本文關(guān)鍵詞：投資者情緒對中國股市收益及波動影響的實證研究　出處：《遼寧大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 投資者情緒 股票收益 股票收益波動率 預(yù)測能力

【摘要】：傳統(tǒng)金融理論假設(shè)市場是有效的，即金融市場中產(chǎn)品的價格可以充分反應(yīng)出產(chǎn)品歷史的價格信息，這就意味著投資者情緒對市場價格不產(chǎn)生影響，但金融市場中有許多異�，F(xiàn)象是市場有效性理論所無法解釋的。因此，行為金融學(xué)就提出了情緒概念，以解釋金融市場中的異�，F(xiàn)象。行為金融學(xué)認(rèn)為市場是有限套利的，實證結(jié)論表明投資者情緒對市場收益率及波動率具有顯著影響，本文對投資者情緒的研究，有助于進(jìn)一步檢驗市場的有效性，從實踐意義的角度而言，如果投資者情緒是市場收益率及波動率的影響因素，我們在今后對金融市場的研究就要更多的傾向于投資者情緒。 本文采用耶魯-CCER投資者信心指數(shù)作為解釋變量，通過計量模型的實證分析來檢驗投資者情緒是否對股市收益率和波動率具有顯著性影響。全文共有五部分。其中，第一部分是緒論，闡述了本文選題背景、研究意義并回顧了國內(nèi)外相關(guān)文獻(xiàn)的研究分析情況，簡單的介紹了研究的主要內(nèi)容和研究方法，最后還說明了本文的創(chuàng)新性和不足之處。第二部分從理論上介紹了有關(guān)投資者情緒與股票收益率及波動率關(guān)系的部分經(jīng)典理論知識。第三部分構(gòu)建了計量模型實證檢驗了投資者情緒對我國上證A股市場收益率及波動率的影響。第四部分主要闡述了投資者情緒指數(shù)在預(yù)測市場收益率及波動率方面的能力，體現(xiàn)了其在滯后的時間上依然存在著影響。最后一部分是全文的結(jié)論，根據(jù)本文的論證情況提出了一些建設(shè)性的意見，并對未來相關(guān)研究做出了展望。通過實證研究，全文的研究結(jié)果主要包括以下三個方面： 首先，投資者情緒對股票市場收益率有顯著的影響，投資者情緒指數(shù)的變動會很快體現(xiàn)在收益率的變動上，，并且在不同階段體現(xiàn)出來的特征有所不同。具體說來，在大盤上漲階段，投資者情緒對股票收益的影響效應(yīng)最為顯著，而在大盤橫盤震蕩階段與下跌階段，投資者情緒對股票收益的影響相對較小。 其次，投資者情緒與股票波動率之間存在著顯著的影響關(guān)系。投資者的非理性決定了投資者情緒容易變動，而投資者情緒的變動會通過收益的波動很快體現(xiàn)出來。和收益率相似，投資者情緒對股票波動性的影響同樣具有階段性，不同的投資情緒會造成波動率不同程度和方向的變化。 再次，當(dāng)期投資者情緒能預(yù)測未來股票收益率、波動率的走勢。即投資者情緒會對被解釋變量產(chǎn)生一定程度的滯后效應(yīng)，當(dāng)然隨著時間的推移，這種滯后效應(yīng)的影響會變得越來越微弱。 本文的創(chuàng)新之處：1通過顯性情緒指標(biāo)，重點關(guān)注投資者心理及投資者情緒的變化，在保證樣本充足的情況下檢驗投資者情緒對股票收益率及波動率是否具有顯著影響。2利用投資者情緒對未來收益率及波動率進(jìn)行了預(yù)測，對投資者及監(jiān)管機(jī)構(gòu)具有一定的參考價值。 但是由于耶魯—CCER投資者信心指數(shù)調(diào)查對象針對機(jī)構(gòu)和個人，所以它是一項綜合性指數(shù)，理性投資者情緒指數(shù)完全針對機(jī)構(gòu)投資者，而非理性投資者情緒指數(shù)依賴于個人投資者，所以我們應(yīng)該在今后的研究中嘗試將個人和機(jī)構(gòu)的調(diào)查情況分開研究，雙向探討理性和非理性投資者情緒對股市的影響。
[Abstract]:Suppose the market of traditional financial theory is valid, i.e. products in the financial market prices fully reflect the history of the product price information, which means that the investor sentiment has no effect on the market price, but there are many abnormal phenomena in the financial market is unable to explain the theory of market efficiency. Therefore, behavioral finance is put forward the conception of emotion, to explain the abnormal phenomena in the financial market. The behavioral finance believes that the market is limited arbitrage, the empirical results show that investor sentiment has a significant impact on the market rate of return and volatility, this paper studies on investor sentiment, the effectiveness is helpful to further test the market, from the perspective of practical significance and if the investor sentiment is a factor affecting the market return rate and volatility in the future, we tend to research on the financial market will be more to the investor sentiment.
The Yale -CCER investor confidence index as explanatory variables, to test whether investor sentiment has a significant impact on the stock market return and volatility through empirical analysis of econometric models. The thesis consists of five parts. The first part is the introduction, elaborated this article selected topic background, research significance and research reviewed the related literature at home and abroad the analysis of the situation, introduces the main contents and research methods, finally discussed the innovations and deficiencies. The second part introduces the classical theory of knowledge about the relationship between investor sentiment and stock returns and volatility in theory. The third part built an econometric model to empirically test the impact of investor sentiment on China's Shanghai A stock market returns and volatility. The fourth part mainly expounds the investor sentiment index in predicting the market rate of return and Volatility The rate of the ability to reflect the lag in time still exist. The last part is the conclusion of the paper, according to the demonstration this paper puts forward some constructive suggestions and prospects for future research. Through empirical research, the research results of the paper mainly includes the following three aspects:
First of all, investor sentiment has a significant effect on the rate of return of stock market, investor sentiment index changes will soon be reflected in changes in the rate of return, and reflected in the characteristics of different stages are different. In particular, in the rising stage of market effect, the influence of investor sentiment on stock returns is the most significant, and in the market sideways and falling stage, the influence of investor sentiment on stock returns is relatively small.
Secondly, there is a significant impact between investor sentiment and stock volatility. Irrational investors decide the investor sentiment and investor sentiment is easy to change, change will soon be reflected by the fluctuation of income. And the rate of return is similar to that of the influence of investor sentiment on stock volatility also has different investment stages, mood it will result in changes of different degree and direction of the volatility.
Thirdly, current investor sentiment can predict the trend of future stock returns and volatility. That is, investor sentiment will have a lagging effect on the explanatory variables. As time goes on, the lag effect will become weaker and weaker.
The innovation of this paper: 1 the dominant sentiment index, focus on changes in investor psychology and investor sentiment, to ensure sufficient samples under the condition of test of investor sentiment on stock return and volatility has a significant effect on whether.2 uses investor sentiment on the future rate of return and volatility are predicted, which has a certain reference value for investors and regulators.
But because Yale CCER investor confidence index survey for institutions and individuals, so it is a comprehensive index, the rational investor sentiment index completely for institutional investors, and irrational investor sentiment index depends on individual investors, so we should in the future research will try to separate research survey of individuals and institutions, two-way to explore the influence of rational and irrational investor sentiment on the stock market.

【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

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