本文關(guān)鍵詞：不同投資者情緒對股票價格行為的影響研究　出處：《長沙理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 投資者情緒 非對稱影響 情緒波動 股票收益

【摘要】：經(jīng)典金融理論研究的是完美市場和理性人假設(shè)下金融市場上的投資者行為，認為金融市場上資產(chǎn)的價格僅與資產(chǎn)的內(nèi)在價值有關(guān)，資產(chǎn)價格的變動只受基本面信息的影響。近來興起的行為金融理論認為金融市場中的投資者是有限理性的，在不完全的市場中，除了資產(chǎn)的基本價值即預(yù)期股息貼現(xiàn)值之外，投資者在投資過程中的心理因素也會對資產(chǎn)價格產(chǎn)生重要的影響。 投資者情緒是投資者參與市場時的心理現(xiàn)象，始終貫穿于投資決策過程中，與投資者的理性思維同時存在，共同決定投資者的決策行為，會對資產(chǎn)的價格產(chǎn)生重要影響。自DSSW提出噪聲交易模型以來，學(xué)者們從理論和實證方面證明了投資者情緒會顯著影響股票收益及其波動，但目前國內(nèi)對投資者情緒的研究更多地是檢驗投資者情緒與股票收益、和對股票收益波動之間的簡單關(guān)系，對投資者情緒影響股票價格行為的微觀機理，還鮮有提及；同時將投資者情緒分為積極情緒和消極情緒并考察其對股票價格的非對稱影響相關(guān)的文獻還較少，也沒有形成統(tǒng)一的研究框架。 本文首先基于行為金融學(xué)理論，分析了投資者情緒的形成過程及投資者情緒的特征；并考查了投資者在積極、消極兩種不同的情緒特征下的行為特點，系統(tǒng)分析投資者情緒影響股票價格行為的影響機理。然后我們使用上證市場數(shù)據(jù)構(gòu)建投資者情緒指數(shù)，去除其自相關(guān)得到情緒變動值；并構(gòu)建虛擬變量回歸模型、GARCH模型及RV-AR模型考查投資者情緒特征對股票價格行為的非對稱影響。研究結(jié)果表明：在中國股票市場上，將積極與消極情緒分開考慮的模型對收益有更好的擬合；正面情緒和情緒的向上變動都對股票收益有顯著的正向影響，而負面情緒和情緒向下變動對其影響并不明顯，這是由于在情緒低落時期理性成分對市場起主導(dǎo)作用。另外，投資者情緒的波動對股票收益率的波動有顯著的沖擊。論文明確界定了投資者情緒新息的理論意義，結(jié)合投資者的情緒水平和情緒變動值，從微觀視角更加全面、綜合地考察了市場上的投資者情緒特征；同時，，論文運用多種方法考察了積極情緒和消極情緒對股票價格行為的非對稱影響，所得結(jié)果具有一致性和穩(wěn)健性，有助于全面理解投資者情緒影響股票市場的過程；論文同時也從市場層面對以往學(xué)者們心理學(xué)實驗研究結(jié)論進行了檢驗。
[Abstract]:Study on the classical finance theory of investor behavior is perfect market and financial market under the assumption of rational people think the intrinsic value of the financial market asset prices only and assets related to the impact of asset price changes only by the fundamental information. Recently, the rise of behavioral finance theory suggests that investors in financial markets is limited rational and in the incomplete market, in addition to the basic value of assets is expected dividend discounted value, psychological factors of investors in the investment process will also have an important impact on asset prices.
Investor sentiment is a psychological phenomenon of investors to participate in the market, throughout the investment decision-making process, there are also investors and rational thinking, common decision-making behavior of investors, will have an important impact on asset prices. Since DSSW proposed the noise trading model to prove that scholars will significantly affect investor sentiment and stock returns the fluctuations from theoretical and empirical aspects, but the current domestic research on investor sentiment is more a test of investor sentiment and stock returns, and the simple relationship between the stock return volatility, the micro mechanism of stock price behavior influence investor sentiment, is rarely mentioned; while investor sentiment is divided into positive and negative emotions and study the asymmetric effects on stock prices of related literature are few, has not formed a unified framework.
Firstly, based on behavioral finance theory, analyzes the formation process and characteristics of investor sentiment of investor sentiment; and the investors in the positive and negative behavior characteristics of two different emotional characteristics, system analysis of investor sentiment affects the stock price behavior influence mechanism. Then we use the Shanghai market data to construct investor sentiment index. Remove the autocorrelation value and get emotional changes; construct the dummy variable regression model, the asymmetric effect of GARCH model and RV-AR model to examine the characteristics of investor sentiment on stock price behavior. The research results show that: in the Chinese stock market, the positive and negative emotion separately considering the model has a better fitting of positive emotions and income; the mood to change on stock returns have significant positive effects, while negative emotions and emotional downward movements on its impact is unknown Obviously, this is due to low periods leading to the market rational elements play a role in emotion. In addition, the volatility of investor sentiment on stock returns volatility has a significant impact. The paper clearly defines the meaning of investor sentiment theory innovation, combined with the emotional and emotional changes in the value of investors, from the micro perspective is more comprehensive and integrated effects of investor sentiment on the market characteristics; at the same time, the use of various methods of study of asymmetric effects of positive and negative emotions on the stock price behavior, the results are consistent and robust, contribute to the process of the stock market to fully understand the impact of investor sentiment; at the same time from the market in the conclusion of previous scholars of psychology experimental study of the test.

【學(xué)位授予單位】：長沙理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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