本文選題：中國(guó)股市 + 投資者情緒　； 參考：《江西財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：從世界各國(guó)股票市場(chǎng)的運(yùn)行情況看,投資者情緒確實(shí)能夠?qū)善笔袌?chǎng)價(jià)格和風(fēng)險(xiǎn)產(chǎn)生重大影響,從而導(dǎo)致股票市場(chǎng)出現(xiàn)大量傳統(tǒng)金融理論無(wú)法解釋的“金融異象”。中國(guó)股票市場(chǎng)作為一個(gè)不成熟的新興市場(chǎng),其在建立背景、運(yùn)作方式和發(fā)展歷程等眾多方面與國(guó)外成熟股票市場(chǎng)相比存在很大差別,其產(chǎn)生的“金融異象”也更加突出和顯著。與這些“金融異象”緊密相連的,正是中國(guó)股市投資者形成的以尋求暴富、羊群效應(yīng)、過(guò)度自信等為主要特征的投資者情緒。 投資者情緒是投資者心理的重要反映,它必然會(huì)對(duì)投資者的行為和決策、進(jìn)而對(duì)股票市場(chǎng)的收益和波動(dòng)性產(chǎn)生重大影響。我國(guó)股票市場(chǎng)過(guò)于年輕導(dǎo)致投資者的心理環(huán)境存在很大的不確定性,因此系統(tǒng)深入地研究中國(guó)股票市場(chǎng)收益、收益波動(dòng)與投資者情緒之間的互動(dòng)關(guān)系是正確解釋中國(guó)股票市場(chǎng)“異�，F(xiàn)象”的有效途徑,這對(duì)于加強(qiáng)中國(guó)股票市場(chǎng)的風(fēng)險(xiǎn)管理和控制、改善政府對(duì)股票市場(chǎng)的監(jiān)管效率,進(jìn)而保障中國(guó)股票市場(chǎng)健康、穩(wěn)定、持續(xù)發(fā)展具有非常重要的理論意義和現(xiàn)實(shí)意義。 本文首先根據(jù)研究需要,對(duì)投資者情緒指標(biāo)、投資者情緒與股票收益相互關(guān)系兩個(gè)方面的文獻(xiàn)予以全面綜述,并指出當(dāng)前文獻(xiàn)的主要研究成果以及存在的不足；然后,在主觀與客觀相結(jié)合、抓主要放次要的復(fù)合指標(biāo)構(gòu)建原則的指導(dǎo)下,結(jié)合以前學(xué)者對(duì)各種指標(biāo)的選用頻率及研究數(shù)據(jù)本身的易獲程度,最終選用每天的央視散戶投資者情緒指數(shù)、機(jī)構(gòu)投資者情緒指數(shù)、上證綜合指數(shù)日換手率和上證綜合指數(shù)日成交量等四個(gè)指標(biāo),并采用主成分分析法將以上四個(gè)指標(biāo)構(gòu)建成投資者綜合情緒指標(biāo)；繼而以樣本期內(nèi)的綜合情緒指數(shù)和上證綜合指數(shù)收益率為研究樣本,利用向量自回歸(VAR)模型對(duì)中國(guó)股票市場(chǎng)收益與投資者情緒之間的相互關(guān)系進(jìn)行了實(shí)證研究；最后,構(gòu)造新的變量數(shù)據(jù)并選用廣義自回歸條件異方差模型(GARCH類(lèi)模型)研究了投資者情緒變動(dòng)對(duì)市場(chǎng)收益波動(dòng)性的影響以及市場(chǎng)收益變動(dòng)對(duì)投資者情緒波動(dòng)性的影響。 通過(guò)全面細(xì)致的文獻(xiàn)綜述和實(shí)證檢驗(yàn),本文最終得出以下主要結(jié)論：①滯后一期的綜合情緒指數(shù)對(duì)中國(guó)股票市場(chǎng)收益的正向影響是顯著的,綜合情緒指數(shù)卻不是中國(guó)股票市場(chǎng)收益的格蘭杰引致原因；②滯后一期的中國(guó)股市收益對(duì)綜合情緒指數(shù)有顯著的正向影響,中國(guó)股市收益還是綜合情緒指數(shù)的格蘭杰引致原因；③滯后期的綜合情緒指數(shù)對(duì)當(dāng)期的綜合情緒指數(shù)有顯著的正向影響,而滯后期的市場(chǎng)收益率對(duì)當(dāng)期的市場(chǎng)收益率的影響既不確定也不顯著；④滯后一期的投資者綜合情緒指數(shù)的變動(dòng)會(huì)對(duì)股票市場(chǎng)收益的波動(dòng)性產(chǎn)生較為顯著的反向影響；⑤滯后一期的股票市場(chǎng)收益的變動(dòng)會(huì)對(duì)投資者綜合情緒指數(shù)的波動(dòng)性產(chǎn)生不顯著的正向影響。 根據(jù)本文的研究結(jié)果,我們認(rèn)為投資者情緒可以對(duì)中國(guó)股票市場(chǎng)收益及其波動(dòng)性產(chǎn)生顯著的影響,中國(guó)股票市場(chǎng)所呈現(xiàn)的暴漲暴跌現(xiàn)象在一定程度上是由于變化不定的投資者情緒造成的。我國(guó)證券市場(chǎng)管理部門(mén)要特別重視股票市場(chǎng)中投資者情緒因素的作用,要在加強(qiáng)對(duì)投資者心理和行為深入研究的基礎(chǔ)上,采取有效措施維護(hù)證券市場(chǎng)穩(wěn)定,促進(jìn)證券市場(chǎng)繁榮。市場(chǎng)上時(shí)刻存在著投資者情緒,正確認(rèn)識(shí)投資者情緒是我國(guó)證券市場(chǎng)監(jiān)管部門(mén)制定資本市場(chǎng)政策的出發(fā)點(diǎn),我們監(jiān)管的目標(biāo)不是要去消滅投資者情緒,而是要在恰當(dāng)?shù)臅r(shí)候?qū)ν顿Y者情緒進(jìn)行正確引導(dǎo)。
[Abstract]:From the operating situation of the stock markets in the world, investor sentiment can indeed have a significant impact on the price and risk of the stock market, which leads to a large number of "financial anomalies" which can not be explained by the traditional financial theory. As an immature emerging market, the Chinese stock market is setting up the background, operating mode and the way of operation. The development process and other aspects are very different from the foreign mature stock market, and the "financial anomalies" produced by them are also more prominent and prominent. The investor sentiment of Chinese stock market investors is the main characteristic of the Chinese stock market investors, which are mainly characterized by the search for the rich, the herd effect and the overconfidence.
Investor sentiment is an important reflection of investor psychology. It will inevitably affect the behavior and decision-making of investors, and then have a significant impact on the earnings and volatility of the stock market. Our stock market is too young to cause great uncertainty in the investor's psychological environment. Therefore, the income of the Chinese stock market is deeply studied. The interactive relationship between volatility and investor sentiment is an effective way to correctly explain the "abnormal phenomenon" in China's stock market, which is very important for strengthening the risk management and control of the Chinese stock market, improving the government's regulatory efficiency on the stock market, and ensuring the healthy, stable and sustainable development of the Chinese stock market. Meaning and reality.
