本文選題：投資者情緒　切入點：噪聲交易模型　出處：《安徽財經(jīng)大學》2012年碩士論文　論文類型：學位論文

【摘要】：傳統(tǒng)的金融學理論主要基于兩個基本假設：“完全有效市場”假設和“理性人”假設。然而在實踐中,越來越多的現(xiàn)象表明,傳統(tǒng)的金融理論在解釋許多現(xiàn)象時是無效的,市場中存在著大量與傳統(tǒng)理論不符的異�，F(xiàn)象。為了解釋這些異�，F(xiàn)象,學者們通過將心理學和社會學的相關(guān)理論引入金融學,創(chuàng)立了行為金融學。 行為金融學家認為,市場中的投資者并非是完全理性的,他們的非理性的行為會引起股票價格的異常波動,從而使得價格偏離其基本的價值。這種導致價格偏離的因素,被行為金融學家稱之為“投資者情緒”,它是導致股票價格發(fā)生變化的系統(tǒng)性風險之一,并且是影響價格的重要因素。 在上述背景下,本文首先推導了噪聲交易模型,通過該模型來揭示投資者情緒影響股票收益的機制。然后通過主成分分析的方法將封閉式基金折價率、成交量、成交額、每周新增開戶數(shù)四個指標加以分析,然后提取能夠代表投資者情緒的代理變量。通過與上證綜合指數(shù)周指數(shù)的對比,觀察其相關(guān)性,并運用GARCH模型加以定量分析,分析其具體相關(guān)程度。 研究結(jié)果表明：在給定上證指數(shù)的前提下,投資者情緒的變化不僅能夠顯著地影響收益,而且顯著地反向修正風險(收益波動)。這一結(jié)論給理論觀點提供了數(shù)據(jù)上的支持,投資者情緒的確是一個影響金融資產(chǎn)價格和收益波動的系統(tǒng)性因素。
[Abstract]:The traditional financial theory is based on two basic hypotheses: "completely efficient market" hypothesis and "rational man" hypothesis. However, in practice, more and more phenomena show that the traditional financial theory is ineffective in explaining many phenomena. In order to explain these abnormal phenomena, the scholars introduced psychology and sociology theories into finance and founded behavioral finance. Behavioral financiers believe that investors in the market are not completely rational, and that their irrational behavior can cause unusual fluctuations in stock prices, leading to price deviations from their basic value. Behavioral financiers call it "investor sentiment", which is one of the systemic risks leading to changes in stock prices and an important factor affecting prices. Under the above background, this paper first deduces the noise trading model, through this model to reveal the investor sentiment influence the stock return mechanism. Then through the principal component analysis method, the closed-end fund discount rate, the turnover, the turnover, the transaction volume, the closed end fund discount rate, the turnover, the transaction volume, then, The four indexes of new account opening each week are analyzed, and then the proxy variables which can represent investor sentiment are extracted. By comparing with the weekly index of Shanghai Composite Index, the correlation is observed, and the quantitative analysis is made by using GARCH model. Analyze its specific correlation degree. The results show that under the premise of given Shanghai Stock Exchange Index, the change of investor sentiment can not only significantly affect the return, but also significantly reverse revise the risk. This conclusion provides the data support for the theoretical point of view. Investor sentiment is indeed a systemic factor that affects the volatility of financial asset prices and returns.
【學位授予單位】：安徽財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830.91

【參考文獻】

相關(guān)期刊論文 前6條

1 張強;楊淑娥;楊紅;;中國股市投資者情緒與股票收益的實證研究[J];系統(tǒng)工程;2007年07期

2 程昆,劉仁和;投資者情緒與股市的互動研究[J];上海經(jīng)濟研究;2005年11期

3 陳彥斌;情緒波動和資產(chǎn)價格波動[J];經(jīng)濟研究;2005年03期

4 易志高;茅寧;汪麗;;投資者情緒測量研究綜述[J];金融評論;2010年03期

5 薛繼銳,顧嵐;中國股票市場的日歷效應分析[J];數(shù)理統(tǒng)計與管理;2000年02期

6 金曉斌,高道德,石建民,劉紅忠;中國封閉式基金折價問題實證研究[J];中國社會科學;2002年05期

，

本文編號：1591889