【摘要】：證券市場的定價偏誤問題一直受到金融學家的關(guān)注,并對此進行了大量的研究。本文通過研究,從市場情緒角度對證券市場的定價偏誤問題進行解釋,并對二者的關(guān)系進行實證研究,找出二者之間的實證模型。 首先,對市場情緒進行了研究。本文通過總結(jié)市場情緒指數(shù)的相關(guān)研究成果,并對各種市場情緒指數(shù)的方法進行比較,采用滬市月度換手率、IPO首日收益率、A股新增開戶數(shù)3個指標進行組合構(gòu)建我國市場上的市場情緒指數(shù)。通過實證研究,市場情緒指數(shù)滯后4期數(shù)據(jù)與上證指數(shù)走勢比較吻合,而且市場情緒指數(shù)能夠引導上證指數(shù)的變化,而反之則不然。其次,采用上市公司的增發(fā)和回購行為來作為衡量股票被高估和低估的特征。本文通過對上證180指數(shù)成分股進行梳理,賣出增發(fā)的股票,買進回購的股票構(gòu)建系統(tǒng)性定價偏誤因子,結(jié)果顯示系統(tǒng)性定價偏誤因子能夠追蹤這種定價偏誤,從而證明了系統(tǒng)性定價偏誤的存在性。然后,對市場情緒與定價偏誤關(guān)系的DSSW模型進行研究發(fā)現(xiàn),其假設(shè)條件中關(guān)于未來證券價格服從正態(tài)分布與現(xiàn)實情況不符。通過統(tǒng)計發(fā)現(xiàn),市場上的證券未來價格具有尖峰厚尾特征,本文選用能夠描述尖峰厚尾特征的Levy分布來修正DSSW模型,通過新模型的推導,發(fā)現(xiàn)存在噪音投資者的市場均衡價格與噪音投資者的估計偏誤期望水平成正比；與估計偏誤水平高于其期望水平成正比；與證券的歷史走勢波動在一定情況下成正比。最后,通過推導發(fā)現(xiàn)市場情緒指數(shù)滯后一定階數(shù)的數(shù)據(jù)與系統(tǒng)性定價偏誤因子成正比,通過采用上證180指數(shù)構(gòu)建的定價偏誤因子與市場情緒指數(shù)進行實證發(fā)現(xiàn),這種結(jié)論成立,可以看出市場情緒對系統(tǒng)性定價偏誤具有一定的解釋能力。
[Abstract]:The problem of pricing bias in securities market has been paid close attention to by financiers, and a lot of researches have been done on it. This paper explains the problem of pricing bias in securities market from the perspective of market sentiment, and makes an empirical study of the relationship between the two, and finds out the empirical model between the two. First of all, the market sentiment is studied. This paper summarizes the relevant research results of market sentiment index and compares various methods of market sentiment index. The paper adopts the monthly turnover rate of Shanghai Stock Exchange and the first-day return of IPO. A-share number of new accounts to build a combination of three indicators of market sentiment index on the Chinese market. Through the empirical study, the market sentiment index lag 4 times data and the Shanghai stock index trend is more consistent, and the market mood index can guide the Shanghai index change, but vice versa. Secondly, the IPO and buy-back behavior of listed companies are used as a measure of stock overvaluation and undervaluation. This article combs the Shanghai Stock Exchange 180 index component stock, sells the additional stock, buys the buy-back stock to construct the systematic pricing error factor, the result shows that the systematic pricing error factor can track this kind of pricing error. Thus, the existence of systematic pricing errors is proved. Then, the DSSW model of the relationship between market sentiment and pricing bias is studied, and it is found that the assumption that the future securities price obeys normal distribution does not agree with the actual situation. It is found by statistics that the future price of securities in the market has the characteristics of spikes and thick tails. In this paper, the Levy distribution which can describe the characteristics of spikes and thick tails is selected to modify the DSSW model, and the derivation of the new model is carried out. It is found that the market equilibrium price of noise investors is in direct proportion to the expectation level of noise investors' estimation errors. It is proportional to the level of estimation error higher than its expected level and to the fluctuation of the historical trend of securities under certain circumstances. Finally, it is found that the data of market sentiment index lagging a certain order is proportional to the systematic pricing error factor, and the empirical result is found by using the pricing error factor constructed by Shanghai Stock Exchange 180 Index and the market sentiment index, and this conclusion is valid. It can be seen that market sentiment to the systematic pricing bias has a certain ability to explain.
【學位授予單位】：北京交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

相關(guān)期刊論文 前7條

1 劉超;韓澤縣;;投資者情緒和上證綜指關(guān)系的實證研究[J];北京理工大學學報(社會科學版);2006年02期

2 鄒輝文,李文新,湯兵勇;證券市場投資者的心理和決策特征評述[J];財貿(mào)研究;2005年03期

3 裴平,張誼浩;中國股票投資者認知偏差的實證檢驗[J];管理世界;2004年12期

4 王美今,孫建軍;中國股市收益、收益波動與投資者情緒[J];經(jīng)濟研究;2004年10期

5 李稻葵;汪進;馮俊新;;貨幣政策須對沖市場情緒:理論模型和政策模擬[J];金融研究;2009年06期

6 王朝暉;李心丹;;我國投資者情緒波動性與股市收益[J];寧波大學學報(人文科學版);2008年06期

7 周洪榮;吳衛(wèi)星;周業(yè)安;;我國A股市場中的波動性之謎與市場情緒[J];上海經(jīng)濟研究;2012年04期

相關(guān)博士學位論文 前3條

1 薛斐;基于情緒的投資者行為研究[D];復旦大學;2005年

2 孫碧波;基于學習行為的噪聲交易者情緒演化研究[D];復旦大學;2005年

3 于全輝;投資者情緒與證券市場價格互動關(guān)系研究[D];重慶大學;2009年

，

本文編號：2441773