【摘要】：有效市場假說一直是金融學(xué)理論的核心命題，然而，卻無法解釋現(xiàn)實(shí)金融市場中的異常現(xiàn)象。行為金融理論在能獲得的金融數(shù)據(jù)基礎(chǔ)上，既提出了比有效市場更好的解釋，也提出了新的能夠進(jìn)行實(shí)證檢驗(yàn)預(yù)測方法。行為金融學(xué)認(rèn)為，市場并非總是有效的，，投資者心理會(huì)影響投資者預(yù)期和投資者決策，進(jìn)而影響股票市場及證券價(jià)格。 本文從行為金融理論角度出發(fā)，梳理了國內(nèi)外相關(guān)研究，綜述了國內(nèi)外研究發(fā)展現(xiàn)狀，利用回歸分析、主成分分析、格蘭杰（Granger）因果檢驗(yàn)等方法檢驗(yàn)投資者情緒分別對(duì)主板和中小板收益率的影響，實(shí)證結(jié)果表明，投資者情緒對(duì)中小板的影響大于對(duì)主板的影響。 文章實(shí)證分析主要由兩部分組成。首先，以2008年7月到2012年6月深圳市場交易數(shù)據(jù)為基礎(chǔ)，借鑒Baker和Wurgler構(gòu)建投資者情緒的方法，采用新增股票開戶數(shù)、新增基金開戶數(shù)、深證基金指數(shù)、深證綜指、深市股票成交額、封閉式基金折價(jià)率這六大指標(biāo)，利用主成分分析方法構(gòu)建出符合中國證券市場特征的投資者情緒指數(shù)，并通過分析認(rèn)為此指數(shù)可以作為市場情緒的代理變量。其次，運(yùn)用理論分析和實(shí)證分析結(jié)合的方法，分別對(duì)我國深圳股票市場主板和中小板2008年7月到2012年6月的時(shí)間序列數(shù)據(jù)和面板數(shù)據(jù)進(jìn)行回歸分析，回歸分析結(jié)果發(fā)現(xiàn)，投資者情緒對(duì)于中小板市場（無論指數(shù)收益率還是個(gè)股收益率）的影響顯著大于對(duì)主板的影響。
[Abstract]:The efficient market hypothesis has always been the core proposition of financial theory, however, it can not explain the abnormal phenomenon in the real financial market. Based on the available financial data, behavioral finance theory not only provides a better explanation than the efficient market, but also puts forward a new prediction method which can be tested empirically. Behavioral finance believes that the market is not always effective, investor psychology will affect investors' expectations and decisions, and then affect the stock market and securities prices. From the perspective of behavioral finance theory, this paper reviews the relevant research at home and abroad, summarizes the development of domestic and foreign research, uses regression analysis, principal component analysis, Granger (Granger) causality test is used to test the influence of investor sentiment on the yield of main board and small board respectively. The empirical results show that the influence of investor sentiment on the main board is greater than that on the main board. The empirical analysis consists of two parts. First of all, based on the trading data of Shenzhen market from July 2008 to June 2012, using the method of Baker and Wurgler to construct investor sentiment, adopting the number of new stocks opening accounts, the number of new fund accounts, the Shenzhen Fund Index, the Shenzhen Composite Index. Based on the six indexes of stock turnover and closed-end fund discount rate in Shenzhen Stock Market, the principal component analysis (PCA) method is used to construct the investor sentiment index which accords with the characteristics of China's securities market, and it is considered that this index can be used as a proxy variable of market sentiment. Secondly, using the method of theoretical analysis and empirical analysis, the time series data and panel data of main board and small board of Shenzhen stock market from July 2008 to June 2012 are analyzed by regression analysis, and the results of regression analysis show that, The impact of investor sentiment on the small and medium board market (whether the index yield or the return on individual stocks) is significantly greater than on the main board.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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