本文關(guān)鍵詞：投資者情緒對(duì)股市收益率及其波動(dòng)影響的實(shí)證研究　出處：《吉林大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 投資者情緒 股市收益率 市場(chǎng)波動(dòng) 非對(duì)稱(chēng)影響

【摘要】：股市的起伏和震蕩一直牽動(dòng)著股票投資者的心。我國(guó)股市由于發(fā)展時(shí)間較短、機(jī)構(gòu)組織不完善、信息不對(duì)稱(chēng)、投資者的投資知識(shí)和風(fēng)險(xiǎn)意識(shí)匱乏等原因,仍隸屬于新興資本市場(chǎng)的范疇。在20多年的發(fā)展過(guò)程中,我國(guó)股市經(jīng)歷了數(shù)次劇烈震動(dòng),股指暴漲暴跌,收益率起伏巨大。這種現(xiàn)象的出現(xiàn)有政策、體制、世界經(jīng)濟(jì)形勢(shì)等多種多樣的影響因素,但其中一個(gè)絕對(duì)不能忽視的作用力就是投資者的非理性。我國(guó)投資者的結(jié)構(gòu)特點(diǎn)鮮明,個(gè)人投資者占據(jù)極高的比重,而個(gè)人投資者由于投資熱情高而投資經(jīng)驗(yàn)少、趨利欲望高而風(fēng)險(xiǎn)意識(shí)差等原因,非常容易對(duì)股市走勢(shì)產(chǎn)生錯(cuò)誤預(yù)期,對(duì)資產(chǎn)價(jià)格存在估計(jì)偏差,從而做出非理性的判斷和選擇。尤其令人注意的是,我國(guó)股票市場(chǎng)中“羊群效應(yīng)”十分嚴(yán)重,使得大量的個(gè)人投資者更加容易被非理性力量裹挾,跟風(fēng)投資,追漲殺跌,進(jìn)一步引發(fā)股市的波動(dòng)。行為經(jīng)濟(jì)學(xué)學(xué)者首先注意到了這種非理性的預(yù)期偏差帶來(lái)的影響,并將其稱(chēng)為“投資者情緒”。情緒定義的出現(xiàn),為研究股市的收益和波動(dòng)等相關(guān)現(xiàn)象提供了新的途徑。本文正是在這種背景下,結(jié)合我國(guó)股市的特點(diǎn),對(duì)我國(guó)投資者情緒對(duì)股市收益率及其波動(dòng)的影響展開(kāi)研究。本文首先選用了消費(fèi)者信心指數(shù)(CCI)、新增投資者開(kāi)戶(hù)數(shù)(NOA)、A股市盈率(PE)和股市成交量(VOL)等四個(gè)指標(biāo),采用主成分分析法構(gòu)建了綜合情緒指數(shù),然后以我國(guó)A股股票市場(chǎng)為研究對(duì)象,建立了包含F(xiàn)ama-French三因子在內(nèi)的多變量回歸模型,針對(duì)投資者情緒對(duì)股市收益率的影響進(jìn)行了實(shí)證分析,得出了投資者情緒會(huì)顯著正向影響股市收益率的結(jié)論。另外,由于投資者情緒具有雙面性,本文又在原有模型中加入了示性函數(shù)用來(lái)分別探討樂(lè)觀情緒和悲觀情緒對(duì)股市收益率的影響,結(jié)果表明雙面情緒的影響具有非對(duì)稱(chēng)性,且樂(lè)觀情緒對(duì)股市的推動(dòng)作用與悲觀情緒對(duì)股市的拉低作用相比更為顯著。之后,本文進(jìn)一步研究投資者情緒的變化對(duì)收益率波動(dòng)的影響,并繼續(xù)貫徹非對(duì)稱(chēng)的思想,建立了包含示性函數(shù)的GJR-GARCH模型展開(kāi)研究。結(jié)果顯示,投資者情緒轉(zhuǎn)向積極的過(guò)程會(huì)顯著加大股市波動(dòng)的程度,而情緒低落過(guò)程雖對(duì)波動(dòng)有平抑作用,但效果并不明顯。總體而言,投資者情緒確實(shí)是我國(guó)股市收益和波動(dòng)的重要影響因子,應(yīng)當(dāng)予以重視。政府和監(jiān)管部門(mén)應(yīng)該尋找科學(xué)有效的方式對(duì)投資者情緒進(jìn)行一定程度的調(diào)控,避免濫用頻繁而單一的政策干預(yù)手段,要借助新媒體平臺(tái)的力量對(duì)投資者進(jìn)行相關(guān)教育,引導(dǎo)其進(jìn)行理性思考和科學(xué)選擇,弱化市場(chǎng)中的非理性力量,從而達(dá)到熨平收益波動(dòng)、保障市場(chǎng)健康有序發(fā)展的目的。投資者也應(yīng)開(kāi)始認(rèn)識(shí)到情緒的影響力,培養(yǎng)獨(dú)立理性思考的投資習(xí)慣,脫身非理性“羊群”,避免遭受損失。
[Abstract]:The ups and downs of the stock market have always affected the hearts of stock investors. The stock market in our country is short of development time, imperfect organization, asymmetric information, lack of investors' investment knowledge and risk awareness, and so on. Still belong to the category of emerging capital markets. In the development of more than 20 years, China's stock market experienced a number of violent shocks, the stock index rose and plummeted, the rate of return fluctuated greatly. There are policies and systems in this phenomenon. There are a variety of factors affecting the world economic situation, but one of the forces that can not be ignored is the irrationality of investors. The investors in our country have distinctive structural characteristics and individual investors occupy a very high proportion. Individual investors because of high investment enthusiasm and less investment experience, high desire to profit and poor risk awareness and other reasons, it is very easy to have wrong expectations on the trend of the stock market, there