本文關(guān)鍵詞：中國(guó)證券投資者信心指數(shù)構(gòu)建及實(shí)證研究　出處：《湖南大學(xué)》2014年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 行為金融學(xué) 投資者信心指數(shù) 投資者調(diào)查 股市收益率

【摘要】：我國(guó)資本市場(chǎng)歷經(jīng)短短二十多年的發(fā)展,從無(wú)到有、從小到大、從區(qū)域到全國(guó)、從默默無(wú)聞到具有世界影響力,得到了迅速的發(fā)展,取得了長(zhǎng)足的進(jìn)步,也正面臨著難得的發(fā)展機(jī)遇期。但我國(guó)證券市場(chǎng)投資者仍以中小投資者為主,個(gè)人投資者教育程度參差不齊,部分投資者缺乏必要的投資知識(shí)和技能,交易頻繁,非理性交易行為明顯,信心明顯不足。同時(shí),信息不對(duì)稱等問題的存在也嚴(yán)重侵害了中小投資者權(quán)利和利益。讓中小投資者充分享有知情權(quán),公平獲得應(yīng)當(dāng)公開的全部信息,是維護(hù)其合法權(quán)益的基本前提。因此,編制并發(fā)布投資者信心指數(shù)具有十分重要的現(xiàn)實(shí)意義。 同時(shí),在金融理論方面,基于理性人假設(shè)和有效市場(chǎng)假設(shè)的傳統(tǒng)金融學(xué)理論對(duì)證券市場(chǎng)很多的“異�！爆F(xiàn)象(如股權(quán)溢價(jià)之謎、封閉式基金之謎、股利之謎、過度反應(yīng)或反應(yīng)不足等)難以做出很好的解釋。為更好地解釋金融市場(chǎng)中的各種“異常”現(xiàn)象,金融經(jīng)濟(jì)學(xué)家把心理實(shí)驗(yàn)的結(jié)果引入金融理論中,從而建立了行為金融學(xué)。行為金融學(xué)把人的心理等主觀因素加入到經(jīng)典的金融模型的考慮之中,并認(rèn)為投資者信心對(duì)于資產(chǎn)定價(jià)有顯著影響。投資者信心的度量和研究已成為行為金融學(xué)的一個(gè)重要課題。 因此,本文認(rèn)為編制并發(fā)布投資者信心指數(shù),了解不同投資者,特別是中小投資者行為和信心特征,對(duì)于推動(dòng)行為金融學(xué)的研究,為投資者提供更多市場(chǎng)信息,保護(hù)中小投資者權(quán)益,促進(jìn)資本市場(chǎng)健康運(yùn)行都具有十分重要的意義。 具體的研究工作包括： 1.對(duì)國(guó)內(nèi)外相關(guān)文獻(xiàn)及資料進(jìn)行收集和整理,對(duì)目前這個(gè)領(lǐng)域的研究成果和研究方向進(jìn)行梳理,確定擬研究的方向。 2.在經(jīng)典的信息傳遞模型基礎(chǔ)上,考慮投資者信心因子對(duì)均衡解的影響,對(duì)原模型進(jìn)行擴(kuò)展。給出了沒有發(fā)布投資者信心指數(shù)和發(fā)布投資者信心指數(shù)兩種情況下的風(fēng)險(xiǎn)資產(chǎn)的均衡價(jià)格和波動(dòng)率,證明了發(fā)布投資者信心指數(shù)可以減少股票市場(chǎng)的波動(dòng)。 3.在借鑒國(guó)內(nèi)外已有投資者信心指數(shù)編制工作的基礎(chǔ)上,根據(jù)中國(guó)證券市場(chǎng)自身特點(diǎn),引入了國(guó)內(nèi)經(jīng)濟(jì)基本面、國(guó)內(nèi)經(jīng)濟(jì)政策、國(guó)際經(jīng)濟(jì)和金融環(huán)境等市場(chǎng)外因素,給出了中國(guó)證券投資者信心指數(shù)編制方案,并采用網(wǎng)上調(diào)查的方式開展了國(guó)內(nèi)持續(xù)時(shí)間最長(zhǎng)、調(diào)查樣本量最大的投資者信心調(diào)查。通過將參與調(diào)查投資者結(jié)構(gòu)與總體投資者結(jié)構(gòu)進(jìn)行比較,論證了本研究所采用的網(wǎng)上調(diào)查的合理性,利用綜合評(píng)分法計(jì)算了投資者信心指數(shù)并對(duì)結(jié)果進(jìn)行了分析。結(jié)果表明：投資者信心指數(shù)較好地預(yù)測(cè)了上證綜指在2008年底的市場(chǎng)底部,其先行性特征比較明顯。 4.對(duì)投資者信心的影響因素進(jìn)行了實(shí)證分析。分析結(jié)果表明：就國(guó)內(nèi)因素而言,投資者的信心受到上證綜指收盤價(jià)、騰落指數(shù)、上證綜指收益波動(dòng)率的顯著影響,且這些因素在下跌期影響最為顯著。而就國(guó)際因素而言,前一期標(biāo)準(zhǔn)普爾500指數(shù)與中國(guó)證券投資者信心存在負(fù)相關(guān)關(guān)系；美國(guó)消費(fèi)者信心指數(shù)對(duì)中國(guó)證券投資者信心的影響不顯著。 