投資者情緒指標(biāo)體系的構(gòu)建及實證檢驗
發(fā)布時間：2018-08-18 12:25
【摘要】：近些年來隨著國內(nèi)對行為金融學(xué)研究的深入，發(fā)現(xiàn)投資者情緒與股票價格及收益、資產(chǎn)價格的波動都具有很強(qiáng)的相關(guān)性，在此背景下，投資者情緒在對資產(chǎn)價格及收益波動的影響上越來越受到投資者的重視。行為金融學(xué)是一門綜合性非常強(qiáng)的學(xué)科，綜合了應(yīng)用心理學(xué)、投資者偏好、情感心理學(xué)、社會心理學(xué)、認(rèn)知心理學(xué)等領(lǐng)域的知識和研究成果。很多前人的研究結(jié)果都表明，投資者情緒的變化直接會導(dǎo)致股市的波動，并且這種波動還會隨著情緒的蔓延而更加劇烈。這種影響不僅僅造成股市波動，而且對金融資產(chǎn)的價格也會產(chǎn)生很大影響。在整個價格決定和市場波動的過程中投資者情緒都扮演著重要的角色，因此在行為金融學(xué)領(lǐng)域?qū)ν顿Y者情緒的研究也逐漸流行起來。 對投資情緒的研究在實際中也具有重要的意義。投資者情緒與股市在短期的相互關(guān)系的研究是十分重要，因為這不僅可以從量上找出投資者情緒對股市的影響程度，而且還可以利用投資者情緒指數(shù)來對股市走勢及其收益進(jìn)行有效的預(yù)測。其現(xiàn)實意義表現(xiàn)為：在對股市收益及價格走勢預(yù)測的基礎(chǔ)上，為相關(guān)監(jiān)管部門提供對策和建議，對市場進(jìn)行有效合理的調(diào)控，以防止股市出現(xiàn)劇烈的波動，而擾亂市場，導(dǎo)致投機(jī)盛行損害投資者利益。 本文的主要采用因子分析法構(gòu)建國內(nèi)股票市場投資者情緒指數(shù)。第一步，先對所構(gòu)造的指數(shù)與收益率之間關(guān)系進(jìn)行分析，找出所構(gòu)建指數(shù)的波動性與收益率波動性的關(guān)系，然后根據(jù)實際情況對波動曲線進(jìn)行解釋。本文最后的研究結(jié)果表明投資者情緒指數(shù)與收益率、投資者情緒指數(shù)波動與收益率波動都是具有很強(qiáng)的相關(guān)性；第二步，再通過實證來檢驗構(gòu)造的情緒指數(shù)與股市收益的關(guān)系，以及對收益的解釋程度，，同時與耶魯-CCER中國投資者信心指數(shù)與股市收益的關(guān)系進(jìn)行比較，進(jìn)而來檢驗市場現(xiàn)有的耶魯-CCER投資者情緒指數(shù)的對股市收益的影響程度以及對收益的預(yù)測能力大小。最后本文所得出的結(jié)果是兩個指數(shù)都具有對收益率的預(yù)測能力，但是本文構(gòu)造的NI指數(shù)效果更好；第三步，通過二者實證的檢驗和比較來驗證投資者情緒是否為影響股票均衡價格和收益的的一個重要因素。本文研究結(jié)果表明雖然投資情緒指數(shù)對股票均衡價格和收益具有較大的影響，但是并不是最重要的因素，因為其影響所占的權(quán)重不是很大；第四步，最后對投資者情緒指數(shù)在市場中所起的作用進(jìn)行判別得出結(jié)論和啟示，為整個股市的良性運行提供政策服務(wù)。 本文的創(chuàng)新之處：一是把市場上廣大個人投資者以及機(jī)構(gòu)投資者的個人預(yù)期和對價格的主觀反映與價格的走勢聯(lián)系在一起，并且試圖找出二者之間所存在的聯(lián)系，從而能為投資者和市場提供一種新的理論背景下價格發(fā)現(xiàn)方式，通過投資者的正反向交易來促進(jìn)價格向正常值回歸；二是通過構(gòu)造的情緒指數(shù)來與市場的情緒指數(shù)進(jìn)行比較性的預(yù)測檢驗，既可以對現(xiàn)有的投資者情緒指數(shù)的有效性進(jìn)行檢驗，又可以對投資者情緒對市場的解釋程度進(jìn)行測度；三是本文通過投資者情緒對股市收益率和波動兩個方面的影響來進(jìn)行預(yù)測，分別把市場現(xiàn)有的投資者情緒指數(shù)與本文構(gòu)造的指數(shù)的預(yù)測結(jié)論進(jìn)行對比，一則能檢驗二者與市場收益波動相關(guān)性的大小，二則也能檢驗市場上投資者情緒指數(shù)對股市收益率波動的影響程度。 本文不足之處：數(shù)據(jù)相對較少，少部分?jǐn)?shù)據(jù)中間不連貫；耶魯-CCER情緒者指數(shù)存在一個問題，即問卷調(diào)查數(shù)據(jù)只反映被調(diào)查者的主觀意愿，但實際投資時未必真的這樣做。
[Abstract]:In recent years, with the in-depth study of behavioral finance in China, it is found that investor sentiment has a strong correlation with stock prices, returns and asset price volatility. Under this background, investor sentiment has been paid more and more attention to the impact of asset prices and returns volatility. Behavioral finance is a comprehensive non-finance. Chang Qiang's discipline combines the knowledge and research results of applied psychology, investor preference, emotional psychology, social psychology, cognitive psychology and other fields. The impact not only causes stock market volatility, but also has a great impact on the price of financial assets. Investor sentiment plays an important role in the whole process of price determination and market volatility. Therefore, the study of investor sentiment in the field of behavioral finance has become increasingly popular.
