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  本文關(guān)鍵詞： 收益 風(fēng)險 波動性沖擊 投資者情緒 穩(wěn)健性　出處：《青島大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：股票市場的風(fēng)險與收益的關(guān)系一直是金融理論研究的核心問題,在有效市場假設(shè)(EMH)下,傳統(tǒng)金融理論的理性資產(chǎn)定價模型(CAPM、APT模型等)認(rèn)為股票市場的收益是對承擔(dān)風(fēng)險的補(bǔ)償,收益與風(fēng)險之間應(yīng)該存在正相關(guān)關(guān)系,但學(xué)者們在過去30多年中對風(fēng)險與收益權(quán)衡關(guān)系的實(shí)證研究結(jié)論并不一致,出現(xiàn)正相關(guān)、負(fù)相關(guān)和關(guān)系不顯著三種結(jié)論。針對這一理論與現(xiàn)實(shí)矛盾,從行為金融學(xué)理論出發(fā),基于投資者情緒視角對這一問題進(jìn)行理論和實(shí)證研究。 首先在闡述風(fēng)險與收益、波動性沖擊關(guān)系的理論基礎(chǔ)上提出研究假設(shè)及推論；然后利用封閉式基金折價、交易量、IPO數(shù)目、IPO首日平均收益率、新開戶數(shù)、好淡指數(shù)和消費(fèi)者信心指數(shù)作為投資者情緒代理變量,在剔除宏觀經(jīng)濟(jì)因素影響后,運(yùn)用主成分分析方法構(gòu)建復(fù)合投資者情緒指標(biāo)；進(jìn)而運(yùn)用VAR模型和GARCH族模型研究收益與風(fēng)險、波動性沖擊的關(guān)系；最后,對比宏觀經(jīng)濟(jì)變量(利率、GDP增長率和CPI)與復(fù)合投資者情緒指標(biāo)在模型回歸結(jié)果的正確性來驗(yàn)證復(fù)合投資者情緒指標(biāo)的穩(wěn)健性,并用復(fù)合投資者情緒指標(biāo)值對收益率進(jìn)行回歸,以進(jìn)一步證實(shí)投資者情緒對收益與風(fēng)險關(guān)系影響的結(jié)論。 實(shí)證分析表明：我國股票市場存在收益與風(fēng)險顯著負(fù)相關(guān)或正相關(guān)不顯著現(xiàn)象；投資者情緒高漲不僅會削弱收益與風(fēng)險的正相關(guān)關(guān)系,甚至?xí)蛊淠孓D(zhuǎn)為負(fù)相關(guān),但是在投資者情緒低落期,收益與風(fēng)險是顯著正相關(guān)的,從而證明以住研究中出現(xiàn)收益與風(fēng)險負(fù)相關(guān)或者正相關(guān)不顯著的原因在于投資者情緒高漲；關(guān)于收益與波動性沖擊的關(guān)系,研究發(fā)現(xiàn),投資者情緒高漲時,收益與波動性沖擊正相關(guān),而在投資者情緒低落時,收益與波動性沖擊負(fù)相關(guān)；市場新息和歷史信息均對市場波動性產(chǎn)生顯著的正向影響,但是在投資者情緒高漲時,新息的正向影響大于投資者情緒低落時期,而歷史信息對市場波動性的正向影響則小于投資者情緒低落時期；國內(nèi)股票市場存在“杠桿效應(yīng)”——利好消息比利空消息對股票市場波動性沖擊效應(yīng)更大。
[Abstract]:The relationship between risk and return in stock market is always the core problem of financial theory. Under the hypothesis of efficient market, the rational asset pricing model of traditional financial theory is CAPM. The APT model thinks that the return of the stock market is the compensation to bear the risk, and there should be a positive correlation between the return and the risk. However, in the past 30 years, the empirical research conclusions on the trade-off between risk and income are not consistent, there are three conclusions: positive correlation, negative correlation and unsignificant relationship. In view of the contradiction between this theory and reality. Based on the theory of behavioral finance, this paper makes a theoretical and empirical study on this issue from the perspective of investor sentiment. First of all, on the basis of the theory of risk, return, volatility and impact, the research hypothesis and inference are put forward. Then we use closed-end fund discount, the number of IPOs trading volume and IPO average yield, new account number, good light index and consumer confidence index as proxy variables of investor sentiment. After excluding the influence of macroeconomic factors, the main component analysis method is used to construct the composite investor sentiment index. Then we use VAR model and GARCH family model to study the relationship between income, risk and volatility impact. Finally, by comparing macroeconomic variables (interest rate GDP growth rate and CPI) with the correctness of composite investor sentiment indicators in the model regression results, to verify the robustness of composite investor sentiment indicators. In order to confirm the influence of investor sentiment on the relationship between return and risk, the compound investor sentiment index value is used to regression the return rate. The empirical analysis shows that there is a significant negative correlation between return and risk or no significant positive correlation in China's stock market. The upsurge of investor sentiment not only weakens the positive correlation between income and risk, but also reverses the negative correlation. However, in the period of low investor sentiment, income and risk are significantly positively correlated. Therefore, it is proved that the negative correlation between income and risk or the lack of positive correlation is due to the upsurge of investor sentiment. As to the relationship between return and volatility shock, it is found that when investor sentiment is high, return is positively correlated with volatility shock, while when investor is depressed, return is negatively correlated with volatility shock. Both market innovation and historical information have a significant positive impact on market volatility, but when investor sentiment is high, the positive impact of innovation is greater than that of investor depression. The positive impact of historical information on market volatility is smaller than that of investor depression; There is "leverage effect" in domestic stock market.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1454564