投资者情绪指数、证券综合指数与投资决策：一个基于央视投资者情绪指数的实证研究
发布时间：2019-01-20 18:23
【摘要】：本文第一章介绍投资者情绪指数及相关的金融理论，以及国内外在这方面的主要研究成果。 第二章主要介绍了现今对投资者情绪的定义和本文选取的数据，，并对数据做了一些简单的处理。 第三章介绍了本文分析所用到的统计分析方法和需要建立的模型。 第四章通过相关性分析得出情绪指数与上证综指、当日上证收益的相关性；建立简单线性回归模型，得出情绪指数与上证综指、当日上证收益的线性关系；进行格兰杰因果关系检验，分析情绪指数与上证综指、当日上证收益是否存在格兰杰因果关系。最后对比机构和个人的情绪对市场的影响。 第五章通过相关性分析得出情绪指数与次日上证收益的相关性；建立简单线性回归模型，得出情绪指数与次日上证收益的线性关系；进行格兰杰因果关系检验，分析情绪指数与次日上证收益是否存在格兰杰因果关系。分别分析机构和个人情绪对市场的预测能力，最后对比他们，得出哪个的情绪指数对市场的预测能力更强。
[Abstract]:The first chapter introduces investor sentiment index and related financial theory, as well as the main research results at home and abroad. The second chapter mainly introduces the definition of investor sentiment and the data selected in this paper, and makes some simple processing of the data. The third chapter introduces the statistical analysis methods and the models that need to be established. The fourth chapter through the correlation analysis obtains the correlation between the emotion index and the Shanghai composite index, the day Shanghai stock market income correlation, establishes the simple linear regression model, obtains the emotion index and the Shanghai stock market complex index, the day Shanghai stock market income linear relation; Granger causality test is carried out to analyze whether there is Granger causality between the sentiment index and the Shanghai Composite Index. Finally, compare the influence of the emotion of the organization and the individual on the market. The fifth chapter through the correlation analysis obtains the correlation between the emotion index and the next day Shanghai stock market income, establishes the simple linear regression model, obtains the emotion index and the next day Shanghai stock market income linear relation; Granger causality test is carried out to analyze whether there is Granger causality between the emotional index and the next day's Shanghai Stock Exchange income. Analyze the ability of institutions and individuals to predict the market, and finally compare them to find out which emotion index is more able to predict the market.
【学位授予单位】：云南师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51
本文编号：2412283
[Abstract]:The first chapter introduces investor sentiment index and related financial theory, as well as the main research results at home and abroad. The second chapter mainly introduces the definition of investor sentiment and the data selected in this paper, and makes some simple processing of the data. The third chapter introduces the statistical analysis methods and the models that need to be established. The fourth chapter through the correlation analysis obtains the correlation between the emotion index and the Shanghai composite index, the day Shanghai stock market income correlation, establishes the simple linear regression model, obtains the emotion index and the Shanghai stock market complex index, the day Shanghai stock market income linear relation; Granger causality test is carried out to analyze whether there is Granger causality between the sentiment index and the Shanghai Composite Index. Finally, compare the influence of the emotion of the organization and the individual on the market. The fifth chapter through the correlation analysis obtains the correlation between the emotion index and the next day Shanghai stock market income, establishes the simple linear regression model, obtains the emotion index and the next day Shanghai stock market income linear relation; Granger causality test is carried out to analyze whether there is Granger causality between the emotional index and the next day's Shanghai Stock Exchange income. Analyze the ability of institutions and individuals to predict the market, and finally compare them to find out which emotion index is more able to predict the market.
【学位授予单位】：云南师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51
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本文编号：2412283
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