【摘要】：中國的證券市場(chǎng)還不是一個(gè)成熟有效的市場(chǎng),股票市場(chǎng)中個(gè)體投資者居多,他們對(duì)于理性的價(jià)值投資認(rèn)識(shí)不足,市場(chǎng)中存在著很多的非理性行為,傳統(tǒng)的金融理論并不適合我國證券市場(chǎng)的現(xiàn)狀。本文對(duì)于投資者情緒的研究可以引起投資者對(duì)情緒的潛在影響因素的注意,對(duì)于提高監(jiān)管部門的監(jiān)管效率、加強(qiáng)中國股票市場(chǎng)的風(fēng)險(xiǎn)管理和控制,進(jìn)而保障中國股票市場(chǎng)穩(wěn)定、健康的發(fā)展都具有非常重要的理論和現(xiàn)實(shí)意義。本研究通過構(gòu)建投資者情緒指數(shù),探討在不同市場(chǎng)態(tài)勢(shì)下投資者的情緒變化與市場(chǎng)收益率之間的相互作用關(guān)系。具體思路:首先清晰的界定投資者情緒的概念,并從其定義和內(nèi)涵角度出發(fā),選擇更為直接的反映投資者情緒的市場(chǎng)指標(biāo),利用主成分分析法,構(gòu)建投資者情緒指數(shù)。然后,借鑒非參數(shù)診斷法,根據(jù)樣本期間(2003.1-2017.3)的上證綜指劃分市場(chǎng)態(tài)勢(shì)。通過格蘭杰因果檢驗(yàn)確定各階段內(nèi)兩者是否具有格蘭杰因果關(guān)系,并進(jìn)一步研究相應(yīng)時(shí)段內(nèi)投資者情緒變化與市場(chǎng)收益率間的相互影響程度和顯著性。得到如下結(jié)果:在全樣本階段和股市上升階段1,當(dāng)期和歷史市場(chǎng)收益率都對(duì)投資者情緒變化存在正向影響,而且當(dāng)期市場(chǎng)收益率對(duì)投資者情緒變化的幅度的影響大于歷史收益率的影響。在股市下降階段、股市上升階段2和上升階段4,投資者情緒與市場(chǎng)收益之間無格蘭杰因果關(guān)系,相互之間的影響沒有統(tǒng)計(jì)意義上的顯著性。投資者的情緒變化對(duì)當(dāng)期收益率的影響只有在全樣本階段表現(xiàn)顯著。在全樣本階段和不同市場(chǎng)態(tài)勢(shì)下各分樣本階段的結(jié)論不同,說明投資者情緒變化與市場(chǎng)收益率之間的作用機(jī)理存在區(qū)別。
[Abstract]:China's securities market is not yet a mature and effective market. In the stock market, individual investors are the majority. They do not know enough about rational value investment, and there are a lot of irrational behaviors in the market. The traditional financial theory is not suitable for the present situation of China's securities market. The study of investor sentiment in this paper can arouse investors' attention to the potential influencing factors of emotion, improve the regulatory efficiency, strengthen the risk management and control of China's stock market, and then ensure the stability of China's stock market. Healthy development has very important theoretical and practical significance. By constructing investor sentiment index, this study explores the interaction between investor sentiment change and market yield under different market conditions. Concrete thinking: firstly, the concept of investor sentiment is clearly defined, and from the angle of its definition and connotation, the author chooses the market index which reflects investor sentiment more directly, and constructs investor sentiment index by principal component analysis. Then, using the nonparametric diagnosis method for reference, the market situation is divided according to the Shanghai Composite Index of the sample period (2003.1-2017.3). The Granger causality test is used to determine whether there is a Granger causality between the two in each stage, and the degree and significance of the mutual influence between investor sentiment change and market yield in the corresponding period are further studied. The results are as follows: in the whole sample stage and the stock market rising stage 1, both current and historical market yields have positive effects on the changes of investor sentiment. Moreover, the influence of current market yield on investor sentiment is greater than that of historical return. There is no Granger causality between investor sentiment and market returns in the declining stage, the second stage and the fourth stage in the stock market, and there is no statistical significance between the influence of each other. The effect of investor mood change on current yield is significant only in the whole sample stage. The conclusions in the whole sample stage and in the different market situation are different, which indicates that there are differences in the mechanism between the investor sentiment change and the market rate of return.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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本文編號(hào)：2160361