本文選題：投資者情緒　切入點(diǎn)：股價(jià)　出處：《華南理工大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：投資者情緒作為行為金融理論的一大分支，是反映投資者心理的重要因素，對(duì)證券市場(chǎng)的運(yùn)行和發(fā)展起著非常重要的作用。但目前有關(guān)情緒對(duì)股市影響的研究，多采用傳統(tǒng)計(jì)量模型，僅從時(shí)間維度進(jìn)行了分析。在此背景下，從時(shí)間域和頻率域相結(jié)合的角度深入分析投資者情緒變化與股票價(jià)格波動(dòng)的影響關(guān)系，或許有新的發(fā)現(xiàn)。 基于此，本文將一種新的數(shù)據(jù)分析方法——集成經(jīng)驗(yàn)?zāi)B(tài)分解（Ensemble EmpiricalMode Decomposition，EEMD）引入到該問(wèn)題的研究中。從多尺度的角度出發(fā)，運(yùn)用EEMD方法分別將投資者情緒和股價(jià)序列分解成若干個(gè)獨(dú)立的、不同尺度的本征模態(tài)函數(shù)（Intrinsic Mode Function，IMF）分量和一個(gè)殘余項(xiàng)，分別提取出序列在不同時(shí)間尺度下的波動(dòng)特征。然后將得到的IMFs按照高低頻重構(gòu)為序列的短期波動(dòng)項(xiàng)，中期重大事件影響項(xiàng)，保留殘余項(xiàng)作為序列的長(zhǎng)期趨勢(shì)項(xiàng)，再結(jié)合計(jì)量模型探討了在不同時(shí)間尺度下投資者情緒對(duì)股價(jià)的總體影響效應(yīng)和橫截面影響效應(yīng)。 實(shí)證結(jié)果表明，就總體效應(yīng)而言，投資者情緒與股指價(jià)格波動(dòng)在不同時(shí)間尺度下呈現(xiàn)出不同的波動(dòng)關(guān)系。從短期波動(dòng)來(lái)看，投資者情緒對(duì)上證綜指價(jià)格波動(dòng)具有顯著正向影響；中期投資者情緒波動(dòng)領(lǐng)先于上證綜指價(jià)格波動(dòng)，而長(zhǎng)期則轉(zhuǎn)變?yōu)樯献C綜指價(jià)格領(lǐng)先投資者情緒波動(dòng)。就橫截面效應(yīng)而言，不同特征股票組合對(duì)投資者情緒的敏感度不同。從短期來(lái)看，除了低市盈率股票以外，其他橫截面股指價(jià)格序列均顯著受到市場(chǎng)投資者情緒的影響，且小盤(pán)股、低價(jià)股、高市盈率股票、績(jī)優(yōu)股及低市凈率股票對(duì)市場(chǎng)投資者情緒更為敏感；從中長(zhǎng)期來(lái)看，則表現(xiàn)為低價(jià)股、高市盈率股票、績(jī)優(yōu)股及低市凈率股票對(duì)市場(chǎng)投資者情緒更為敏感；且在中長(zhǎng)期下投資者情緒領(lǐng)先于價(jià)差序列的波動(dòng)，這表明投資者情緒對(duì)股票市場(chǎng)橫截面價(jià)格具有一定的解釋能力，說(shuō)明投資者情緒對(duì)資產(chǎn)價(jià)格的波動(dòng)產(chǎn)生了橫截面的影響，且這種影響具有顯著的差異性。
[Abstract]:As a branch of behavioral finance theory, investor sentiment is an important factor reflecting investor psychology and plays a very important role in the operation and development of securities market. The traditional econometric model is mostly used, only from the time dimension. Under this background, it is possible to analyze the relationship between investor sentiment change and stock price fluctuation from the angle of time domain and frequency domain, and there may be some new findings. Based on this, a new data analysis method-Ensemble EmpiricalMode decomposition (EEMD) is introduced to the study of this problem. The EEMD method is used to decompose investor sentiment and stock price sequences into several independent, different scale intrinsic Mode function (IMF) components and a residual term. After extracting the fluctuation characteristics of the sequence at different time scales, the obtained IMFs is reconstructed into the short-term fluctuation term of the sequence according to the high and low frequency, the influence item of the medium-term major event, and the residual term as the long-term trend item of the sequence. Combined with the econometric model, the overall and cross-sectional effects of investor sentiment on stock price in different time scales are discussed. The empirical results show that, as far as the overall effect is concerned, investor sentiment and stock index price fluctuate in different time scales. Investor sentiment has a significant positive impact on the price volatility of the Shanghai Composite Index. In the case of cross-sectional effects, investor sentiment volatility in the medium term is ahead of the price fluctuation in the Shanghai Composite Index, while in the long run it has turned into a leading investor sentiment fluctuation in the Shanghai Composite Index. The sensitivity of different characteristic stock combinations to investor sentiment is different. In the short term, except for low price-earnings ratio stocks, other cross-section stock index price sequences are significantly affected by market investor sentiment, and small-cap stocks, low-priced stocks, The stocks with high price-earnings ratio, high price-to-earnings ratio and low price-to-book ratio are more sensitive to the sentiment of market investors, while in the medium and long term, they are characterized by low price stocks, high price-earnings ratio stocks, high transcripts stocks and low price-to-book ratio stocks, which are more sensitive to investors' sentiment in the market. In the medium and long term, investor sentiment leads to the fluctuation of spread sequence, which indicates that investor sentiment has a certain ability to explain the cross-section price of stock market, which indicates that investor sentiment has a cross-sectional influence on the fluctuation of asset price. And this kind of influence has remarkable difference.
【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】：2014
【分類(lèi)號(hào)】：F830.59;F830.91;F224

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