本文選題：投資者情緒　切入點(diǎn)：股市收益　出處：《蘭州大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來(lái),隨著行為金融學(xué)對(duì)多種金融異象的研究,其對(duì)經(jīng)典的金融理論提出了一定程度上的質(zhì)疑。中國(guó)股票市場(chǎng)起步晚、發(fā)展快,時(shí)常發(fā)生劇烈波動(dòng),投資者不理性、不成熟的特征也十分明顯。本文針對(duì)中國(guó)當(dāng)前股票市場(chǎng)的現(xiàn)狀,展開(kāi)了關(guān)于投資者情緒與股票市場(chǎng)收益聯(lián)動(dòng)性的實(shí)證研究。本文將投資者情緒定義為投資者自身對(duì)于金融市場(chǎng)上未來(lái)產(chǎn)品價(jià)格的帶有一定程度偏差的投資者預(yù)期,并把現(xiàn)有的投資者情緒衡量指標(biāo),按照獲取數(shù)據(jù)時(shí)的性質(zhì)和方式的差異劃分為三類:顯性指標(biāo)、隱性指標(biāo)和情緒代理變量,并最終選定中國(guó)證券投資者保護(hù)基金有限責(zé)任公司發(fā)布的月度投資者信心指數(shù)作為考量指標(biāo)。結(jié)果表明,投資者信心指數(shù)變化率曲線與上證指數(shù)收益率曲線及創(chuàng)業(yè)板指數(shù)收益率曲線之間表現(xiàn)出協(xié)同變化的趨勢(shì),而且相對(duì)于創(chuàng)業(yè)板指數(shù)收益率曲線,投資者信心指數(shù)變化率曲線與上證指數(shù)收益率曲線間的協(xié)同變化更加明顯。接著,本文構(gòu)建了滯后期為1期的向量自回歸模型(VAR)來(lái)對(duì)投資者情緒與股市收益之間的動(dòng)態(tài)關(guān)聯(lián)展開(kāi)深入分析。通過(guò)脈沖響應(yīng)分析和方差分解后,筆者由格蘭杰因果檢驗(yàn)得知投資者信心指數(shù)變化率與上證指數(shù)收益率以及創(chuàng)業(yè)板指數(shù)收益率之間互為因果。然后運(yùn)用Engle和Granger兩步法建立誤差修正模型,對(duì)結(jié)論再次進(jìn)行驗(yàn)證。在確定投資者情緒與股市走向之間存在關(guān)聯(lián)性的基礎(chǔ)上,將時(shí)間跨度納入考量,利用GARCH模型和TARCH模型實(shí)證檢驗(yàn)得知股市收益的波動(dòng)具有杠桿效應(yīng),利空消息會(huì)比等量的利好消息產(chǎn)生更大的波動(dòng)。最后,針對(duì)價(jià)格波動(dòng)的非對(duì)稱性,本文分別采用TARCH、EGARCH和CARCH模型,研究了市場(chǎng)不同階段中利好與利空消息的沖擊效應(yīng)�？傮w而言,筆者通過(guò)金融建模得出了本文的研究成果。但是,由于投資者結(jié)構(gòu)的變動(dòng)性和衡量指標(biāo)的局限性,研究結(jié)論未必能完全準(zhǔn)確的反映當(dāng)前的市場(chǎng)狀態(tài)。下一步的研究中,可結(jié)合投資者個(gè)體差異和市場(chǎng)運(yùn)行趨勢(shì),納入多維度因素來(lái)編制綜合性的衡量指標(biāo),以便于量化投資者情緒的溫度,為證券監(jiān)管機(jī)構(gòu)和市場(chǎng)參與者提供市場(chǎng)波動(dòng)預(yù)判及風(fēng)險(xiǎn)預(yù)警的參考。
[Abstract]:In recent years, with the study of various financial anomalies in behavioral finance, the classical financial theory has been questioned to a certain extent. The stock market in China starts late, develops rapidly, often fluctuates violently, and investors are irrational. The characteristics of immaturity are also obvious. This paper aims at the current situation of stock market in China. An empirical study on the linkage between investor sentiment and stock market returns is carried out. In this paper, investor sentiment is defined as the investor's own expectations of the future product price in the financial market with a certain degree of deviation. And according to the difference of the nature and the way of obtaining the data, the existing investor sentiment measurement index can be divided into three categories: dominant index, implicit index and emotion proxy variable. Finally, the monthly investor confidence index issued by China Securities Investor Protection Fund Limited is selected as the index. The results show that. The variation rate curve of investor confidence index, the yield curve of Shanghai Stock Exchange index and the yield curve of growth enterprise board index show the trend of synergistic change, and compared with the yield curve of growth enterprise market index, the change rate curve of investor confidence index shows the trend of synergistic change. The synergistic change between the rate of change curve of investor confidence index and the yield curve of Shanghai stock index is more obvious. In this paper, a vector autoregressive model with a lag of 1 period is constructed to analyze the dynamic correlation between investor sentiment and stock market returns. After impulse response analysis and variance decomposition, By Granger causality test, the author finds out that the rate of change of investor confidence index is causality with the rate of return of Shanghai Stock Exchange Index and the rate of return of growth Enterprise Market Index. Then the error correction model is established by using Engle and Granger two-step method. The conclusion is verified again. On the basis of determining the correlation between investor sentiment and the trend of stock market, the time span is taken into account, and the empirical test of GARCH model and TARCH model shows that the volatility of stock market returns has leverage effect. Good news has more volatility than good news. Finally, aiming at the asymmetry of price volatility, this paper studies the impact effect of good and bad news in different stages of the market by using TARCHUE EGARCH and CARCH models, respectively. However, due to the volatility of investor structure and the limitation of measurement index, the conclusion of the study may not be able to reflect the current market state exactly. Combining individual investor differences and market operating trends, we can incorporate multi-dimensional factors to compile comprehensive metrics to quantify the temperature of investor sentiment. For securities regulators and market participants to provide market volatility prediction and risk early warning reference.
【學(xué)位授予單位】：蘭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 王春;;投資者情緒對(duì)股票市場(chǎng)收益和波動(dòng)的影響——基于開(kāi)放式股票型基金資金凈流入的實(shí)證研究[J];中國(guó)管理科學(xué);2014年09期

