本文關(guān)鍵詞： 行為金融 投資者情緒 波動(dòng)率 有效性檢驗(yàn)　出處：《遼寧大學(xué)》2017年博士論文　論文類型：學(xué)位論文

【摘要】：有效市場理論假設(shè)市場的參與者是理性的,資產(chǎn)價(jià)格完全反映了市場所有可利用信息。這意味著任何投資者都不可能通過技術(shù)分析或基本面分析擊敗市場而獲得超額收益。然而,大量的文獻(xiàn)通過對(duì)“87股災(zāi)”、“99互聯(lián)網(wǎng)泡沫”等“金融異象”的研究發(fā)現(xiàn),投資者并非完全理性的,而是有限理性,甚至是非理性的。20世紀(jì)80年代,行為金融學(xué)從心理學(xué)、行為學(xué)和社會(huì)學(xué)角度,對(duì)金融市場中的非理性行為進(jìn)行了深入探討,并提出證券價(jià)格并不完全由資產(chǎn)的內(nèi)在價(jià)值決定,在很大程度上受到投資者行為的影響,投資者情緒以及由此驅(qū)動(dòng)的行為對(duì)證券價(jià)格的決定和變動(dòng)具有重要影響。在此背景下,本文對(duì)投資者情緒的測度方法及其對(duì)股市的影響進(jìn)行深入探討,進(jìn)一步檢驗(yàn)投資者情緒在股票市場中的作用及其影響。本文重點(diǎn)研究以下幾個(gè)問題:首先是投資者情緒測度問題,這是后面實(shí)證研究的基礎(chǔ);其次是投資者情緒的有效性檢驗(yàn),這是保證研究結(jié)論準(zhǔn)確的必要條件;接下來展開投資者情緒對(duì)股市影響的實(shí)證研究,主要基于投資者情緒是否具備預(yù)測市場的能力,投資者情緒與市場收益率之間存在怎樣的動(dòng)態(tài)關(guān)系,投資者情緒是否對(duì)波動(dòng)率構(gòu)成影響及這種影響是否存在非對(duì)稱效應(yīng)展開研究;最后結(jié)合本文結(jié)論給出對(duì)策建議。通過對(duì)中國股市投資者情緒效應(yīng)研究,得到如下結(jié)論:其一,投資者情緒與股票價(jià)格存在長期均衡關(guān)系,投資者情緒是構(gòu)成市場價(jià)格短期波動(dòng)的一股重要力量;其二,投資者情緒與收益率兩者之間存在單項(xiàng)的因果關(guān)系,理性投資者情緒的變動(dòng)是引起收益率變化的原因,收益率的變動(dòng)是引起非理性投資者情緒變動(dòng)的原因;其三,通過對(duì)沖擊效應(yīng)的方差分解分析表明,投資者情緒波動(dòng)對(duì)收益率波動(dòng)的貢獻(xiàn)度雖然不大,但變量間的短期影響會(huì)在較長時(shí)期中形成累積效應(yīng);其四,投資者情緒對(duì)波動(dòng)率的影響存在非對(duì)稱效應(yīng),悲觀的理性投資者情緒帶來的沖擊要大于樂觀的理性投資者情緒帶來的沖擊,悲觀的非理性投資者情緒帶來的沖擊要小于樂觀的非投資者情緒帶來的沖擊。本文提出了利用網(wǎng)站訪問量構(gòu)建投資者情緒的新方法,該方法充分利用了網(wǎng)站訪問量所蘊(yùn)含的投資者情緒信息,拓展了投資者情緒測度的途徑。一直以來,投資者情緒有效性問題尚未有過細(xì)致的討論,本文首次將皮爾森相關(guān)系數(shù)、肯德爾相關(guān)系數(shù)等統(tǒng)計(jì)方法應(yīng)用于投資者情緒有效性檢驗(yàn)上來,提出了投資者情緒測度的有效性檢驗(yàn)方法,為投資者情緒測度的有效性評(píng)價(jià)提供理論依據(jù)。本文工作是以往投資者情緒研究的推進(jìn),豐富了投資者情緒理論,是對(duì)現(xiàn)有行為金融理論的有益補(bǔ)充。本文意在揭示投資者情緒與中國股市價(jià)格變動(dòng)之間的客觀規(guī)律,為行為金融學(xué)理論提供來自中國股市的證據(jù)。同時(shí)也為監(jiān)管部門如何通過控制投資者情緒穩(wěn)定股市,避免股市風(fēng)險(xiǎn)向?qū)嶓w經(jīng)濟(jì)擴(kuò)散提供政策性依據(jù)。但不可否認(rèn)的是,本文關(guān)于投資者情緒研究還不夠深入,特別在中國股市這樣的新興市場,投資者情緒的波動(dòng)可能會(huì)給市場帶來更多的不確定性,未來需要更深刻認(rèn)識(shí)投資者情緒與中國股市價(jià)格變動(dòng)之間的客觀規(guī)律。
[Abstract]:Efficient market theory assumes that market participants are rational, asset prices fully reflect all available market information. This means that any investors can through technical analysis or fundamental analysis to beat the market and obtain excess returns. However, a large number of literature based on the "87 crash", "99" Internet bubble "" the financial anomalies found that investors are not completely rational, but limited rationality, even irrational.20 century 80s, behavioral finance from the psychology, behavior and sociology perspective of non rational behavior in the financial market are discussed, and put forward the price of securities is not entirely determined by the intrinsic value of the assets. Affected by the behavior of investors to a great extent, has an important influence on investor sentiment and behavior so as to drive the decision and the change of the price of the securities in the background. Next, this paper discusses the measure methods of investor sentiment and its impact on the stock market, to further examine the investor sentiment in the stock market and effect. This paper focuses on the following questions: the first is the problem of investor sentiment measures, which is based on evidence behind; second is to test the effectiveness of investor sentiment, this