5.使用VAR模型對(duì)投資者信心與上證綜指之間的互動(dòng)關(guān)系進(jìn)行了實(shí)證分析。分析表明：滯后3期上證綜指對(duì)投資者信心有顯著反向影響,滯后1期的投資者信心對(duì)上證綜指具有顯著正向影響：投資者信心對(duì)上證綜指的影響先增后減,在第8期達(dá)到最大并在第30期后沖擊的影響逐步消失,持續(xù)時(shí)間較長(zhǎng),而上證綜指對(duì)投資者信心的影響在滯后1期最大,隨后影響逐步降低并在第15期消失,持續(xù)時(shí)間較短。 6.運(yùn)用非對(duì)稱的EGARCH模型分析了投資者信心及其波動(dòng)與上證綜指收益率之間的關(guān)系。分析表明：在控制投資者信心及其波動(dòng)后,上證綜指收益率的波動(dòng)仍呈非對(duì)稱關(guān)系,這表明除了投資者信心之外,還存在其他市場(chǎng)沖擊因素導(dǎo)致上證綜指收益率的波動(dòng)呈非對(duì)稱關(guān)系。 全文按照文獻(xiàn)整理、理論分析、指數(shù)構(gòu)建及分析、實(shí)證研究的邏輯進(jìn)行。全面系統(tǒng)地梳理了現(xiàn)有投資者信心指數(shù)相關(guān)工作。通過對(duì)經(jīng)典的信息傳遞模型進(jìn)行擴(kuò)展,理論上證明了編制并發(fā)布投資者信心指數(shù)具有減少股票市場(chǎng)波動(dòng)的積極作用。首次引入市場(chǎng)外因素編制了中國(guó)證券投資者信心指數(shù),開展了投資者信心網(wǎng)絡(luò)調(diào)查,證明了網(wǎng)絡(luò)調(diào)查在證券投資者調(diào)查實(shí)踐中的科學(xué)性和可行性,有力質(zhì)疑了“網(wǎng)絡(luò)調(diào)查是隨便調(diào)查”的觀點(diǎn)；較好地預(yù)測(cè)了上證綜指在2008年底的市場(chǎng)底部。由于信心調(diào)查開展時(shí)間長(zhǎng),樣本量大,從而提供了分上漲、下跌、橫盤等不同市場(chǎng)趨勢(shì)進(jìn)行討論的可能性。通過對(duì)上漲、下跌、橫盤時(shí)期投資者信心與證券市場(chǎng)及其影響因素的實(shí)證分析,發(fā)現(xiàn)投資者信心在下跌期對(duì)證券市場(chǎng)的影響最為顯著,有力地支持了人們對(duì)股票市場(chǎng)的相關(guān)直覺。
[Abstract]:After just more than 20 years of development, China's capital market from scratch, from small to large, from regional to national, from the unknown to the public to have influence in the world, has been rapid development, has made considerable progress, is facing a rare opportunity for development. But our country's securities market investors are still small and medium investors and individual investors the education level uneven, some investors lack the necessary knowledge and skills of investment, frequent trading, irrational trading behavior is obvious, apparent lack of confidence. At the same time, the problem of information asymmetry is a serious infringement of the rights and interests of small investors. For small and medium-sized investors to fully enjoy the right of equitable access to all the information should be open to the public, is the basic premise to safeguard their legitimate rights and interests. Therefore, has very important practical significance to compile and publish the investor confidence index.
