本文關鍵詞： 投資者情緒 股票收益 VAR模型　出處：《寧波大學》2012年碩士論文　論文類型：學位論文

【摘要】：行為金融理論認為投資者情緒會影響投資者的決策模式,進而影響股票收益；另一方面,市場的漲跌也會使得人的情緒發(fā)生變化,即市場收益也會影響投資者情緒。本文就是在中國A股市場的背景下研究中國的投資者情緒與上證股市收益的相互影響關系。 投資者情緒的衡量有直接指標和間接指標等構造方法,而綜合直接指標和間接指標的方法因為比較全面,所以本文采用這種方法,通過主成分分析方法構造一個綜合的投資者情緒指標,然后選擇我國市場比較認可的上證指數(shù),研究這兩者的相互影響關系。本文的研究分成了六章。第一章分析了本文的選題角度和研究的目的,然后對國內外的對投資者情緒研究的文獻進行了梳理和評價。第二章對投資者情緒的現(xiàn)有理論進行了分析。第三章選擇幾個指標構建了一個反映中國投資者情緒的指標,并通過計量方法研究了投資者情緒與股票收益的相互影響關系。第四章研究了投資者情緒在不同市態(tài)下對股市收益的階段性影響。第五章中本文基于VAR模型實證分析了投資者情緒與股市收益之間的相互影響關系。第六章是全文的結論,據(jù)以得出政策建議,以及對以后研究的展望。 本文的研究結論歸納如下： 對于是否可以將封閉式基金折價作為投資者情緒,本文從主成分分析的結果發(fā)現(xiàn)封閉式基金對投資者情緒的影響比較小,不是一個比較合適的代表投資者情緒的指標。 投資者情緒和它的上一期值對股市收益的影響是正向的,相比較而言,投資者情緒的本期值對股市收益的影響相對要大。投資者情緒對股市收益的影響具有階段性的特征。在牛市階段,投資者情緒對股市收益的影響比較大；而在市場低迷的時候投資者情緒對股市收益的影響要小得多。 基于本文的結論,政府應該在以下方面做出改進：第一,對中小投資者這個弱勢群體需要政府的保護。第二,有關部分應該建立一個投資者情緒的發(fā)布機構,專門監(jiān)測市場的投資者情緒波動,編制一個權威的投資者情緒指數(shù),來防止偶然的市場沖擊對我國股票市場的影響。第三,政府需要加大對上市公司信息披露的監(jiān)察,防止虛假消息和內幕消息導致的市場無效。第四,政府盡可能減少對股票市場的直接干預。
[Abstract]:Behavioral finance theory holds that investor sentiment will affect investors' decision-making patterns and thus affect stock returns; on the other hand, the market's ups and downs will also make people's emotions change. Under the background of Chinese A-share market, this paper studies the relationship between investor sentiment and Shanghai stock market return. The measures of investor sentiment include direct index and indirect index, and the method of synthesizing direct index and indirect index is more comprehensive, so this method is adopted in this paper. Through the principal component analysis method, we construct a comprehensive investor sentiment index, and then choose the Shanghai Stock Exchange Index, which is relatively recognized in our country's market. This paper is divided into six chapters. The first chapter analyzes the angle and purpose of this paper. The second chapter analyzes the existing theories of investor sentiment. Chapter three selects several indicators to construct an index to reflect the investor sentiment in China. The relationship between investor sentiment and stock returns is studied by econometric method. Chapter 4th studies the periodic influence of investor sentiment on stock market returns under different market conditions. Chapter 5th is based on VAR model. The relationship between investor sentiment and stock market returns is analyzed. Chapter 6th is the conclusion of this paper. Based on the policy recommendations, as well as the prospects for future research. The conclusions of this paper are summarized as follows:. As to whether closed-end fund discount can be regarded as investor sentiment, the result of principal component analysis shows that closed-end fund has little influence on investor sentiment, and is not a more suitable index to represent investor sentiment. Investor sentiment and the impact of its previous period on stock market returns are positive, compared with. The impact of investor sentiment on stock market returns is relatively large. The impact of investor sentiment on stock market returns is of a phased character. In the bull market stage, investor sentiment has a greater impact on stock market returns. The impact of investor sentiment on stock market returns is much smaller when the market is in the doldrums. Based on the conclusion of this paper, the government should make some improvements in the following aspects: first, small and medium-sized investors, as a vulnerable group, should be protected by the government. Second, the relevant part should establish a publishing body for investor sentiment. It is specialized in monitoring investor sentiment fluctuations in the market and compiling an authoritative investor sentiment index to prevent the impact of accidental market shocks on our stock market. Third, the government needs to step up monitoring of information disclosure by listed companies. Prevent false and insider information from causing market failure. 4th, the government minimizes direct intervention in the stock market.
【學位授予單位】：寧波大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.51

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本文編號：1536324