is a deviation in the estimation of asset prices. In order to make irrational judgment and choice, it is especially noticeable that the "herd effect" is very serious in our stock market, which makes a large number of individual investors more vulnerable to irrational forces to follow the trend of investment. The behavioral economists first noticed the impact of this irrational expectation deviation and called it "investor sentiment". This paper provides a new way to study the related phenomena of stock market, such as return and volatility. Under this background, this paper combines the characteristics of Chinese stock market. This paper studies the impact of investor sentiment on the stock market yield and its volatility. Firstly, this paper selects the consumer confidence index (CCI) and the number of new investors to open an account (NOAA). In this paper, we use principal component analysis method to construct the comprehensive sentiment index, and then take the A share stock market of China as the research object, which is based on the four indexes of A share price and earnings ratio (PEV) and stock market turnover volume (Vol). A multivariable regression model including three factors of Fama-French is established, and an empirical analysis is made on the influence of investor sentiment on stock market returns. The conclusion is that investor sentiment will significantly positively affect the stock market yield. In addition, investor sentiment has a dual nature. This paper also adds an indicative function to the original model to discuss the impact of optimism and pessimism on stock market returns. The results show that the influence of double-sided emotion is asymmetric. Moreover, the effect of optimism on stock market is more significant than that of pessimism on stock market. After that, this paper further studies the influence of investor sentiment on the volatility of yield. And continue to carry out the idea of asymmetric, the establishment of an indicative function of the GJR-GARCH model to carry out the study. The results show that the positive process of investor sentiment will significantly increase the degree of volatility in the stock market. Although the process of depression has a stabilizing effect on volatility, the effect is not obvious. Overall, investor sentiment is indeed an important factor affecting the stock market returns and volatility in China. The government and regulatory authorities should seek scientific and effective ways to regulate investor sentiment to a certain extent to avoid abuse of frequent and single policy intervention. We should make use of the power of new media platform to educate the investors, guide them to think rationally and choose scientifically, weaken the irrational power in the market, and achieve ironing income fluctuation. Investors should also begin to recognize the influence of emotion, cultivate the investment habit of independent and rational thinking, get rid of irrational "sheep" and avoid loss.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51
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本文編號(hào)：1413628