投资者参与度对股票价格指数的影响研究

发布时间：2018-10-13 18:43

【摘要】：一直以来,众多的学者都倾注了心血来研究股市指数的变动规律,对其影响因素的研究更是层出不穷,本文在总结学习国内外相关研究的基础之上对投资者参与度对股票价格指数的影响做了实证分析。投资者队伍的不断壮大为我国股市不断的注入了新的血液,促使了我国股市的不断发展。投资者对股市的参与程度体现了投资者对股票投资收益的需求,不管是新增开户数还是参与交易账户数,都是投资者参与度的体现,而投资者所有的参与行为都只有一个目的——获利,所以投资者参与度体现了我国投资者对股票的需求,通过供需决定价格的理论,我们有理由相信,投资者参与度与股票价格存在一定的关系。从行为金融学的角度来讲,我国股市由于还不成熟,存在很多问题,与“有效市场”的理想情况相去甚远,我国投资者也远未达到传统金融学中所说的“理性人”的标准。所以,从人的行为角度来研究股票价格变化更有意义。投资者参与度是投资者参与股市交易的程度,本文中,投资者参与度通过我国投资者账户数来体现,包括两大类,分别为新增开户数和期末账户数,共包含十二个变量。本文选择上证指数、深证综指和巨潮1000指数作为股票价格指数的研究数据,其中,上证指数和深证指数是投资者最常用的研究沪深两市股价变化的参考依据,巨潮1000指数是汇集沪深两市最具代表性的1000家上市企业的跨市场指数,是整个中国证券市场走势的表征。本文分别研究了股民参与度对以上三个指数的影响程度,并分别建立了相应的预测模型。由于选取的数据均具有时间序列特性,所以本文采用时间序列的方法对数据进行处理和检验。通过检验,得出结果：投资者参与度的某些变量与股票价格指数存在非常密切的长期稳定关系和因果关系,最后分别对三个指数建立回归模型,模型的拟合效果较好,用实际数据对模型的预测效果做了检验,结果表明本文的预测模型是有一定的实际作用的,可以帮助投资者预测股票市场的变化,进行合理的投资决策。
[Abstract]:For a long time, many scholars have devoted their efforts to studying the law of the change of stock market index, and the research on its influencing factors is even more endless. This paper makes an empirical analysis on the influence of investor participation on stock price index on the basis of summarizing and studying relevant research at home and abroad. The constant growth of investors has injected new blood into Chinese stock market and promoted the development of Chinese stock market. The degree of investor participation in the stock market reflects the investor's demand for the return on stock investment. Whether it is the number of new accounts opened or the number of trading accounts involved, they all reflect the degree of investor participation. And all the participation of investors has only one purpose-profit, so investor participation reflects the demand of Chinese investors for stocks. Through the theory that supply and demand determine the price, we have reason to believe that, There is a certain relationship between investor participation and stock price. From the point of view of behavioral finance, our stock market is still immature and has many problems, which is far from the ideal situation of "efficient market", and the investors in our country are far from meeting the standard of "rational person" in traditional finance. Therefore, it is more meaningful to study the change of stock price from the perspective of human behavior. Investor participation is the degree of investor participation in stock market trading. In this paper, investor participation is reflected by the number of investor accounts in China, including two categories, namely, the number of new accounts opened and the number of closing accounts, which contain twelve variables. In this paper, Shanghai Stock Exchange Index, Shenzhen Composite Index and Jushio 1000 Index are selected as the research data of stock price index. Among them, Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index are the most commonly used reference for investors to study the changes of stock price in Shanghai and Shenzhen stock markets. The Giant Tide 1000 Index is a cross-market index of 1000 most representative listed companies in Shanghai and Shenzhen stock markets, and is a symbol of the trend of the entire Chinese securities market. In this paper, the influence of investor participation on the above three indices is studied, and the corresponding prediction models are established. Because the selected data have the characteristic of time series, this paper uses the method of time series to process and test the data. The results are as follows: some variables of investor participation and stock price index have a very close long-term stable relationship and causality. Finally, the regression models of the three indices are established, and the fitting effect of the model is good. The results show that the prediction model in this paper has some practical effect and can help investors predict the change of stock market and make reasonable investment decision.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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