投资者情绪对居民家庭金融性资产选择的影响研究

发布时间：2018-02-24 14:23

本文关键词： 投资者情绪家庭金融资产选择多元GARCH模型　出处：《浙江财经大学》2016年硕士论文　论文类型：学位论文

【摘要】：近年来,随着我国经济的快速发展,资本市场也不断完善,越来越多的居民家庭开始选择投资理财,相应地将储蓄投资于股票、房地产、债券等领域,以优化资产配置,而不像以往单纯的在银行内存款。然而居民家庭作为社会中最基本的组成单位,其金融性资产的投资组合以及持有比例,对我国深化改革创新和社会稳定颇为重要。所以,居民家庭在金融性资产选择的问题上受到较多国内专家学者的重视。另一方面,投资者情绪也是行为金融里的热点,且许多经典文献证明了投资者情绪与股票收益、价格波动存在很强的关联。然而,现有有关家庭金融性资产选择行为的影响因素研究中,较少涉及投资者情绪,而是更多的偏向微观层面,如健康、学历、婚姻状态等家庭内部特征,运用CHFS的数据,结合Probit和Tobit模型以及微观内因进行回归分析。因此,将投资者情绪与居民家庭资产选择相联系,研究投资者情绪变化对家庭资产选择的影响,具有较深的理论和现实意义。正是如此,本文首先运用《中国统计年鉴》和《中国人民银行年报》的数据,对家庭实际金融性资产持有量及其比例变化进行统计分析,详细阐述居民家庭资产组合已发生巨大变化以及初步分析市场中投资者情绪的变化会影响家庭资产选择。接着对投资者情绪的概念、分类及有关代理指标进行介绍、梳理和筛选。最后通过Wind数据库查找相关数据,在参考Baker-Wurgler模型的基础上,运用主成分分析法,构建综合投资者情绪指数,并以深沪300指数作为参照,说明本文构建的情绪综合指数的合理性。在此基础上,将居民的金融性投资意愿分为储蓄意愿、房产投资意愿以及股票基金投资意愿,并结合考虑家庭内部消费意愿的影响,利用中国人民银行《城镇储户问卷调查报告》2003年1季度至2016年1季度的时间序列数据,运用格兰杰因果检验以及构建多元GARCH模型,分析市场上投资者情绪变化是否会引起家庭资产选择的变化以及具体影响和持续时间。本文通过实证发现,首先投资者情绪与消费意愿并不是储蓄意愿、房产投资意愿以及股票基金投资意愿的格兰杰原因。但就投资者情绪而言,其与储蓄意愿呈负相关,与房产投资意愿、股票基金投资意愿呈正相关;就消费意愿而言,其与储蓄意愿、股票基金投资意愿以及房产投资意愿呈负相关。其次,根据均值方程估计可得,消费意愿对储蓄意愿、股票基金投资意愿和房产投资意愿存在一定的挤出效应,并且分别在10%和5%的置信水平下显著。投资者情绪对房产投资意愿和股票基金投资意愿存在一定的刺激作用,并且在10%的置信水平下显著,但对储蓄意愿的刺激作用缺乏显著性。最后,根据条件方程估计可得,居民家庭储蓄意愿受到外部影响时,其持续时间较长;房产投资意愿受到外部影响时,持续时间颇长;股票基金投资意愿受到外部影响时,其反应最快且持续时间最短。基于以上结论,本文提出以下政策建议:首先我国居民家庭储蓄存款居高不下,若能将该巨额储蓄转化成投资,将对我国经济发展产生积极作用。故因继续完善资本市场,推出更多金融产品以供居民家庭选择;其次,居民家庭金融性资产选择受外部市场和家庭内部消费的影响,故应加强居民家庭的风险防范意识和理财技能,引导居民家庭合理消费和投资;最后,完善社会保障体系并加强金融监管,为居民家庭金融性资产选择提供一个稳定的环境。本文的贡献主要在三个方面:第一,现有有关居民家庭资产选择的研究大多都是基于微观层面,较少从宏观层面来研究居民家庭资产选择行为。故本文引入投资者情绪这一因素,有效弥补了这方面的不足;第二,以往基于宏观层面来研究居民家庭资产选择的时候,往往会忽略家庭内部因素的作用。本文在研究投资者情绪对居民家庭资产选择影响的同时,考虑了家庭内部消费决策可能对资产选择的结果产生影响,有效弥补了这方面的欠缺;第三,结合我国实际情况,在Baker-Wurgler模型的基础上进行改进,加入直接指标并将年度指标改进为月度指标,剔除宏观因素的影响,再采用主成分分析法,构建适用于中国市场的投资者情绪指数。
[Abstract]:In recent years, with the rapid development of China's economy, the capital market is also constantly improve, more and more households choose to invest the savings to invest in stocks, real estate, bonds and other fields, in order to optimize the asset allocation, unlike the previous simple deposit in the bank. However, as the most basic household unit of society, its financial assets and Portfolio Investment Holdings, in the deepening of reform and innovation and social stability is very important. So, households are more domestic experts and scholars in the choice of financial assets on the issue. On the other hand, investor sentiment is hot in behavioral finance, and many of the classic the proof of investor sentiment and stock return volatility, there is a very strong correlation. However, the existing family financial asset choice behavior influence factor research, less involved And investor sentiment, but more to the micro level, such as health, education, marital status and other family characteristics, using CHFS data, combined with Probit and Tobit model and micro internal regression analysis. Therefore, the investor sentiment and resident portfolio related research on investor sentiment changes on the impact of family assets. Have deep theoretical and practical significance. It is so, this paper uses statistical yearbook China < > and < > the people's Bank of Chinese annual report data, statistical analysis of the family financial asset holdings change quantity and proportion, detailed household portfolio has changed and preliminary analysis of changes in market sentiment the influence of family assets selection. Then the concept of investor sentiment, classification and relevant proxy indicators are introduced, combing and screening. Finally through W Find related data in ind database, based on the Baker-Wurgler model, using principal component analysis method to construct a comprehensive investor sentiment index, and the Shanghai and Shenzhen 300 index as a reference, the comprehensive index of