According to the research needs, this paper gives a comprehensive review of the two aspects of the investor sentiment index, the relationship between investor sentiment and stock returns, and points out the main research results and shortcomings of the current literature, and then, under the guidance of the subjective and objective combination, the principal should put the secondary compound index construction principle. Combining with previous scholars' selection frequency of various indicators and the degree of research data itself, the final selection of four indicators, such as the daily CCTV retail investor sentiment index, institutional investor sentiment index, Shanghai Composite Index daily turnover rate and Shanghai Composite Index daily volume, and the principal component analysis method to construct the above four indexes. In order to build the investor's comprehensive emotional index, and then take the comprehensive emotional index and the Shanghai composite index return rate as the research sample, the relationship between the stock market returns and the investor sentiment in China is empirically studied by the vector autoregression (VAR) model. The conditional heteroscedasticity model (GARCH class model) studies the influence of investor sentiment on the volatility of market returns and the influence of market income changes on investor sentiment volatility.
Through a comprehensive and detailed literature review and empirical test, this paper concludes the following main conclusions: (1) the positive impact of the integrated emotional index on the earnings of China's stock market is significant, but the comprehensive emotional index is not the cause of Grainger's earnings in China's stock market; There is a significant positive impact on the emotional index, and the Chinese stock market returns are the cause of Grainger's cause of the comprehensive emotional index; (3) the comprehensive emotional index of the late stagnation has a significant positive effect on the comprehensive emotional index of the current period, while the effect of the market return on the current market returns is neither definite nor significant; 4. The change of the investor's comprehensive emotional index in the first phase will have a significant reverse effect on the volatility of the stock market returns. 5. The fluctuation of the stock market returns in the first period will have no significant positive effect on the volatility of the investor's comprehensive emotional index.
According to the results of this study, we think that investor sentiment can have a significant impact on the earnings and volatility of China's stock market. The rise and fall of China's stock market is due to the uncertain investor sentiment to some extent. China's certificate market management department should pay special attention to the stock market. The role of the investor's emotional factors is to take effective measures to maintain the stability of the securities market and promote the prosperity of the securities market on the basis of strengthening the study of investors' psychology and behavior. There is an investor sentiment in the market, and the correct understanding of investor sentiment is the starting point of the capital market policy of the certificate market supervision department in China. The goal of our regulation is not to eliminate investor sentiment, but to guide investor sentiment at the right time.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.48;F832.51;F224

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