本文選題：創(chuàng)業(yè)板　切入點：過度自信　出處：《浙江工商大學》2013年碩士論文　論文類型：學位論文

【摘要】：近年來,行為金融學研究在我國發(fā)展十分迅速,它為我們提供了一種新的視角來研究投資者行為特征如何影響金融市場。在如美國這樣的發(fā)達國家的發(fā)達資本市場中,行為金融學已被用來解釋一些股市異象并收到了很好的效果。股市過度反應作為股市異象的一種,在美國得到了廣泛深入的研究,并且研究者們得出了很多有意思的結(jié)論。于是,本文就想探究在中國的不成熟資本市場中,是否也能從行為金融學的角度來研究投資者行為特點對國內(nèi)資本市場的影響。尤其是在過度反應研究方面,目前國內(nèi)大多數(shù)研究選擇的研究對象是滬深股市,關于創(chuàng)業(yè)板過度反應的研究較少,僅有的一些也是從微觀入手,針對創(chuàng)業(yè)板的上市公司進行了微觀事件的過度反應研究。本文覺得僅從微觀角度入手還不足以全面說明創(chuàng)業(yè)板的過度反應現(xiàn)象,于是本文選取了創(chuàng)業(yè)板綜合指數(shù)進行了系統(tǒng)性宏觀事件的過度反應研究,以彌補國內(nèi)研究在這方面的空缺。 本文關于創(chuàng)業(yè)板過度反應的研究內(nèi)容可以分為兩個部分,一是過度反應理論介紹,包括過度反應產(chǎn)生的原因、過程和具體表現(xiàn)。這部分是對創(chuàng)業(yè)板過度反應實證研究提供理論支持的。二是過度反應實證研究,包括選擇創(chuàng)業(yè)板進行過度反應研究的原因,系統(tǒng)性大事件的選取以及實證分析部分。實證分析部分主要以事件研究法和對比分析法為主要研究方法,對創(chuàng)業(yè)板市場進行了累積超額收益率分析,以累積超額收益率的變動結(jié)果來驗證過度反應是否存在。同時,本文對深圳股票市場和中小板市場也做了相同的事件分析。用深圳股票市場來剔除宏觀經(jīng)濟形勢變動影響,用中小板市場來為創(chuàng)業(yè)板市場提供有效的對比,使創(chuàng)業(yè)板市場的過度反應特征更明顯。 本文的理論研究和實證研究結(jié)果表明：我國創(chuàng)業(yè)板市場在受到系統(tǒng)性大事件的影響時,投資者的確表現(xiàn)出過度反應現(xiàn)象,并且實證結(jié)果顯示出創(chuàng)業(yè)板市場投資者對好消息不存在過度反應,對壞消息反應過度。通過深圳股票市場剔除整個宏觀經(jīng)濟形勢影響后,創(chuàng)業(yè)板市場和中小板市場相比在受到壞消息影響時過度反應現(xiàn)象更明顯,中小板市場中投資者無論是對好消息和壞消息都沒有表現(xiàn)出過度反應。本文在研究創(chuàng)業(yè)板市場過度反應時,將市場操縱行為導致的股價波動也歸入過度反應中,因為創(chuàng)業(yè)板市場作為新興市場,容易成為市場操縱的對象,并且因為市場操縱的數(shù)據(jù)很難收集,所以本文做此處理。本文的實證結(jié)果也表明創(chuàng)業(yè)板市場的波動要大于其他兩個市場,過度反應現(xiàn)象也僅出現(xiàn)在創(chuàng)業(yè)板市場中,這說明在創(chuàng)業(yè)板市場中可能存在市場操縱行為。
[Abstract]:In recent years, behavioral finance research has developed very rapidly in China, which provides us with a new perspective on how the behavior characteristics of investors affect the financial market. Behavioral finance has been used to explain some of the market anomalies and has had a good effect. Stock market overreaction, as a form of stock market anomalies, has been extensively and deeply studied in the United States. And the researchers have come to a lot of interesting conclusions. So this article wants to explore the immature capital markets in China. Can we also study the impact of investors' behavioral characteristics on the domestic capital market from the perspective of behavioral finance? especially in the study of overreaction, at present, most of the research objects selected in China are the Shanghai and Shenzhen stock markets. There has been little research on the overreaction of the gem, and only some have started from the micro level. This paper studies the overreaction of microcosmic events for listed companies in the gem. This paper thinks that it is not enough to explain the phenomenon of overreaction in the gem only from the micro perspective. Therefore, this paper selects the gem composite index to study the overreaction of systemic macro events to make up for the lack of domestic research in this respect. The research content of this paper can be divided into two parts. One is the introduction of overreaction theory, including the causes of overreaction. This part provides theoretical support for the empirical research on the overreaction of the gem. The second is the empirical study of overreaction, including the reasons for choosing the gem to study the overreaction. The selection and empirical analysis of the major systemic events. In the part of empirical analysis, the cumulative excess rate of return of gem market is analyzed by the method of event research and comparative analysis. The change of cumulative excess rate of return is used to verify the existence of overreaction. At the same time, this paper makes the same analysis on Shenzhen stock market and small and medium-sized board market, and uses Shenzhen stock market to eliminate the influence of the change of macroeconomic situation. The use of small and medium-sized market to provide an effective contrast to the growth enterprise market, making the growth enterprise market overreaction characteristics more obvious. The theoretical and empirical results of this paper show that when the gem market in China is affected by systemic events, investors do exhibit overreaction phenomenon. And the empirical results show that investors in gem do not overreact to good news, but overreact to bad news. The growth Enterprise Market (gem) market is more obvious than the small and medium-sized market in terms of overreaction when affected by bad news. Investors in small and medium-sized market have not overreacted to both good news and bad news. In this paper, the volatility of stock price caused by market manipulation is classified as overreaction when we study the overreaction of gem market. Because the gem market, as an emerging market, is easy to become the target of market manipulation, and because it is very difficult to collect data on market manipulation, The empirical results of this paper also show that the volatility of the gem market is larger than that of the other two markets, and the phenomenon of overreaction only occurs in the gem market, which indicates that there may be market manipulation in the gem market.
【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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