本文關鍵詞：網(wǎng)絡搜索強度與中國股票市場走勢的相關性分析　出處：《華東理工大學》2017年碩士論文　論文類型：學位論文

  更多相關文章： 網(wǎng)絡搜索強度 百度指數(shù) 中證500指數(shù)成分股 股票異常交易量 股票收益率

【摘要】：投資者完全理性是以有效市場假說為代表的傳統(tǒng)金融學理論的前提,而有限理性的提出使這一前提受到廣泛質疑�？隙ㄍ顿Y者非完全理性和市場非有效性的行為金融學理論對于許多市場異象能夠給出合乎邏輯的闡釋,受到大量關注。行為金融學理論結合心理學和行為學的研究成果,從分析市場參與者的心理、信念和行為規(guī)律入手,與現(xiàn)實世界更為貼合,正不斷流行起來。在股票市場中,行為金融學理論認為,由于投資者非理性因素的存在,股票價格會偏離其內在價值。網(wǎng)絡搜索強度可以作為衡量市場中投資者關注度的大小,其與股票市場價格和交易量的變化密切相關。本文在已有文獻的基礎上,采取類似的思路,以個人投資者占比超99%的中國A股市場為研究范圍,實證分析網(wǎng)絡搜索強度與中國A股市場走勢之間的相關性,以期能夠為行為金融學領域的研究提供更多的數(shù)據(jù)支持。本文選取中證500指數(shù)成分股為樣本,獲取百度指數(shù)數(shù)據(jù)計算股票簡稱網(wǎng)絡搜索強度,應用股票組合分析和回歸分析兩種方法,得出股票異常交易量與網(wǎng)絡搜索強度顯著正相關、股票收益率與網(wǎng)絡搜索強度顯著負相關的結論,后者與現(xiàn)有文獻的分析結果有所不同,可能與本文所選的股票樣本有關,體現(xiàn)了本文研究的價值與意義。
[Abstract]:Investors' complete rationality is the premise of the traditional financial theory represented by the efficient market hypothesis. The theory of behavioral finance, which affirms that investors are not completely rational and market is not effective, can give a logical explanation to many market anomalies. Behavioral finance theory combined with the research results of psychology and behavior, from the analysis of market participants' psychology, beliefs and behavior rules, and the real world is more suitable. In the stock market, behavioral finance theory believes that investors are not rational because of the existence of factors. Stock price will deviate from its intrinsic value. Internet search intensity can be used as a measure of investor attention in the market, which is closely related to the change of stock market price and trading volume. Taking the Chinese A-share market with a ratio of more than 99% for individual investors as the research scope, this paper empirically analyzes the correlation between the intensity of Internet search and the trend of A-share market in China. In order to provide more data support for the field of behavioral finance. This paper selects the CSI 500 index as the sample to obtain Baidu index data to calculate the strength of the stock search. By using two methods of stock combination analysis and regression analysis, it is concluded that the abnormal trading volume of stock is significantly positively correlated with the intensity of network search, and the return of stock is negatively correlated with the intensity of network search. The latter may be related to the stock samples selected in this paper, which reflects the value and significance of this study.
【學位授予單位】：華東理工大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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本文編號：1433783