本文選題：行為金融學 + 股票指數�。� 參考：《西南財經大學》2012年碩士論文

【摘要】：隨著我國金融市場的發(fā)展,股票已經成為投資者最為關注的資產種類。經過近20年的發(fā)展,我國的股票市場已初步實現了與國民經濟地位和數量的匹配。股票市場行情不僅集中反映資本市場的動態(tài),也是國家經濟狀況的重要參照。然而股票數量繁若群星,每種股票的價格又在隨機變化。為了記錄、衡量、分析股票市場行情,金融服務機構編制了各種股票價格指數。股票價格指數是反映股票市場中股票價格變動總體水平的重要尺度,更是分析、預測發(fā)展趨勢進而決定投資行為的主要依據。目前,隨著中國經濟的高速發(fā)展,股票指數的研究已經成為一個熱門的話題。 當閱讀紛繁龐雜的股評時,我們會發(fā)現股評家對股票指數在某些特殊點位附近的走向特別關注。股票指數上漲或下跌穿過2000、3000這樣的點位時,股評家一般會將其看作重大的利好或利空消息。所謂“心理關口”就是指股票指數中對投資者在投資決策時起到重要的心理影響而導致股票指數非理性波動的特殊數值。而這些心理關口是否真的存在?以及心理關口的存在會對股票指數的收益率帶來怎樣的影響?這就是本文所要解決的問題。 本文選擇了在我國股票市場具有代表性的上證綜合指數和深圳成分指數作為研究對象分析心理關口現象。在實證檢驗部分,本文主要采用了建模、統(tǒng)計量檢驗、再次建模、結果闡釋等分析方法對上述兩個問題進行了回答。 論文第一章是緒論部分,簡單介紹了有效市場理論、行為金融學和股票指數的基礎知識,以及股票指數對市場參與者的重要性。從而引出了心理關口現象,并闡述了研究股票指數心理關口效應的意義。 第二章是國外以及國內關于心理關口效應的文獻綜述并指出文獻中存在的有待商榷之處。國外學者主要運用兩種方法對心理關口效應進行研究。第一種方法是檢驗股票指數絕對值的M值頻率分布是否一致；第二種方法是股票指數是日收益率對心理關口的動態(tài)回歸。通過研究他們發(fā)現,心理關口現象在不同的股票指數之間有著不同的表現,有些股票指數的心理關口現象比較明顯,有些股票指數的心理關口現象并不明顯。有些學者還發(fā)現在其它資本市場中,比如黃金、外匯和債券市場,也存在心理關口現象。在國內,行為金融學剛剛起步,針對心理關口研究的文獻數量并不多。國內學者也采用國外學者的研究方法對上證綜合指數、深圳成分指數和滬深300指數分別進行了50分位和100分位心理關口效應的研究。他們還將研究范圍拓展到股票指數的日交易量、單只股票的日收盤價、高頻數據和股指均線方面。 本文承繼了上述的研究方法,對上證綜合指數和深圳成分指數分別進行了50分位和100分位心理關口現象進行研究。通過仔細的研究,本文對上述的文獻提出了一些疑問和看法,例如股票指數樣本時間段的選取、虛擬變量的設定方面,并對以上方面嘗試性的做出了某些改善和創(chuàng)新。首先,本文選取了政策制度以及經濟運行相對平穩(wěn)的時間段內的股票指數作為樣本數據。其次,本文對股票指數收益率回歸模型的虛擬變量進行了重新的設定,并且采用逐步回歸法檢驗和修正了回歸模型的多重共線性的問題。 第三章是理論分析部分。首先,介紹了弱勢有效市場、半強勢有效市場和強勢有效市場的成立條件和相互關系。其次,介紹了行為金融對投資者非理性行為心理特征及其形成原因的研究成果。最后對實證分析的步驟作了詳細的說明,具體內容包括M值的算法、M值頻率分布模型的建立、股票指數收益率對心理關口的檢驗步驟。M值的頻率分布模型包括頻率分布圖、回歸模型和駝峰檢驗,并對其進行了穩(wěn)健性檢驗。股票指數收益率回歸模型包括篩選虛擬變量并回歸、衡量回歸模型的序列相關性、擾動項存在序列相關的線性回歸方程的估計與修正、衡量并消減回歸模型的殘差平方序列的相關性。該部分還對回歸模型中所涉及到的計量知識進行了簡單的介紹,其中包括多重共線性、逐步回歸法、自相關檢驗中的Q-統(tǒng)計量和Breush-Godfrey LM檢驗、ARMA模型、ARCH模型、ARCH LM檢驗和GARCH模型。 第四章是實證部分。首先對上證綜合指數和深圳成分指數的絕對值分別進行了50分位和100分位的M值回歸。其次,在對兩支股票指數的收益率回歸模型中,先對其平穩(wěn)性進行了檢驗,隨后按照理論部分中介紹的步驟進行了實證分析。上證綜合指數在50倍心理關口的檢驗中最終建立了ARMA (2,0)-GARCH (1,1)模型；在100倍心理關口檢驗中最終建立了ARMA(2,1)-GARCH (1,1)模型。深圳成分指數在50倍心理關口的檢驗中最終建立了GARCH(1,1)模型；在100倍心理關口的檢驗中最終建立了ARMA (1,1)-GARCH (1,1)模型。 第五章則對全文進行了總結,并得出以下結論及建議： 1、在股票指數絕對值回歸模型中,上證綜合指數和深圳成分指數無論對于50分位還是100分位,心理關口現象都不存在。 2、在股票指數收益率回歸模型中,上證綜合指數和深圳成分指數的心理關口現象比較顯著。 通過分析以上的結論,結合行為金融學的相關知識,本文嘗試提出以下幾點建議： 1、對于投資者來說,股票市場并不是一個完全有效的市場,人們的投資行為或多或少地都會受到自己心理情況的影響。而對某一類數字有特別的偏好這種心理是普遍存在的,所以投資者可以根據股票指數在心理關口處的變化規(guī)律進行適當的預期并選擇投資策略。但是,上述結果能否進行技術性的交易則還需要更進一步的研究。 2、從行為金融學的角度看,在投資者過程中投資者會出現很多的非理性行為,為了避免出現收益的過度波動而獲取長期收益,投資者應該克服自己的心理誤區(qū),進行理性的投資。雖然這些非理性的心理都是人性的弱點,但是我們在投資過程中,應該做到以下幾點：樹立正確的心態(tài),打好投資的思想基礎；常自省,提高決策質量；克服心理弱點,掌握最佳的投資時機。 3、我國的證券市場制度還不是很完善,也不是很健全,這會加劇投資者行為的偏差。因此,除了讓投資者有正確的心態(tài)以外,我們還應該努力為他們創(chuàng)造一個良好的投資環(huán)境。首先,應該加強政府的調控,制定更加公平、公正、透明的政策。其次,規(guī)范信息披露制度,提高信息披露的質量和效率。最后,開展心理培訓,讓投資者克服自己的心理弱點從而進行理性投資。
