证券市场投资者情绪与收益关系的实证研究

发布时间：2018-04-05 20:12

本文选题：投资者情绪　切入点：行为金融　出处：《暨南大学》2013年硕士论文

【摘要】：传统金融学假定投资者是完全理性的，但近年来受到越来越多的挑战。行为金融学将行为科学尤其是心理学与金融学相结合，从微观个体行为以及产生行为的心理动因来研究、解释和预测金融市场的变化与发展。行为金融学研究在资产定价方面承认投资者情绪的重要性，认可噪音投资者的存在，投资决策行为过程受到不同情绪、心理等非公司基本面特征的影响。本文对已有的投资者情绪研究进行了归纳总结，，在进行相关分析比较基础上，精选了5个情绪指标，构造了综合情绪指数。本文选用具有现实代表意义的沪深300指数与构造出的综合情绪指数进行协整分析，实证表明，市场指数与投资者情绪存在长期的协整关系。矢量误差修正模型表明，市场指数与投资者情绪通过短期波动进行自我调节，维持长期均衡。本文还用Granger因果关系检验研究投资者情绪变化与证券市场收益率之间的关系，实证表明两者互为对方的Granger原因，脉冲响应分析更加具体地刻画出两者之间相互影响的关系。总体而言，本文的研究结论支持投资者情绪与股票市场存在着相互影响，对证券市场的研究者而言，投资者情绪是一个重要的参考因素。
[Abstract]:Traditional finance assumes that investors are completely rational, but have been increasingly challenged in recent years.Behavioral finance combines behavioral science, especially psychology with finance, to study, explain and predict the change and development of financial market from the micro individual behavior and the psychological motivation of producing behavior.Behavioral finance studies recognize the importance of investor sentiment and the existence of noisy investors in asset pricing. The process of investment decision-making is influenced by different emotions, psychology and other characteristics of non-corporate fundamentals.In this paper, the existing investor sentiment research is summarized. On the basis of correlation analysis and comparison, five emotion indexes are selected and a comprehensive emotion index is constructed.In this paper, we choose the CSI 300 index and the constructed composite emotion index to analyze cointegration. The empirical results show that there is a long-term cointegration relationship between the market index and investor sentiment.The vector error correction model shows that the market index and investor sentiment are self-regulated by short-term fluctuations to maintain long-term equilibrium.This paper also uses Granger causality test to study the relationship between investor sentiment change and stock market yield. The empirical results show that the two are each other's Granger reasons, and the impulse response analysis more concretely depicts the relationship between them.In general, the conclusion of this paper supports the existence of mutual influence between investor sentiment and stock market, and investor sentiment is an important reference factor for the researchers of securities market.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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