基于投资者情绪的择时投资研究

发布时间：2018-06-26 03:01

本文选题：投资者情绪 + 预测性　；参考：《上海师范大学》2017年硕士论文

【摘要】：在我国的股票市场中,个人投资者是投资人群中的主力军,并且大多数是不具备专业投资知识的散户,其投机心理远高于投资心理,且投资决策的依据大多是从各渠道获得的消息,表现出来的投资行为并不成熟,符合噪音交易者的特征。投资者情绪主要表现为因无法获取正确信息或者受到自身心理、外部信息冲击等因素的影响而做出的非理性投资行为。由于我国资本市场起步较晚,政策市和市场制度缺陷等原因,我国股市中的投资者更倾向于关注与公司实际价值不相关的其他信息,这使得投资者在投资时往往缺乏理性思考,很容易受到市场上各种消息的影响,形成高涨或者低沉的投资者情绪,进而表现出反应过度或者跟风等行为,这将进一步加剧我国股市的暴涨暴跌。行为金融界的许多学者在研究投资者情绪时大多聚焦于以下两个方面:一是投资者情绪与股票收益,二是投资者情绪与公司投融资及治理行为,而鲜少进行其他方面的扩展。因此,本文试图在投资者情绪对股票市场存在何种影响的基础上,结合投资者情绪的预测性,对情绪择时投资策略的收益性展开研究。因此,本文的主体研究主要分为三大部分,第一部分是分析我国股市中投资者情绪对股票市场存在何种影响,这将为展开后续研究奠定基础;第二部分是投资者情绪是否存在预测性,这为后文能否根据投资者情绪进行择时投资提供可能性;第三部分是基于情绪预测性的择时投资是否真的为投资者带来收益,以及这种择时投资行为将给股市中的股指波动带来什么影响。本文首先选取多个投资者情绪原始指标,利用主成分分析来构建出适当的投资者情绪的综合代理变量。然后,通过单因素模型和Fama-French三因子模型及其修正模型检验出投资者情绪显著正向的影响我国股市收益。在对投资者情绪进行分解的基础上,本文发现我国市场中的投资者情绪对股市收益存在短期的预测性。最后,基于预测性构建出情绪择时的投资策略,并与市场大盘收益进行比较,发现基于投资者情绪信号的择时投资策略可以带来短期超额收益,即短期内追随市场噪音可以为投资者获得高出市场整体的收益,因此,当市场中投资者情绪浓烈时,最好采取“顺势而为”的投资策略,短期内避免进行与投资者情绪方向相反的投资行为。同时,利用GARCH模型分析得出情绪化的投资虽然短期内会给投资者带来超额收益,但噪音交易的本质却会造成加大股指收益的波动的后果。
[Abstract]:In China's stock market, individual investors are the main force in the investment crowd, and most of them are retail investors who do not have professional investment knowledge, and their speculative psychology is much higher than that of investment psychology. And most of the investment decisions are based on the information obtained from various channels, showing that the investment behavior is immature and accords with the characteristics of noise traders. The investor's emotion mainly shows the irrational investment behavior caused by the factors such as being unable to obtain correct information or affected by the factors such as their own psychology and the external information shock and so on. Because of the late start of the capital market and the defects of the policy market and market system, the investors in our stock market tend to pay more attention to other information which is not related to the actual value of the company, which makes investors often lack rational thinking when investing. It is easy to be affected by all kinds of news in the market, forming high or low investor sentiment, and then showing overreaction or following the trend, which will further aggravate the sharp rise and fall of China's stock market. Many scholars in behavioral finance research investor sentiment on the following two aspects: one is investor sentiment and stock returns, the other is investor sentiment and corporate investment and financing behavior and governance behavior, but rarely expand other aspects. Therefore, based on the influence of investor sentiment on stock market and the predictability of investor sentiment, this paper attempts to study the profitability of emotional timing investment strategy. Therefore, the main body of this study is divided into three parts. The first part is to analyze the impact of investor sentiment on the stock market, which will lay a foundation for further research; The second part is whether there is predictability in investor sentiment, which provides the possibility of timing investment according to investor sentiment; the third part is whether the timing investment based on emotional predictability really brings benefits to investors. And this timing investment behavior will affect the stock index volatility in the stock market. In this paper, we first select a number of original indicators of investor sentiment, using principal component analysis to construct the appropriate comprehensive agent variables of investor sentiment. Then, the single-factor model, Fama-French three-factor model and its modified model are used to test the positive impact of investor sentiment on stock market returns in China. Based on the decomposition of investor sentiment, this paper finds that investor sentiment in Chinese market has short-term predictability to stock market returns. Finally, the investment strategy based on predictability is constructed and compared with the market returns. It is found that the timing investment strategy based on investor sentiment signal can bring short-term excess returns. That is, following market noise in the short term can give investors a higher return than the market as a whole. Therefore, when investors are in a strong mood in the market, it is best to adopt a "trend-following" investment strategy. Avoid investing in the opposite direction of investor sentiment in the short term. At the same time, the GARCH model analysis shows that emotional investment will bring excess returns to investors in the short term, but the nature of noise trading will result in increased volatility of stock index returns.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：B842.6;F832.51

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