[Abstract]:With the development of China's financial market, stock has become the most important type of asset for investors. After nearly 20 years of development, China's stock market has preliminarily realized the match with the status and quantity of the national economy. The stock market not only reflects the dynamic of the capital market, but also an important reference for the state's economic situation. However, the stock market is also an important reference for the state's economic situation. In order to record, measure, and analyze the stock market, the financial service institutions have compiled various stock price indices. The stock price index is an important measure to reflect the overall level of the stock price change in the stock market. It is also an analysis to predict the trend of development and then determine the investment bank. At present, with the rapid development of China's economy, the research of stock index has become a hot topic.
When we read a lot of commentaries, we will find the commentators pay special attention to the direction of the stock index near some special points. When the stock index goes up or down through 20003000 such points, the stock critics generally think of the stock index as a major profit or profit message. How do these psychological barriers really exist and how does the existence of psychological juncture affect the yield of stock index? This is the problem to be solved in this article.
This paper chooses the Representative Shanghai Composite Index and the Shenzhen composition index as the research object to analyze the psychological gateway phenomenon. In the empirical test part, this paper mainly uses the modeling, statistics test, re modeling, and the interpretation of the results to answer the above two problems.
The first chapter is the introduction, which briefly introduces the effective market theory, the basic knowledge of behavioral finance and stock index, as well as the importance of stock index to the market participants, thus leads to the psychological barrier phenomenon and expounds the significance of the study of the psychological barrier effect of the stock index.