is the necessary condition to ensure the accurate conclusion of the study; the empirical research on the influence of investor sentiment on the stock market, mainly based on whether investor sentiment has the forecast ability of the market, there is what is the dynamic relationship between investor sentiment and market returns, whether investor sentiment on the volatility of the existence of this effect and asymmetric effect research; finally according to the conclusion of this paper gives suggestions. Through the study of the stock market investors China emotional effect, get the following. Theory: first, investor sentiment and stock price has a long-term equilibrium relationship, investor sentiment is an important force for short-term fluctuations in the market price; second, a causal relationship between the individual investor sentiment and the rate of return between the two, rational investor sentiment changes is the cause of yield changes, changes in the rate of return is the cause irrational investor sentiment changes; thirdly, the impact of the variance decomposition analysis showed that investor sentiment volatility of volatility contribution although modest, but the short-term effect between variables will form a cumulative effect over a long period of time; fourthly, investor sentiment has an asymmetric effect on the impact of volatility, pessimistic reason the impact of investor sentiment than optimistic rational investor sentiment impact, pessimistic irrational investor sentiment impact should be small In non optimistic investor sentiment impact. This paper proposes a new method of constructing the investor sentiment website visits, investor sentiment information the method makes full use of the site visits it, provides a way of investor sentiment measure. Since the effectiveness of investor sentiment has been done in detail in this paper. For the first time, Pearson correlation coefficient, using statistical methods Kendall correlation coefficient to test the effectiveness of investor sentiment, and puts forward some effective test methods to measure investor sentiment, and provide a theoretical basis for the evaluation of the effectiveness of the measure of investor sentiment. This work is a previous study on investor sentiment in advance, enriches the investor sentiment theory is a beneficial supplement. The existing behavioral finance theory. This paper is intended to reveal the law between investor sentiment and stock price volatility China, for From the stock market Chinese evidence of behavioral finance theory. At the same time as the regulatory authorities how to control the stability of the stock market investor sentiment, to avoid the risk of stock market spread to the real economy to provide policy basis. But it is undeniable that the research on investor sentiment is still not deep enough, especially in emerging markets such as Chinese stock market, investor sentiment may the fluctuation of the market will bring more uncertainty, the future need to be more profound understanding of the objective law between investor sentiment and China stock price volatility.

【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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本文編號(hào)：1547643