At the same time, the theory of finance, traditional finance theory hypothesis and efficient market hypothesis many of the abnormal phenomenon of the stock market based on (such as the equity premium puzzle, the puzzle of closed-end funds, dividend puzzle, overreaction or underreaction etc.) it is difficult to make a good explanation for a better explanation. The financial market in a variety of "abnormal" phenomenon, the financial economists have psychological experiments into financial theory, so as to establish the behavioral finance behavioral finance. The psychology of people's subjective factors into consideration the financial model, and that investor confidence has a significant impact on asset pricing measure and research. The confidence of investors has become an important topic of behavioral finance.
Therefore, the preparation and release of investor confidence, to understand the different investors, especially small investors behavior and confidence characteristics, to promote the research of behavioral finance, provide more market information for investors, protect the interests of small investors, promote has very important significance for the healthy operation of the capital market.
The specific research work includes:
1. to collect and collate the relevant literature and information at home and abroad, to sort out the research results and research direction in this field, and to determine the direction of the research.
2. in the classical information transmission model based on the consideration of investor confidence factor effect on the equilibrium solution, extend the original model. The equilibrium price and volatility are not issued investor confidence index and investor confidence index released two cases of risk assets ratio, that released the investor confidence index can reduce the volatility of the stock market.
3. based on the domestic and foreign existing investor confidence index from the stock market Chinese, according to its own characteristics, introduced the domestic economic fundamentals, domestic economic policy, international economic and financial environment and market factors, gives China securities investor confidence index compilation scheme, and the use of the online survey carried out continuously at home for the longest time, investor confidence survey sample survey of the largest. By comparing the structure of investors and investors involved in the investigation of the overall structure, demonstrates the online survey of the rationality, by using the comprehensive evaluation method to calculate the investor confidence index and the results were analyzed. The results show that the investor confidence index forecast the Shanghai Composite Index 2008 at the bottom end of the market, the first feature is obvious.
An empirical analysis of influencing factors of investor confidence on the 4.. The results showed that: the domestic factors, the confidence of investors by the Shanghai Composite Index closing price, ADL, significantly affect the yield of SSE Composite index volatility, and these factors in the decline of the most significant impact. While the international factors, there is a negative correlation before a period of standard & Poor's 500 index and China securities investor confidence; U.S. consumer confidence index of Chinese securities investor confidence is not significant.
5. use the VAR model to make an empirical analysis of the interactive relationship between investor confidence and Shanghai. Analysis shows that the lagged 3 Shanghai Composite Index has a significant negative impact on investor confidence, 1 period lag of investor confidence has significant positive effects on the Shanghai Composite Index: the impact of investor confidence of Shanghai composite index increased firstly and then decreased gradually disappear in eighth stage reached the maximum in the thirtieth period and the impact of longer duration, while the Shanghai Composite Index of investor confidence in the effect of lag 1 maximum, then gradually reduce the impact and disappeared in the fifteenth period, lasted for a short time.
6. using the asymmetric EGARCH model to analyze the relationship between investor confidence and its volatility and the Shanghai composite index return. Analysis shows that: in the control of investor confidence and volatility, Shanghai stock return volatility is still a non symmetrical relationship, indicating that in addition to the confidence of investors, there are other factors that lead to the market impact of Shanghai composite index return the fluctuation is asymmetric.
According to literature review, theoretical analysis, construction and analysis of index, empirical research logic. Systematically combed the existing investor confidence index related work. Through extending the classical information transmission model, theoretically proved that compile and publish the investor confidence index has a positive role in reducing the volatility of the stock market for the first time into the market. External factors for securities investor confidence index Chinese, the investor confidence network survey, network survey proved that in the securities investor survey in the practice of science and feasibility, strong question "network survey is just investigating" point of view; to predict Shanghai at the bottom of the end of 2008 the market. Due to the confidence survey time long, a large number of samples, thus providing a rose, fell, the possibility of different market trends sideways are discussed. Through the Up, down, sideways period analysis of investor confidence and the stock market and its influence factors, that affect the confidence of investors on the stock market fell in the period of the most significant, the strong support of the people related to intuition of the stock market.

【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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