The second chapter is the literature review of foreign and domestic psychological closure effects and points out the existing problems in the literature. Foreign scholars mainly use two methods to study the psychological closure effect. The first method is to test whether the M value distribution of the absolute value of the stock index is consistent; the second method is the stock index. It is found that the psychological barrier phenomenon has different performance between different stock indices, and some stock indices have obvious psychological closing phenomena, and some stock indices are not obvious. Some scholars also find in other capital markets, such as yellow. In the gold, foreign exchange and bond markets, there is also a psychological barrier. In China, behavioral finance is just starting, and there are few literature on the psychological gateway research. Domestic scholars have also adopted foreign scholars' research methods for the Shanghai Composite Index, the Shenzhen composition index and the Shanghai and Shenzhen 300 fingers respectively in 50 and 100 points. They also expanded their research scope to the daily trading volume of stock index, the daily closing price of single stock, the high frequency data and the average of stock index.
This paper, following the above research methods, conducts a study of the 50 sub and 100 sub level psychological juncture of the Shanghai Composite Index and the Shenzhen component index. Through careful study, this paper puts forward some questions and views on the above literature, such as the selection of the time interval of the stock index sample, the setting of the virtual variables, and the First, this paper selects the stock index of the policy system and the relatively stable period of economic operation as the sample data. Secondly, this paper resets the virtual variables of the return model of stock index return, and uses the stepwise regression method to test and amend it. The problem of multiple collinearity in the regression model.
The third chapter is the theoretical analysis part. First, it introduces the conditions and relations of the weak effective market, the semi strong effective market and the strong effective market. Secondly, it introduces the research results of Behavioral Finance on the psychological characteristics of irrational behavior and the causes of its formation. Finally, the steps of the empirical analysis are explained in detail. The content includes the algorithm of M value, the establishment of the M value frequency distribution model, the frequency distribution model of the.M value of the stock index return to the psychological pass test step, which includes the frequency distribution map, the regression model and the hump test, and carries out the robustness test. The return model of the stock index return includes screening virtual variables and regression to measure regression. The sequence correlation of the model, the estimation and correction of the linear regression equation associated with the sequence of the disturbance, measure and reduce the correlation of the residual squared sequence of the regression model. This part also gives a brief introduction to the measurement knowledge involved in the regression model, including the multiple collinearity, stepwise regression method, and autocorrelation test. Q- statistics and Breush-Godfrey LM test, ARMA model, ARCH model, ARCH LM test and GARCH model.
The fourth chapter is an empirical part. First, the absolute value of the Shanghai Composite Index and the Shenzhen component index is divided into 50 and 100 M value regression respectively. Secondly, in the return model of the two stock index, the stability is tested first, and then the empirical analysis is carried out according to the steps introduced in the part of the theory department. The comprehensive index finally established the ARMA (2,0) -GARCH (1,1) model in the test of 50 times the psychological pass, and finally established the ARMA (2,1) -GARCH (1,1) model in the 100 times psychological pass test. The Shenzhen component index finally established the GARCH (1,1) model in the test of 50 times the psychological pass, and finally established the ARMA in the test of the 100 times psychological pass. (1,1) -GARCH (1,1) model.
The fifth chapter summarizes the full text and draws the following conclusions and suggestions:
1, in the regression model of stock index absolute value, the Shanghai Composite Index and Shenzhen component index do not exist for 50 points or 100 bits.
2, in the regression model of stock index return, the mental barrier phenomenon of Shanghai Composite Index and Shenzhen component index is quite significant.
By analyzing the above conclusions and combining the relevant knowledge of behavioral finance, this article tries to make the following suggestions:
1, for investors, the stock market is not a completely effective market, and people's investment behavior is more or less affected by their psychological conditions. And a particular preference for a certain type of numbers is common, so investors can proceed according to the changing rules of the stock index at the psychological juncture. Appropriate expectations and investment strategies should be chosen. However, further research is needed on whether the above results can be technically traded.
2, from the perspective of behavioral finance, investors will have a lot of irrational behavior in the process of investors. In order to avoid the excessive volatility of income and obtain long-term returns, investors should overcome their psychological misunderstandings and make rational investment. Although these irrational psychology are all human weaknesses, we have invested in the investment. In the course, the following points should be done: setting up a correct attitude and making a good ideological basis for investment; constantly introspection, improving the quality of decision-making, overcoming mental weaknesses, and mastering the best opportunity for investment.
3, the securities market system in our country is not perfect and is not very sound, which will aggravate the deviation of investors' behavior. In addition to let investors have a correct attitude, we should also strive to create a good investment environment for them. First, we should strengthen the government's control and make a more fair, just and transparent policy. At the same time, the information disclosure system should be standardized to improve the quality and efficiency of information disclosure. Finally, psychological training is carried out to enable investors to overcome their psychological weaknesses and make rational investment.
【學位授予單位】：西南財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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