本文選題：投資者情緒 + 股市收益��； 參考：《東北財經(jīng)大學(xué)》2013年碩士論文

【摘要】：我國股票市場雖然經(jīng)過一定發(fā)展,但尚不成熟,與國外較為成熟的股票市場相比存在較大不足。除上市公司質(zhì)量低、市場波動大、法律制度不健全、投資者結(jié)構(gòu)不合理等問題外,投資者非理性現(xiàn)象較為嚴(yán)重。作為反映投資者心理的重要指標(biāo),投資者情緒必然對投資者的行為和決策產(chǎn)生影響,進(jìn)而對股票的收益波動產(chǎn)生重大影響。因此,研究投資者情緒與中國股票市場收益之間的關(guān)系是非常有必要的,其對于幫助投資者尋求超越市場的投資機會以及加強中國股票市場的監(jiān)管效率、保障中國股市健康穩(wěn)定持續(xù)發(fā)展具有重要的理論意義和現(xiàn)實意義。 股市收益率和投資者情緒的關(guān)系是很多學(xué)者研究的課題,但由于情緒的難以度量以及這種關(guān)系的不確定性,目前研究并無明確結(jié)論。本文相對前人可能的創(chuàng)新之處有： (1)首次分階段來研究股市收益與投資者情緒之間的相關(guān)關(guān)系,更好的體現(xiàn)了投資者情緒在周期內(nèi)不同階段內(nèi)的變化,更全面的表明了我國股市周期不同階段投資者情緒與股市收益之間的相互影響。 (2)本文對不同規(guī)模的股票平均收益與投資者情緒之間的關(guān)系都進(jìn)行了實證分析,更全面的表明了我國的投資者情緒與股市收益之間的相關(guān)關(guān)系。與其他研究的樣本數(shù)據(jù)的時間跨度相比,本文采用的數(shù)據(jù)更具有時效性。 (3)由于創(chuàng)業(yè)板成立時間較短,因此前人對創(chuàng)業(yè)板與投資者情緒之間的影響關(guān)系研究較少,本文對投資者情緒與創(chuàng)業(yè)板收益間的關(guān)系進(jìn)行了對比研究,判斷創(chuàng)業(yè)板收益與投資者情緒之間的相互影響是否顯著。 本文采用《股市動態(tài)分析》周刊雜志發(fā)布的“好淡指數(shù)”構(gòu)造中期與短期投資者情緒的度量指標(biāo),以2005年6月17日至2013年8月9日間股市收益周數(shù)據(jù)及投資者情緒指數(shù)為研究樣本,利用向量自回歸模型和格蘭杰因果檢驗等方法,對中國股市周期不同階段股市收益與投資者情緒之間關(guān)系、不同規(guī)模股票收益與投資者情緒之間關(guān)系、創(chuàng)業(yè)板股市收益與投資者情緒之間關(guān)系分別進(jìn)行了實證研究,得出如下結(jié)論： (1)總體而言,因我國股票市場成立時間尚短,正處于發(fā)展時期,發(fā)展較為不成熟。因此,股票市場中的投資行為包含了較多的不理性,短期投資者情緒對市場具有顯著正影響,短期投資者情緒加劇了股市的波動,對市場起了推波助瀾的作用。 (2)對投資者情緒與股市收益的分期研究表明,相對熊市而言,牛市中的投資者情緒對股市收益影響更加顯著。牛市時期投資者充滿了狂熱的情緒,進(jìn)而對股市收益影響更大。而震蕩整理期內(nèi)的投資者較為理性,對于未來的預(yù)期也會考慮更多的相關(guān)信息,認(rèn)知偏差相對較小。 (3)投資者情緒對大盤股影響最大。綜合來看,投資者情緒對參與者眾多的大市值公司影響較大,而對于中小市值公司的影響較小,主要因為我國股市及投資者結(jié)構(gòu)特點所致。投資于大盤股的投資者數(shù)量較多,價格的大幅波動需要較多資金參與,因此眾多投資者對其的普遍預(yù)期會顯著影響其收益；而相對于大市值公司股票,中小市值公司股票更易受莊家操控,相對于大盤股參與者中的散戶更少,因此投資者在根據(jù)可獲得信息對股市進(jìn)行預(yù)測時,往往會出現(xiàn)較大偏差。 (4)與主板相比,創(chuàng)業(yè)板中的投資者具有更高的理性程度。作為新興市場的創(chuàng)業(yè)板,具有投資者結(jié)構(gòu)更為合理與穩(wěn)定、市場參與度較低等特點,通過得出的結(jié)果可以看出,創(chuàng)業(yè)板收益率與主板相比受到情緒影響較小。主要原因包含政策和投資者結(jié)構(gòu)兩方面。
[Abstract]:Although the stock market of our country has been developed, it is not mature, and there is a big shortage compared with the mature stock market in foreign countries. In addition to the problems of low quality of the listed companies, large market fluctuation, unsound legal system and unreasonable investor structure, the irrational phenomena of investors are more serious. As an important indicator to reflect the investor psychology. It is necessary to study the relationship between investor sentiment and the earnings of China's stock market, so it is necessary to study the relationship between investor sentiment and the earnings of China's stock market. It is necessary to help investors seek investment opportunities beyond the market and strengthen the supervision of China's stock market. It is of great theoretical and practical significance to control the efficiency and ensure the healthy, stable and sustainable development of China's stock market.
The relationship between stock market returns and investor sentiment is a topic for many scholars, but there is no definite conclusion due to the indeterminacy of emotion and the uncertainty of this relationship.
(1) the relationship between stock market returns and investor sentiment is studied for the first time, and the change of investor sentiment in different stages of the cycle is better reflected, and the mutual influence between investor sentiment and stock market income in different stages of China's stock market cycle is more fully demonstrated.
