本文關鍵詞：我國投資者情緒與上證A股收益的關系研究　出處：《南京師范大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 投資者情緒 股票收益率 換手率 封閉式基金折價 IPO首日收益

【摘要】：隨著金融業(yè)的快速發(fā)展,證券市場已經成為國際范圍內的重要投融資渠道。它不僅為企業(yè)融通資金提供了廣闊的平臺,同時也吸引了越來越多的個人投資者參與到市場中,使得他們的生活更加經濟化、信息化。然而證券市場發(fā)展的同時,也產生了一系列的問題,市場中出現(xiàn)了很多傳統(tǒng)金融學難以解釋的異�，F(xiàn)象,比如封閉式基金折價之謎、日歷效應等。為了解釋這些金融異象,經濟學家們將社會學、心理學、經濟學等學科結合起來發(fā)展了一門新學科——行為金融學。投資者情緒是行為金融學中的研究熱點,它研究投資者的行為決策對股票市場的影響。本文結合了前人的研究和我國股票市場的特點,通過理論和實證分析建立了一個投資者情緒指數,并研究其與股票收益率的關系。 為排除主觀指標可能存在的隨意性,所選指標均為客觀指標,采用2005—2011年的月度數據,以我國上證A股月收益率作為股票收益率指標。通過主成分分析法進行降維,最終用換手率、封閉式基金折價率、IPO首日收益、市盈率這4個成分構建了投資者情緒指數。建立VAR模型回歸分析投資者情緒指數與股票收益率的影響關系。由于2007年金融危機的爆發(fā),我國股票市場受到了很大的沖擊,因此本文將樣本區(qū)間分成2005年-2007年和2008年-2011年進行分析比較。得到結論：換手率、封閉式基金折價、IPO首日收益和市盈率能夠通過主成分分析法構建一個較好的投資者情緒指數；換手率和市盈率與投資者情緒指數正相關,與股票收益率負相關,封閉式基金折價率和IPO首日收益率與投資者情緒指數負相關,與股票收益率正相關；投資者情緒指數與股票收益率負相關。 對于投資者情緒的研究是符合股票市場實際需要的。我國股票市場金融異象頻現(xiàn),尤其如今正處于市場極度低迷的階段,投資者情緒脆弱,因此對于投資者情緒波動與股票收益的研究具有重要的現(xiàn)實意義。經濟意義：有利于投資者了解其情緒的客觀影響因子,正確面對市場信息,并進行合理投資；有利于股票市場的穩(wěn)定發(fā)展。政策建議：增強信息披露透明度；加強對證券公司的監(jiān)管力度,減少并杜絕惡意傳播市場信息的行為；引導投資者正確認識市場；建立完善的風險規(guī)避制度。
[Abstract]:With the rapid development of the financial industry, the securities market has become an important channel for investment and financing in the international scope. It not only provides a broad platform for financing, but also attracted more and more investors to participate in the market, making their lives more economic information. However, the development of the securities market at the same time. It also caused a series of problems in the market, there are a lot of traditional finance difficult to explain anomalies, such as the closed-end fund discount puzzle, calendar effect. In order to explain these anomalies, economists are sociology, psychology, economics and other disciplines together and develop a new discipline of behavior finance. Investor sentiment is a hot research topic in finance, its influence behavior of investors on the stock market. This paper combines the previous research and China's stock market The characteristic of the field is to establish an investor sentiment index through theoretical and empirical analysis, and to study the relationship between the investor's emotional index and the stock return rate.
In order to exclude the subjective indicators of possible randomness, the selected indicators are objective indicators, using monthly data from 2005 to 2011, with China Shanghai A shares monthly returns as the stock yield index. The dimensionality reduction based on principal component analysis, the final turnover rate, the discount rate of closed-end fund, IPO first day return the 4 components of earnings, build investor sentiment index. VAR model regression analysis of investor sentiment index and stock return. In 2007 due to the outbreak of the financial crisis, China's stock market has been a great impact, this paper will be divided into the sample interval during 2005 -2007 and 2008 -2011 were analyzed and compared. Conclusion: the exchange rate, the discount of closed-end fund, IPO's earnings and price earnings ratio to build a better investor sentiment index by principal component analysis; turnover rate and earnings and investors Sentiment index is positively correlated with stock returns. Negative correlation between closed-end fund discount rate and IPO first day return rate is negatively correlated with investor sentiment index, positively correlated with stock returns, and investor sentiment index is negatively correlated with stock returns.
The stock market is in line with the actual needs of the research on investor sentiment. Financial anomalies are frequent in the stock market of our country, especially in the market is now extremely depressed, sentiment is fragile, so it has important practical significance for the study of investor sentiment volatility and stock returns. The economic significance for investors to understand the influence of objective emotional factor right, in the face of market information, and make reasonable investment; conducive to the stable development of the stock market. Policy suggestions: to enhance the transparency of information disclosure; strengthen the supervision of the securities companies, to reduce and eliminate malicious dissemination of market information to guide investors to understand the market behavior;; establish and improve the system of risk aversion.

【學位授予單位】：南京師范大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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本文編號：1411900