本文關(guān)鍵詞：基于投資者情緒效應(yīng)的均值—方差關(guān)系模型研究　出處：《廣州大學(xué)》2016年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 收益 風(fēng)險關(guān)系 均值 方差模型 投資者情緒 ARCH-M模型 結(jié)構(gòu)方程模型 校正似然法 潛變量 門限模型

【摘要】：關(guān)于金融市場收益、風(fēng)險影響因素的研究一直是學(xué)者們所追逐的熱點之一.近年來,行為金融學(xué)的蓬勃發(fā)展為眾多學(xué)者們提供了解決金融問題的新思路.行為金融學(xué)強(qiáng)調(diào)投資者心理、情緒因素在投資決策與市場定價中的作用,由此它成功地應(yīng)用心理學(xué)中的成果解釋了金融市場的許多異象并解決了一些難點問題.但是金融問題的研究不能局限在定性描述與歷史觀察中,需要縝密的邏輯推斷和統(tǒng)計模型的論證選取來定量描述投資者心理是如何影響市場的.因為Markowitz用數(shù)學(xué)期望和標(biāo)準(zhǔn)差度量收益與風(fēng)險,所以在金融領(lǐng)域中通常將市場收益 風(fēng)險關(guān)系也稱作“均值 方差”關(guān)系.鑒于金融市場收益 風(fēng)險關(guān)系普遍存在時變性的事實,本文立足于“投資者情緒”的視角,利用統(tǒng)計方法構(gòu)建模型(以均值 方差模型為主)并對其進(jìn)行探討.本文主要內(nèi)容包括如下三個方面:第一,從決定投資者情緒的心理偏差、偏好等行為因子出發(fā),我們構(gòu)建了分析投資者情緒對投資績效影響的結(jié)構(gòu)方程模型,這些模型包括含交互項的結(jié)構(gòu)方程模型、納入?yún)f(xié)變量的結(jié)構(gòu)方程模型及多組結(jié)構(gòu)方程模型.我們采用實際調(diào)查所搜集的數(shù)據(jù),通過實證檢驗發(fā)現(xiàn):投資者的具體情緒包括它們的交互項會對投資績效產(chǎn)生顯著的影響;情緒的表現(xiàn)程度以及對績效的影響程度會由個體特征(如性別、教育程度等)不同而不同;機(jī)構(gòu)投資者與個體投資者所表現(xiàn)的效應(yīng)也會有所差異.第二,依據(jù)投資者心理會引起市場中收益 風(fēng)險關(guān)系的時變性,我們建立了一類帶有潛變量的變系數(shù)ARCH-M模型.考慮到潛變量的不可直接觀測性,我們采用校正似然方法對參數(shù)進(jìn)行了估計,并且證明在一些正則條件下,估計是相合且漸近正態(tài)的.我們通過建立一個檢驗統(tǒng)計量完成了潛變量效應(yīng)的檢驗.同時數(shù)值模擬結(jié)果表明我們的估計和檢驗具有良好的性質(zhì).此外,我們還應(yīng)用所構(gòu)造的模型實證檢驗了在真實市場中收益 風(fēng)險關(guān)系是受到投資者情緒影響的.第三,通過構(gòu)建帶有GARCH效應(yīng)的門限模型,我們實證研究了投資者情緒對市場收益 風(fēng)險關(guān)系的影響.結(jié)果表明,市場收益 風(fēng)險關(guān)系受投資者情緒的影響是存在轉(zhuǎn)變機(jī)制的.當(dāng)市場情緒落入低迷期,兩者關(guān)系為顯著負(fù)相關(guān);當(dāng)投資者情緒進(jìn)入到高漲期時,兩者關(guān)系是顯著正相關(guān);當(dāng)情緒處在復(fù)蘇、穩(wěn)定期時,兩者關(guān)系并不顯著,而且當(dāng)期情緒的這種作用還會影響到下期的市場.同時我們發(fā)現(xiàn)股市政策性的變化會引起情緒波動.
[Abstract]:About the financial market income, the risk influence factor research has been one of the hot spots pursued by the scholars. In recent years. The vigorous development of behavioral finance provides many scholars with a new way to solve financial problems. Behavioral finance emphasizes the role of investor psychology and emotional factors in investment decision-making and market pricing. Therefore, it has successfully applied the achievements in psychology to explain many anomalies of financial market and solve some difficult problems, but the study of financial problems cannot be confined to qualitative description and historical observation. Careful logical inference and statistical model selection are needed to quantitatively describe how investor psychology affects the market because Markowitz measures returns and risks with mathematical expectations and standard deviations. Therefore, in the financial field, the relationship between market returns and risk is usually referred to as the "mean variance" relationship. This paper is based on the perspective of "investor sentiment", using statistical method to build a model (mainly mean variance model) and discuss it. The main content of this paper includes the following three aspects: first. Based on the behavioral factors, such as psychological bias, preference and so on, we construct structural equation models to analyze the impact of investor sentiment on investment performance. These models include structural equation models with interaction terms. The structural equation model and multiple sets of structural equation models are included in the covariates. We use the data collected from the actual investigation. The empirical results show that investors' specific emotions, including their interactions, have a significant impact on investment performance; The degree of expression of emotion and the degree of influence on performance will be different from individual characteristics (such as gender, education, etc.); The effects of institutional investors and individual investors will also be different. Secondly, according to investor psychology, it will cause the time-varying of the relationship between income and risk in the market. We establish a class of variable coefficient ARCH-M model with latent variables. Considering the non-direct observability of latent variables, we estimate the parameters by means of correction likelihood method. And it is proved that under some regular conditions. The estimation is consistent and asymptotically normal. By establishing a test statistic, we have completed the test of the latent variable effect. The numerical simulation results show that our estimation and test have good properties. We also use the constructed model empirical test in the real market income risk relationship is affected by investor sentiment. Third, by building a threshold model with GARCH effect. We empirically study the influence of investor sentiment on the relationship between market returns and risk. The relationship between market returns and risk is influenced by investor sentiment. When market sentiment falls into a downturn, the relationship between them is significantly negative. When investor sentiment enters the period of upsurge, the relationship between the two is significantly positive correlation; When the emotion is in the recovery and stable period, the relationship between the two is not significant, and the effect of the current emotion will also affect the market in the next period. At the same time, we find that the change of the stock market policy will cause the emotional fluctuation.
【學(xué)位授予單位】：廣州大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：F224;F830

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