本文選題：投資者情緒　切入點：偏最小二乘法　出處：《華僑大學》2017年碩士論文

【摘要】：傳統(tǒng)的金融學理論假設投資者是理性人,而且資本市場是有效的。然而,行為金融學認為由于異質(zhì)信念的存在,投資者的決策往往會偏離預期,投資者情緒可能會對資產(chǎn)收益產(chǎn)生影響。大多數(shù)學者是運用主成分分析法來構(gòu)建投資者情緒綜合指數(shù)的,Huang et al.(2015)認為傳統(tǒng)的主成分分析法無法有效消除共同噪聲成分,因此改用偏最小二乘法來構(gòu)建新的投資者情緒綜合指數(shù)�；谏鲜霰尘�,本文重新構(gòu)建了投資者情緒綜合指數(shù),并進行投資者情緒綜合指數(shù)對股票收益影響的實證研究,主要做了以下兩個工作:第一,由于我國證券市場的實際情況與美國存在較大差異,本文借鑒Huang et al.(2015)的構(gòu)建思路,選取2008年4月至2015年6月投資者信心指數(shù)、新增A股開戶數(shù)、市場市盈率以及流通市值加權(quán)市場月?lián)Q手率的數(shù)據(jù)來構(gòu)建投資者情緒綜合指數(shù),并將其與主成分分析法構(gòu)建的投資者情緒綜合指數(shù)進行初步的比較。結(jié)果顯示二者的走勢整體上還是比較一致的,但偏最小二乘法構(gòu)建的投資者情緒綜合指數(shù)更能反映我國A股市場的情緒波動。第二,本文將市場溢酬因子、規(guī)模因子和賬面市值比因子作為控制變量,檢驗投資者情緒綜合指數(shù)對股票收益的影響,發(fā)現(xiàn)投資者情緒綜合指數(shù)是除了三因子之外的又一個影響股票收益的因子。本文進一步檢驗投資者情緒綜合指數(shù)對融資標的股票收益的影響,結(jié)果顯示當投資者情緒高漲時,投資者會進行融資交易,從而增加對股票的需求,股票價格上漲,股票收益也隨之增加。本文的實證結(jié)果表明偏最小二乘法構(gòu)建的投資者情緒綜合指數(shù)能夠解釋股票收益,而且投資者情緒對股票收益有顯著的正向影響。
[Abstract]:Traditional financial theories assume that investors are rational people and that capital markets are efficient. However, behavioral finance believes that due to the existence of heterogeneous beliefs, investors' decisions tend to deviate from expectations. Investor sentiment may have an impact on asset returns. Most scholars, Huang et al.2015, who use principal component analysis to construct a composite index of investor sentiment, believe that traditional principal component analysis cannot effectively eliminate common noise components. Therefore, the partial least square method is used to construct a new composite index of investor sentiment. Based on the above background, this paper reconstructs the composite index of investor sentiment, and carries out an empirical study on the impact of the composite index of investor sentiment on stock returns. The main work is as follows: first, because the actual situation of China's securities market is quite different from that of the United States, this paper draws lessons from Huang et al.2015), selects the investor confidence index from April 2008 to June 2015, and increases the number of A-share accounts opened. Market price-earnings ratio and circulation market value weighted monthly turnover ratio data to build a composite index of investor sentiment. And it is compared with the comprehensive index of investor sentiment constructed by principal component analysis. The results show that the trend of the two indexes is still consistent as a whole. However, the composite index of investor sentiment constructed by partial least square method can better reflect the emotion fluctuation in A-share market. Secondly, this paper takes market overflow factor, scale factor and book market value ratio factor as control variables. To test the impact of the investor sentiment composite index on stock returns, It is found that the composite index of investor sentiment is another factor that affects the stock returns in addition to three factors. This paper further examines the influence of the composite index of investor sentiment on the stock returns of the underlying financial target. The results show that when investor sentiment is high, Investors will make financing transactions to increase the demand for stocks, and the stock price will rise, and the stock returns will increase. The empirical results of this paper show that the composite index of investor sentiment constructed by the partial least squares method can explain the stock returns. And investor sentiment has a significant positive impact on stock returns.
【學位授予單位】：華僑大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

【參考文獻】

相關期刊論文 前10條

1 劉麗文;王鎮(zhèn);;投資者情緒對不同類型股票收益影響的實證研究[J];金融理論與實踐;2016年02期

2 邵新建;何明燕;江萍;薛熠;廖靜池;;媒體公關、投資者情緒與證券發(fā)行定價[J];金融研究;2015年09期

3 汪昌云;武佳薇;;媒體語氣、投資者情緒與IPO定價[J];金融研究;2015年09期

4 王鎮(zhèn);郝剛;;投資者情緒指數(shù)的構(gòu)建研究——基于偏最小二乘法[J];金融理論與實踐;2014年07期

5 胡昌生;池陽春;;投資者情緒、資產(chǎn)估值與股票市場波動[J];金融研究;2013年10期

6 張穎;粟坤全;袁野菁菁;;投資者情緒對風險市場價格的系統(tǒng)影響——中、美股票市場的比較[J];國際商務(對外經(jīng)濟貿(mào)易大學學報);2013年04期

7 張宗新;王海亮;;投資者情緒、主觀信念調(diào)整與市場波動[J];金融研究;2013年04期

8 易志高;茅寧;汪麗;;投資者情緒測量研究綜述[J];金融評論;2010年03期

9 張永杰;張維;金曦;;理性、有限理性、噪音與資產(chǎn)價格[J];系統(tǒng)工程理論與實踐;2009年12期

10 易志高;茅寧;;中國股市投資者情緒測量研究:CICSI的構(gòu)建[J];金融研究;2009年11期

，

本文編號：1658967