【摘要】：本文研究投資者情緒對(duì)中小板指收益率的影響。本文借鑒BakerWurgler(2006)的方法，從篩選綜合情緒因子和理性預(yù)期因子入手。選擇短期好淡指數(shù)和中期好淡指數(shù)分別作為短期和中期綜合情緒因子指標(biāo)。理性預(yù)期因子的選擇基于擴(kuò)展的fama-french三因子模型，最終選擇大盤(pán)股對(duì)小盤(pán)股溢價(jià)、高價(jià)股對(duì)低價(jià)股溢價(jià)、市場(chǎng)溢酬因子、封閉基金折價(jià)率和A股市場(chǎng)換手率作為理性預(yù)期因子。通過(guò)BW模型，得到短期理性情緒因子、短期非理性情緒因子；中期理性情緒因子、中期非理性情緒因子；理性情緒因子、非理性情緒因子三組指標(biāo)。本文第三章首先構(gòu)造出這三組指標(biāo)，然后分別討論這三組指標(biāo)與中小板指收益率的關(guān)系；第四章分別使用向量自回歸模型以及馬爾科夫框架下的向量自回歸模型探討這三組指標(biāo)與中小板指收益率的關(guān)系；最后是本文的結(jié)論部分。 通過(guò)實(shí)證分析，本文得出以下結(jié)論： 1、情緒因子，無(wú)論是中期、短期、理性或非理性，對(duì)同期中小板指收益率的影響均是正向的，即情緒因子的增大會(huì)導(dǎo)致中小板指收益率的增大。 2、理性情緒因子變化的趨勢(shì)相對(duì)緩慢，，非理性情緒因子的波動(dòng)相對(duì)劇烈。這反映市場(chǎng)出理性預(yù)期的具有持久性，而非理性的預(yù)期則具有不可持續(xù)性。 3、從情緒因子與中小板指收益率的動(dòng)態(tài)關(guān)系研究可以得知，中期情緒因子對(duì)中小板指收益率的持續(xù)影響大于短期情緒因子；理性情緒因子對(duì)中小板指收益率的持續(xù)影響大于非理性情緒因子。 4、具體到不同的滯后期，不同類(lèi)型的情緒因子對(duì)中小板指收益率的影響比較復(fù)雜，中期情緒因子中不同滯后期的中期理性情緒因子和中期非理性情緒因子對(duì)中小板指收益率的影響以互相抵消為主，短期情緒因子中不同滯后期的短期理性情緒因子和短期非理性情緒因子對(duì)中小板指收益率的影響以互相加強(qiáng)為主，這將導(dǎo)致中小板指收益率在短期受情緒因子影響波動(dòng)較大，而在中期以后受情緒影響逐漸變小。 5、理性情緒因子的一階和四階滯后，無(wú)論是短期還是中期，對(duì)中小板指收益率的影響均是負(fù)的；二階和三階滯后，無(wú)論是短期還是中期，對(duì)中小板指收益率的影響均是正的，因此，從預(yù)測(cè)的角度來(lái)講，當(dāng)期理性因子對(duì)后一期中小板指收益率的影響是相反的方向。
[Abstract]:This paper studies the effect of investor sentiment on the yield of small and medium board index. Based on BakerWurgler's (2006) method, this paper starts with the screening of comprehensive emotional factors and rational expectation factors. Select short term good light index and medium term good light index as short term and medium term comprehensive emotion factor index respectively. The rational expectation factor is based on the extended fama-french three-factor model, and the rational expectation factors are the premium of large-cap stock to small-cap stock, the premium of high-priced stock to low-price stock, the premium of market overpayment, the discount rate of closed fund and the turnover rate of A-share market. Through BW model, three groups of indexes are obtained: short-term rational emotional factor, short-term irrational emotional factor, medium-term rational emotional factor, medium-term irrational emotional factor, rational emotional factor and irrational emotional factor. The third chapter first constructs the three groups of indicators, and then discusses the relationship between the three groups of indicators and the return rate of small and medium-sized board index. The fourth chapter uses the vector autoregressive model and the vector autoregressive model under the Markov framework to explore the relationship between the three groups of indicators and the return rate of the small and medium plate index. Finally, the conclusion of this paper is given. Through the empirical analysis, this paper draws the following conclusions: 1, emotional factors, whether medium-term, short-term, rational or irrational, have a positive impact on the return rate of small and medium-sized boards in the same period. That is, the increase of emotional factors will lead to the increase of the return rate of small and medium-sized boards. 2, the trend of the change of rational emotional factors is relatively slow, and the fluctuation of irrational emotional factors is relatively violent. This reflects the persistence of rational expectations in the market and the unsustainability of irrational expectations. 3. From the study of the dynamic relationship between emotional factors and the rate of return of small and medium-sized board indicators, we can know that, The lasting influence of medium term emotion factor on small and medium board index yield is greater than that of short term emotion factor, and rational emotion factor has more influence on medium and small board index return rate than on irrational emotion factor. 4, specific to different lag period, The influence of different types of emotional factors on the yield of small and medium board index is more complex. The influence of different lag period of medium term emotion factor and medium term irrational emotion factor on medium and small board index yield is mainly offset by each other. Among the short-term emotional factors, the short-term rational emotional factors and the short-term irrational emotional factors mainly strengthen each other, which will lead to the small and medium board index yield fluctuating greatly in the short term by the emotional factors. After the medium term, the influence of emotion gradually becomes smaller. 5. The first and fourth order lag of rational emotion factor is negative, the second and third order lag, whether in the short or medium term, the influence on the index yield of small and medium-sized board is negative, the second order and the third order lag, the second order and the third order lag, No matter in the short term or in the medium term, the effect on the yield of small and medium scale board is positive, therefore, from the perspective of prediction, the effect of current rational factor on the rate of return of small and medium-sized board index in the following period is in the opposite direction.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51;F224

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本文編號(hào)：2232488