(2) this paper makes an empirical analysis of the relationship between the average earnings of different stocks and the investor sentiment, and more fully shows the relationship between the investor sentiment and the stock market returns in our country. Compared with the time span of the sample data of other research, the data collected in this paper is more timeliness.
(3) because of the short time of the founding of the gem, there are few studies on the relationship between the emotion of the gem and the investor. This paper makes a comparative study on the relationship between investor sentiment and the earnings of the gem, and determines whether the mutual influence between the gem earnings and the investor sentiment is significant.
This paper adopts the measurement index of medium term and short-term investor sentiment in the "good weak index" published by the stock market dynamic analysis and magazine magazine, taking the stock market income week data from June 17, 2005 to August 2013 and the investor sentiment index as the research sample, using the vector autoregressive model and the Grainger causality test, to the Chinese stocks. The relationship between stock market returns and investor sentiment at different stages of the city cycle, the relationship between stock returns of different scale and investor sentiment, the relationship between the earnings of the gem stock market and the investor sentiment, and the following conclusions are drawn:
(1) in general, because the time of the establishment of the stock market in China is still short, the development of the stock market is not mature. Therefore, the investment behavior in the stock market contains more irrational, short-term investor sentiment has a significant positive impact on the market, short-term investor sentiment aggravates the volatility of the stock market and plays an important role in the market.
(2) a staging study of investor sentiment and stock market earnings shows that the investor sentiment in the bull market has a more significant impact on the stock market income relative to the bear market. The bull market investor is full of fanatical emotion and has a greater impact on the stock market returns. More related information, the cognitive bias is relatively small.
(3) investor sentiment has the greatest impact on large stock shares. In a comprehensive view, investor sentiment has a large impact on large market capitalization companies with a large number of participants, but small impact on small and medium market capitalization companies, mainly due to the structural characteristics of the stock market and investors in China. As a result, many investors have a significant impact on their general expectations, while smaller market capitalisation companies are more likely to be manipulated by market capitalisation than large market shares, and are less likely than large stock investors to predict the stock market.
(4) compared with the main board, the investor in the gem has a higher degree of rationality. As a new market, the investor structure is more reasonable and stable, and the market participation is low. Through the results, it can be seen that the ratio of the growth rate of the gem and the main board is less influenced by the emotion. The main reason is the policy and investment. Two aspects of the structure of the capital.

【學(xué)位授予單位】：東北財經(jīng)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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