本文關(guān)鍵詞： 投資者情緒 投資組合 好淡指數(shù) 收益-風(fēng)險關(guān)系　出處：《重慶大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：作為一個典型的不成熟新興市場，中國股票市場與國外成熟股票市場相比還存在較大差別，其產(chǎn)生的“金融異�，F(xiàn)象”也更為突出和顯著。作為反映投資者心理的重要因素，投資者情緒必然會對投資者行為和決策、進而對股票市場收益和波動性產(chǎn)生重大影響。因此，系統(tǒng)深入地研究投資者情緒對投資組合結(jié)構(gòu)及其收益-風(fēng)險關(guān)系可以給中國股票市場的“金融異常現(xiàn)象”提供一個合理的解釋途徑，它對于加強中國股票市場的風(fēng)險管理和控制、改善政府對股票市場的監(jiān)管效率、進而保障中國股票市場健康、穩(wěn)定、持續(xù)發(fā)展都具有非常重要的理論和現(xiàn)實意義。本文首先通過建立基于投資者情緒的投資組合模型從理論上研究了投資者情緒對投資組合結(jié)構(gòu)及其收益-風(fēng)險關(guān)系的影響，其次采用《股市動態(tài)分析》雜志發(fā)布的“好淡指數(shù)”作為投資者情緒的測度指標，以2005年1月1日—2011年12月16日期間的上證綜合指數(shù)日收盤價數(shù)據(jù)及《股市動態(tài)分析》雜志每周發(fā)布的中國股票市場“好淡指數(shù)”為研究樣本，利用GARCH-M模型實證研究投資者情緒對中國股票市場收益-風(fēng)險關(guān)系的影響。同時從理論和實證兩個方面進行了研究。 本文的主要研究工作和創(chuàng)新表現(xiàn)在以下幾個方面： ①從中國股票市場的制度安排、投資者結(jié)構(gòu)以及行業(yè)特征等方面分析我國股票市場投資者情緒的產(chǎn)生因素；結(jié)合我國股票市場實際情況、從過度自信、羊群行為和投機心理等方面分析投資者情緒的主要特征。 ②在假設(shè)投資者風(fēng)險厭惡、且其風(fēng)險厭惡程度受其情緒影響的條件下，以投資者效用最大化為決策目標，建立基于投資者情緒的投資組合模型從理論上研究投資者情緒對投資組合結(jié)構(gòu)及其收益-風(fēng)險關(guān)系的影響。研究結(jié)果表明，當(dāng)投資者過度樂觀時，其將通過銀行借貸融資等方式購買超額風(fēng)險資產(chǎn)；當(dāng)投資者情緒處于相對理性狀態(tài)時，其將合理分配無風(fēng)險資產(chǎn)和風(fēng)險資產(chǎn)的投資比例；當(dāng)投資者情緒處于悲觀狀態(tài)時，其將賣空風(fēng)險資產(chǎn)。當(dāng)投資者情緒處于過度樂觀和相對理性狀態(tài)時，投資組合預(yù)期超額收益與風(fēng)險正相關(guān)；當(dāng)投資者情緒處于悲觀狀態(tài)時，投資組合預(yù)期超額收益與風(fēng)險負相關(guān)。 ③采用《股市動態(tài)分析》雜志發(fā)布的“好淡指數(shù)”構(gòu)造投資者情緒度量指標，以2005年1月1日—2011年12月16日期間的上證綜合指數(shù)日收盤價數(shù)據(jù)及《股市動態(tài)分析》雜志每周發(fā)布的中國股票市場“好淡指數(shù)”為研究樣本，利用GARCH-M模型實證研究投資者情緒對中國股票市場收益-風(fēng)險關(guān)系的影響。研究結(jié)果表明，當(dāng)投資者情緒處于樂觀期間，中國股票市場的收益與風(fēng)險正相關(guān)；當(dāng)投資者情緒處于悲觀期間，，中國股票市場的收益與風(fēng)險負相關(guān)。 本文的研究結(jié)果表明，投資者情緒對投資組合結(jié)構(gòu)及其收益-風(fēng)險關(guān)系有著顯著影響，中國股票市場的暴漲暴跌在一定程度上是由于投資者情緒的不穩(wěn)定變化造成的。我國證券市場管理部門要特別重視股市中心理因素的作用，要在加強對投資者心理和行為特征研究的基礎(chǔ)上，采取有效措施促進證券市場穩(wěn)定、繁榮。
[Abstract]:As a typical immature and emerging market, China stock market compared with the foreign mature stock market there is a big difference, the "financial anomalies" are more prominent and significant. As an important factor to reflect the psychology of investors, investor sentiment is bound to the behavior of investors and decision-making, which have a significant impact on the stock market return and volatility. Therefore, a systematic study of investor sentiment on the portfolio structure and the return risk relationship can give China stock market "financial anomalies" to provide a reasonable explanation way, it is to strengthen risk management and control Chinese stock market, improve the efficiency of government regulation on the stock market, and security China stock market healthy, stable, and has a very important theoretical and practical significance to sustainable development. This paper based on the theory of investors The portfolio model of emotion on the influence of investor sentiment on the portfolio structure and the return risk theoretically, followed by analysis of market dynamics "magazine published" Haodan index as investor sentiment index, in January 1, 2005 December 16, 2011 the Shanghai Composite Index closing Chinese stock market release Analysis > magazine weekly price data and the stock market "Haodan index as the research sample, using empirical research on the relationship between investor GARCH-M model of emotional return China risk of stock market. At the same time from two aspects of theory and empirical research.
The main research work and innovation in this paper are as follows:
From the China stock market institution, investor structure and the industry characteristics, analysis of China's stock market investors sentiment factors; combined with the actual situation of China's stock market, from overconfidence, herd behavior and psychological speculation and other aspects of the analysis of the main characteristics of investor sentiment.
The assumption of risk aversion, and the degree of risk aversion is affected by the sentiment conditions, with investors to maximize utility for decision-making, establish the model of investment portfolio based on investor sentiment from the theoretical research on the influence of investor sentiment on the relationship between the portfolio structure and the return risk. The results show that, when investors over optimistic that it would buy the excess risk asset by bank lending; when investor sentiment is relatively rational and the rational allocation of riskless asset and risky asset investment ratio; when investor sentiment is pessimistic about the state, the short selling risk assets. When investor sentiment is over optimistic and relatively rational and investment a combination of the expected excess returns and risk; when investor sentiment is pessimistic when the portfolio expected excess return with the wind The risk is related.
The < > analysis published in the journal "Haodan index structure of investor sentiment index stock market, in January 1, 2005 December 16, 2011 the Shanghai Composite Index closing China stock market" magazine published weekly price data analysis and "stock market dynamic good light index" as the research sample, using empirical research on investor GARCH-M model the mood on the relationship between income Chinese risk of stock market. The results show that, when investor sentiment is optimistic, the income and risk of the stock market Chinese positive correlation; when investor sentiment is pessimistic, negative correlation Chinese stock market returns and risks.
The results of this study show that investor sentiment has a significant impact on the relationship between the portfolio structure and the return risk, Chinese stock market spike is caused by instability due to changes in investor sentiment in a certain extent. The management of China's securities market should pay special attention to the stock market center of physical factors, to strengthen the basis for study on the characteristics of investor psychology and behavior, and take effective measures to promote the securities market stability and prosperity.

【學(xué)位授予單位】：重慶大學(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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