emotional rationality inthis paper. Based on this, the residents of the financial investment will be divided into real estate investment and savings will, will the stock investment fund will, combined with the consideration of the effects of family consumption intention, using time series data of the people's Bank of Chinese survey of urban depositors questionnaire < >2003 in the 1 quarter to the 1 quarter of 2016, using the Grainger causality test and construct the multivariate GARCH model, analysis of the market changes in investor sentiment will cause the change of family assets selection and specific the impact and duration. In this paper, through empirical analysis found that the first investor sentiment and the consumption intention is not real savings will, Grainger reason estate investment and stock fund investment intention. But the investor sentiment, and the savings will negatively correlated with real estate investment intention, equity fund investment will have a positive correlation; consumer willingness, and the savings will, negatively related to willingness of stock fund investment and real estate investment intention. Secondly, according to the mean equation estimates available on consumer willingness willingness to save the stock fund investment, real estate investment will have the will and a crowding out effect, and respectively at a confidence level of 10% and 5% significantly. Investor sentiment has a stimulating effect on the willingness of real estate investment willingness and stock investment fund, and significant at 10% level of confidence, but stimulation of the savings will lack significant. Finally, according to the condition equation estimates available, household savings will be external influence, its duration Long; property investment willingness by external influence, for quite a long time; will the stock fund investment by external influence, the fastest and the shortest duration. Based on the above conclusions, this paper puts forward the following suggestions: first, China's household savings deposits is not high, if the huge savings into investment that will have a positive effect on the economic development of our country. So as to continue to improve the capital market, to introduce more financial products for household choice; secondly, household financial assets choice is affected by the internal and external market and household consumption, it should strengthen the awareness of risk prevention and management skills of households, households and reasonable guide consumption and investment; finally, improve the social security system and strengthen financial supervision, to provide a stable environment for the household financial assets choice. This contribution mainly in three aspects Surface: first, existing research about the resident portfolio are mostly based on the micro level, less from the macro level of households' assets selection behavior. This paper introduce the factors of investor sentiment, effectively compensate for this deficiency; second, based on the macro level to study when household asset selection. Tend to ignore the internal factors of the family role. The influence on household assets in the study of investor sentiment at the same time, consider the family consumption decision may affect asset selection results, effectively compensate for the lack of this aspect; third, combined with China's actual situation, improved on the basis of Baker-Wurgler model, adding the direct index and annual index improvement for monthly indicators, excluding the impact of macroeconomic factors, then uses the principal component analysis method for Gou Jianshi China Market Investor sentiment index.

【学位授予单位】：浙江财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：C913.1;F126.1

【相似文献】