【摘要】：中國的證券市場還不是一個成熟有效的市場,股票市場中個體投資者居多,他們對于理性的價值投資認識不足,市場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的現(xiàn)狀。本文對于投資者情緒的研究可以引起投資者對情緒的潛在影響因素的注意,對于提高監(jiān)管部門的監(jiān)管效率、加強中國股票市場的風險管理和控制,進而保障中國股票市場穩(wěn)定、健康的發(fā)展都具有非常重要的理論和現(xiàn)實意義。本研究通過構建投資者情緒指數(shù),探討在不同市場態(tài)勢下投資者的情緒變化與市場收益率之間的相互作用關系。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指標,利用主成分分析法,構建投資者情緒指數(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態(tài)勢。通過格蘭杰因果檢驗確定各階段內(nèi)兩者是否具有格蘭杰因果關系,并進一步研究相應時段內(nèi)投資者情緒變化與市場收益率間的相互影響程度和顯著性。得到如下結果:在全樣本階段和股市上升階段1,當期和歷史市場收益率都對投資者情緒變化存在正向影響,而且當期市場收益率對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,投資者情緒與市場收益之間無格蘭杰因果關系,相互之間的影響沒有統(tǒng)計意義上的顯著性。投資者的情緒變化對當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態(tài)勢下各分樣本階段的結論不同,說明投資者情緒變化與市場收益率之間的作用機理存在區(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.
【學位授予單位】：北京交通大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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相關期刊論文 前10條

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本文編號：2160361