能完成体现卖空情况;还有就是政府的监管力度不够,没有什么经验,这导致一些投资者钻监管的漏洞,这又进一步加剧市场的震荡。基于此,本文以中小板市场为研究样本,首先从总体效应研究投资者情绪与我国证券市场的收益率,接着从截面效应进一步探讨这两者之间的关系,最后针对前面的研究结果提出建议。全文总共四个章节,首章节为文章的绪论,主要对本文的研究背景和研究意义具体分析。第二章节为文献综述,主要对近年来关于投资者情绪与证券市场的收益率的相关研究内容进行回顾,并进行文献评述。第三章节为本文的实证部分。本文的实证分两个部分研究,分别为总体效应和截面效应。本文最后一章节为结论和政策建议。对于市场政策建议,可针对可能出现的市场风险问题,监管者应作出一定的防范措施。
[Abstract]:Since the 1990s, the Shanghai Stock Exchange and the Shenzhen Stock Exchange have been established in Shanghai and Shenzhen respectively. China's listed companies market value in the world in 2015 for the first time to break through 1/10, in the global scale second only to the United States. Because of the short development time of the securities market in our country, compared with the western countries, the securities market is not perfect in many aspects, such as market supervision, legal mechanism, operation mechanism and so on. The first thing to bear the brunt is the serious interference of government policies. The securities market in our country has not gone through a relatively complete development process. The operation of the securities market has been established under the guidance of the Chinese government. Therefore, there is a great correlation between the volatility of the securities market and the instability of the policies formulated by the government. In addition, securities investors in China are often irrational. In a short period of three decades, China's stock market has experienced several bull markets and bear markets, which reflects the irrational behavior of Chinese securities investors. The non-validity of the securities market and the existence of investors' irrational behavior make investors pay attention to something that has nothing to do with the fundamentals of listed enterprises in our securities market, such as inside information, gossip and so on. This further intensifies the degree that securities investors are disturbed by market information, resulting in herding behavior and so on. In the course of the development of securities market for more than 30 years, although the securities market of our country has made some achievements in the product, legal system and mechanism, there is still huge room for growth in the securities market. There are two main reasons for this. One of them is the existence of the phenomenon of delisting and short selling, which makes the market unable to fulfill the situation of short selling. Another is that the government has insufficient supervision and has little experience, which has led some investors to exploit the loopholes in regulation. This further exacerbates the volatility of the market. Based on this, this paper takes the small and medium-sized board market as the research sample, first studies the investor sentiment and the return rate of our country's securities market from the overall effect, then further discusses the relationship between the two from the cross-section effect. Finally, some suggestions are put forward in view of the previous research results. There are four chapters, the first chapter is the introduction of the article, mainly to the research background and research significance of the specific analysis. The second chapter is a literature review, which reviews the recent studies on investor sentiment and stock market returns. The third chapter is the empirical part of this paper. The empirical study in this paper is divided into two parts: the overall effect and the cross-section effect. The last chapter of this paper is the conclusion and policy recommendations. For market policy suggestions, regulators should take precautions against possible market risks.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51

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