The research on the relationship between investor sentiment and stock market in the short run is very important, because it can not only find the influence of investor sentiment on the stock market quantitatively, but also make use of the investor sentiment index to make the stock market trend and return effective. Forecast. Its practical significance is as follows: on the basis of forecasting stock market returns and price trends, it provides countermeasures and suggestions for relevant regulatory departments to effectively and reasonably regulate the market so as to prevent violent fluctuations in the stock market, disrupt the market and cause speculation to prevail and damage the interests of investors.
The first step is to analyze the relationship between the index and the yield, find out the relationship between the volatility of the index and the yield volatility, and then explain the volatility curve according to the actual situation. The second step is to test the relationship between the constructed sentiment index and stock market returns, and the degree of interpretation of returns. At the same time, the relationship between the constructed sentiment index and Yale-CCER China's investor confidence index and stock market returns. Finally, the results of this paper are that both indexes have the ability to predict the return, but the NI index constructed in this paper is better; the third step, through the two empirical studies. The results of this study show that although the investment sentiment index has a greater impact on the stock equilibrium price and returns, it is not the most important factor, because the impact of the weight is not very large. Finally, the paper discriminates the role of investor sentiment index in the market and draws conclusions and enlightenment, providing policy services for the healthy operation of the whole stock market.
The innovations of this paper are as follows: Firstly, it links the individual expectations of the vast number of individual investors and institutional investors and the subjective reflection of the price with the price trend, and tries to find out the relationship between the two, so as to provide a new way of price discovery for investors and the market under the theoretical background. Investor's positive and negative trading can promote the return of price to normal value; the second is to construct an emotional index to compare with the market's emotional index, which can not only test the validity of the existing investors'emotional index, but also measure the degree of investors' emotional interpretation of the market; the third is the paper. This paper predicts the return and volatility of stock market through the influence of investor sentiment, and compares the current investor sentiment index with the prediction conclusion of the index constructed in this paper. It can test the correlation between the two indexes and the volatility of market returns, and it can also test the investor sentiment index on the stock market. The degree of fluctuation of market yield.
The inadequacies of this paper are as follows: the data are relatively small and a few of them are inconsistent; there is a problem in the Yale-CCER Emotional Persons Index, that is, the questionnaire data only reflect the subjective wishes of the respondents, but it is not necessarily true to do so when investing.
【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】：F830.9
本文編號：2189462
[Abstract]:In recent years, with the in-depth study of behavioral finance in China, it is found that investor sentiment has a strong correlation with stock prices, returns and asset price volatility. Under this background, investor sentiment has been paid more and more attention to the impact of asset prices and returns volatility. Behavioral finance is a comprehensive non-finance. Chang Qiang's discipline combines the knowledge and research results of applied psychology, investor preference, emotional psychology, social psychology, cognitive psychology and other fields. The impact not only causes stock market volatility, but also has a great impact on the price of financial assets. Investor sentiment plays an important role in the whole process of price determination and market volatility. Therefore, the study of investor sentiment in the field of behavioral finance has become increasingly popular.
The research on the relationship between investor sentiment and stock market in the short run is very important, because it can not only find the influence of investor sentiment on the stock market quantitatively, but also make use of the investor sentiment index to make the stock market trend and return effective. Forecast. Its practical significance is as follows: on the basis of forecasting stock market returns and price trends, it provides countermeasures and suggestions for relevant regulatory departments to effectively and reasonably regulate the market so as to prevent violent fluctuations in the stock market, disrupt the market and cause speculation to prevail and damage the interests of investors.
The first step is to analyze the relationship between the index and the yield, find out the relationship between the volatility of the index and the yield volatility, and then explain the volatility curve according to the actual situation. The second step is to test the relationship between the constructed sentiment index and stock market returns, and the degree of interpretation of returns. At the same time, the relationship between the constructed sentiment index and Yale-CCER China's investor confidence index and stock market returns. Finally, the results of this paper are that both indexes have the ability to predict the return, but the NI index constructed in this paper is better; the third step, through the two empirical studies. The results of this study show that although the investment sentiment index has a greater impact on the stock equilibrium price and returns, it is not the most important factor, because the impact of the weight is not very large. Finally, the paper discriminates the role of investor sentiment index in the market and draws conclusions and enlightenment, providing policy services for the healthy operation of the whole stock market.
The innovations of this paper are as follows: Firstly, it links the individual expectations of the vast number of individual investors and institutional investors and the subjective reflection of the price with the price trend, and tries to find out the relationship between the two, so as to provide a new way of price discovery for investors and the market under the theoretical background. Investor's positive and negative trading can promote the return of price to normal value; the second is to construct an emotional index to compare with the market's emotional index, which can not only test the validity of the existing investors'emotional index, but also measure the degree of investors' emotional interpretation of the market; the third is the paper. This paper predicts the return and volatility of stock market through the influence of investor sentiment, and compares the current investor sentiment index with the prediction conclusion of the index constructed in this paper. It can test the correlation between the two indexes and the volatility of market returns, and it can also test the investor sentiment index on the stock market. The degree of fluctuation of market yield.
The inadequacies of this paper are as follows: the data are relatively small and a few of them are inconsistent; there is a problem in the Yale-CCER Emotional Persons Index, that is, the questionnaire data only reflect the subjective wishes of the respondents, but it is not necessarily true to do so when investing.
【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】：F830.9
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