2 廖理;賀裴菲;張偉強(qiáng);沈紅波;;中國(guó)個(gè)人投資者的過(guò)度自信和過(guò)度交易研究[J];投資研究;2013年08期

3 胡昌生;池陽(yáng)春;;反饋交易、投資者情緒與波動(dòng)性之謎[J];南方經(jīng)濟(jì);2012年03期

4 于全輝;孟衛(wèi)東;;牛熊市投資者情緒與上證綜指的協(xié)整關(guān)系研究[J];預(yù)測(cè);2010年05期

5 陳軍;陸江川;;基于DSSW模型投資者情緒與股價(jià)指數(shù)關(guān)系研究[J];預(yù)測(cè);2010年04期

6 楊陽(yáng);萬(wàn)迪f ;;不同市態(tài)下投資者情緒與股市收益、收益波動(dòng)的異化現(xiàn)象——基于上證股市的實(shí)證分析[J];系統(tǒng)工程;2010年01期

7 池麗旭;莊新田;;投資者情緒與股票收益波動(dòng)溢出效應(yīng)[J];系統(tǒng)管理學(xué)報(bào);2009年04期

8 唐靜武;王聰;;市場(chǎng)情緒、溢價(jià)與波動(dòng)[J];經(jīng)濟(jì)評(píng)論;2009年04期

9 李愛(ài)梅;譚清方;;情緒代理變量對(duì)投資者決策的影響[J];心理科學(xué)進(jìn)展;2009年01期

10 張強(qiáng);楊淑娥;楊紅;;中國(guó)股市投資者情緒與股票收益的實(shí)證研究[J];系統(tǒng)工程;2007年07期

相關(guān)博士學(xué)位論文 前2條

1 韓澤縣;投資者情緒與中國(guó)證券市場(chǎng)的實(shí)證研究[D];天津大學(xué);2005年

2 涂春輝;創(chuàng)業(yè)板市場(chǎng)制度研究[D];中國(guó)社會(huì)科學(xué)院研究生院;2002年

，

本文編號(hào)：1589995