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  本文關(guān)鍵詞： 股票指數(shù) 心理關(guān)口 M值　出處：《蘇州大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：股權(quán)分置改革以來,我國股票市場交易非�；钴S,不僅中國投資者關(guān)注中國的股票市場,許多國外的投資者也逐步研究、關(guān)注中國的股票市場,隨著中國資本市場的逐步開放,必將吸引國內(nèi)外投資者的更加深入的參與,對指數(shù)的各方面的研究也成為了一個極具意義的課題。 各個股評家們以及各財(cái)經(jīng)媒體常在評論各種股票指數(shù)時,賦予某些數(shù)字特殊的涵義,“某一指數(shù)點(diǎn)位”成了關(guān)鍵性的詞匯,證券分析師、各財(cái)經(jīng)媒體以及一些投資達(dá)人對股票市場的各種各樣的評論都是圍繞著這些數(shù)字,進(jìn)行解釋與說明。他們的解釋及說明是否有理論依據(jù),這些指數(shù)點(diǎn)位對投資者是否真正具有特殊意義,中國股票指數(shù)是否真正存在心理關(guān)口效應(yīng),值得我們深入研究。 本論文第一部分簡要介紹了論文的研究背景及意義,給出了有關(guān)股票指數(shù)的基本知識,從而引出中國股票指數(shù)心理關(guān)口現(xiàn)象存在的可能性及意義。 第二部分主要闡述介紹了國內(nèi)外有關(guān)股票指數(shù)心理關(guān)口效應(yīng)的研究。國外這方面理論相對較成熟,國內(nèi)該方面研究及文獻(xiàn)極為欠缺。本文 第三部分主要介紹本論文提及或運(yùn)用的各理論及模型。包括逐步回歸法、ARMA模型、Q統(tǒng)計(jì)檢驗(yàn)、LM檢驗(yàn)、ARCH模型和GARCH模型。 第四部分為實(shí)證分析,主要以2012年1月4日至2014年3月21日的上證綜合指數(shù)和深證成分指數(shù)為分析對象。分別進(jìn)行了股票指數(shù)絕對值心理關(guān)口檢驗(yàn)和股票指數(shù)收益率心理關(guān)口檢驗(yàn)。 第五部分進(jìn)行了總結(jié)分析,得出以下結(jié)論： (1)在同樣的宏觀環(huán)境中,無論是上證綜合指數(shù)還是深證成分指數(shù)都存在心里關(guān)口效應(yīng),但兩個指數(shù)的心里關(guān)口效應(yīng)表現(xiàn)出明顯的差別。 上證綜合指數(shù)在50分位及100分位都存在心理關(guān)口現(xiàn)象,而深證成分指數(shù)在50分位或100分位的心理關(guān)口效應(yīng)不明顯。 指數(shù)向上突破或向下跌穿50分位、100分位心理關(guān)口對股指收益率的影響都非常明顯,其中向上突破心理關(guān)口對收益率的影響更大。 深證成分指數(shù)100分位心理關(guān)口的回歸系數(shù)大于上證綜合指數(shù),即深證成分指數(shù)在100分位心理關(guān)口效應(yīng)更為明顯；而深證成分指數(shù)50分位心理關(guān)口的回歸系數(shù)要小于上證指數(shù),即上證綜合指數(shù)在50分位心理關(guān)口效應(yīng)強(qiáng)于深證成分指數(shù)。 (2)在回歸方程中,前一天及后一天的回歸系數(shù)與當(dāng)天的回歸系數(shù)相比要小很多,這說明投資者對已發(fā)生的和即將發(fā)生的情況在意較少,影響程度衰減,投資者在做投資決策時更為關(guān)注當(dāng)前的股指變化情況。 (3)無論是上證綜合指數(shù)還是深證成分指數(shù),100分位心理關(guān)口對收益率的回歸系數(shù)均大于50分位心理關(guān)口的回歸系數(shù),即100分位心理關(guān)口對收益率的影響要大于50分位的心理關(guān)口,100分位心理關(guān)口效應(yīng)更明顯。
[Abstract]:Since the reform of non-tradable shares, the stock market in China has been very active. Not only Chinese investors have paid close attention to China's stock market, but also many foreign investors have gradually studied and paid attention to China's stock market. With the gradual opening of China's capital market, It will attract more deep participation of domestic and foreign investors, and the research on all aspects of the index has become a very meaningful topic. In commenting on various stock indices, various stock commentators and financial media often assign a special meaning to certain numbers. "A certain index level" becomes the key word, and securities analysts, The various financial media and the various comments of some investors on the stock market revolve around these figures, explaining and explaining whether there is a theoretical basis for their explanation and explanation. Whether these index points are of special significance to investors or not and whether there is a psychological threshold effect in China's stock index is worthy of further study. The first part of this paper briefly introduces the research background and significance of the paper, gives the basic knowledge of stock index, and leads to the possibility and significance of the existence of psychological barrier phenomenon of Chinese stock index. In the second part, the author mainly introduces the research on the psychological barrier effect of stock index at home and abroad. The theory of this field is relatively mature in foreign countries, and the domestic research and literature on this aspect is extremely lacking. The third part mainly introduces the theories and models mentioned or applied in this paper, including the stepwise regression model and the Q statistical test, the LM test and the arch model and the GARCH model. The 4th part is an empirical analysis. Taking the Shanghai Composite Index and the Shenzhen Stock Exchange component Index from January 4th 2012 to March 21st 2014 as the analysis objects, this paper carries out the stock index absolute psychological threshold test and the stock index yield psychological test respectively. The conclusion of the 5th part is as follows:. 1) in the same macro environment, both the Shanghai Composite Index and the Shenzhen Composite Index have the psychological gate effect, but the two indexes show obvious difference. Shanghai composite index has psychological barrier phenomenon in 50 and 100 points, but the psychological barrier effect of Shenzhen stock market component index in 50 or 100 is not obvious. The impact of psychological level of 100 quartile on the return of stock index is very obvious, and the influence of psychological level of breaking through psychological level on the yield is even greater. The regression coefficient of 100 quartile psychological level of Shenzhen Stock Exchange Index is greater than that of Shanghai Composite Index, that is, the effect of Shenzhen component Index is more obvious than that of Shanghai Composite Index, while the regression coefficient of Shenzhen Stock Exchange component Index at 50 points is lower than that of Shanghai Stock Exchange Index. That is, the Shanghai Composite Index is stronger than the Shenzhen Stock Exchange component Index at the psychological level of 50. (2) in the regression equation, the regression coefficient of the previous day and the following day is much smaller than that of the same day, which indicates that investors care less about what has happened and what is about to happen, and the influence degree is attenuated. Investors are more concerned about the current stock index changes when making investment decisions. (3) the regression coefficient of 100 quartile psychological threshold to the return rate is greater than that of 50 psychological level, regardless of the composite index of Shanghai stock market or the component index of Shenzhen Stock Exchange. That is, the psychological threshold of 100 points has more influence on the return rate than that of 50 points, and the psychological level of 100 quartiles is more obvious.
【學(xué)位授予單位】：蘇州大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

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本文編號：1532079