本文選題：前景理論 + 處置效應(yīng)��； 參考：《蘭州商學(xué)院》2013年碩士論文

【摘要】：現(xiàn)代金融理論是建立在資本資產(chǎn)定價(jià)模型和有效市場假說兩大基石上的。這些經(jīng)典的理論繼承了經(jīng)濟(jì)學(xué)的分析方法和技術(shù)，，其模型都是建立在“理性”的分析框架中，忽視了對投資者實(shí)際行為決策的研究。隨著金融市場上各種異象的積累，行為金融學(xué)應(yīng)運(yùn)而生。行為金融理論將人類的心理與行為納入金融的研究框架，它提供了理論和實(shí)證的依據(jù)。而本文所涉及的以前景理論為基礎(chǔ)的“處置效應(yīng)”就屬于解釋證券市場異象的行為金融基本理論之一。 本文在閱讀國內(nèi)外相關(guān)文獻(xiàn)的基礎(chǔ)上，嘗試著來驗(yàn)證“處置效應(yīng)”在我國的基金市場上是否存在，通過收集近五年來，80支開放式、股票投資型基金的季度數(shù)據(jù)做為研究的依據(jù)。選取基金凈贖回率、基金收益率、市場收益率、基金的市場份額等相關(guān)指標(biāo)做為模型的變量，建立VAR模型。在模型的處理上，由于所選樣本數(shù)據(jù)比較多，每個(gè)變量的數(shù)據(jù)實(shí)際上都是一個(gè)面板數(shù)據(jù)，所以在處理VAR模型時(shí)，采用了加權(quán)的處理方法，最后，驗(yàn)證了“處置效應(yīng)”在我國基金市場的存在性。 在實(shí)證得出“處置效應(yīng)”在我國基金市場存在的前提下，結(jié)合證券市場的市場表現(xiàn)，本文通過建立線性回歸模型，再具體的分析了連續(xù)三個(gè)季度“處置效應(yīng)”強(qiáng)弱的動(dòng)態(tài)變化。初步得出“處置效應(yīng)”有利于市場穩(wěn)定的結(jié)論，也很好的解釋了股諺“沒有只漲不跌的市場，也沒有只跌不漲的市場”的合理性。此外，市場在上漲周期和下跌周期處置效應(yīng)強(qiáng)弱的程度是不同的，這為預(yù)測證券市場拐點(diǎn)等方面具有一定的應(yīng)用價(jià)值和參考價(jià)值。
[Abstract]:Modern financial theory is based on capital asset pricing model and efficient market hypothesis. These classical theories inherit the analytical methods and techniques of economics, and their models are based on the "rational" analytical framework, ignoring the study of investors' actual behavior decisions. With the accumulation of various visions in the financial market, behavioral finance emerges as the times require. Behavioral finance theory brings human psychology and behavior into the framework of financial research, which provides theoretical and empirical basis. The "disposal effect" based on the prospect theory is one of the basic theories of behavioral finance to explain the anomalies of the securities market. On the basis of reading the relevant literature at home and abroad, this paper tries to verify whether the "disposal effect" exists in the fund market of our country, and through collecting the quarterly data of 80 open-end, stock investment funds in the past five years as the basis of the research. The VAR model is established by selecting the net redemption rate of the fund, the return rate of the fund, the market rate of return and the market share of the fund as the variables of the model. In the processing of the model, because there are more sample data selected, the data of each variable is actually a panel data, so when dealing with the VAR model, a weighted processing method is adopted. The existence of "disposal effect" in China's fund market is verified. On the premise of the existence of "disposal effect" in China's fund market and the market performance of securities market, this paper establishes a linear regression model and analyzes the dynamic changes of "disposal effect" in three consecutive quarters. The conclusion that "disposal effect" is beneficial to market stability is also a good explanation for the reasonableness of the saying "there is no market that goes up and down, and there is no market that does not go up". In addition, the degree of disposal effect in the rising cycle and the falling cycle is different, which has certain application value and reference value in predicting the inflection point of the securities market.
【學(xué)位授予單位】：蘭州商學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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