投资者关注度对股票表现的实证研究

发布时间：2018-06-30 07:09

本文选题：投资者关注度 + 收益　；参考：《哈尔滨工业大学》2017年硕士论文

【摘要】：20世纪80年代以来,随着金融市场上一些现象无法利用传统金融学解释的现象出现时,人们开始对传统的金融理论进行重新思考,并试图运用更加合理的方法去解释市场当中存在的“异象”。其中部分学者从心理学的视角,对金融市场当中的个体投资者进行仔细研究。通过观察个体投资者的行为表现,将得到的数据加入到传统的金融模型当中,发现可以得到能够更好的解释市场的现象。从此,衍生出一系列结合心理学和金融学的理论,行为金融学进而广泛被大家熟知与接受。有限注意作为心理学当中重要的一部分,在近些年当中,随着互联网大数据的跨越式发展,投资者关注度的数据成为研究股票市场上量化分析的有力工具。由于投资者的注意力被认为是一种稀缺资源,因而当投资者把自身的注意力分配给某些公司时,势必会对其股票产生一定的影响,同时,由于噪声投资者的存在,这种现象很可能在短期之内被放大,从而影响股票的收益和波动。本文在第一章首先对投资者关注度相关研究进行梳理,并确定研究的目标、意义以及所选择的研究方法;在第二章当中总结金融市场资产定价的相关理论及发展脉络,同时提出行为金融学当中与投资者关注度相关的理论,为后文的实证分析打下理论基础;在第三章中,对本文所涉及的变量的来源进行介绍,并对本文的模型选取的方法进行一般性概括;第四章为本文的实证部分,将投资者对股票的影响分解为对个股的影响及对市场的影响两大部分,对个股的影响集中在对个股的收益分析,分别选择用多元回归及面板数据分析两种角度,对市场的分析则为投资者关注度对市场的收益和波动影响两部分内容展开。本文通过对反映投资者关注度的指标进行深刻挖掘,选择利用和讯网及东方财富网股吧的数据投资者关注度进行较为直观的刻画,最大程度上减小市场上的噪音,在此基础上利用该数据结合股票指数及个股的相关财务数据研究投资者关注度对个股收益及对市场波动的影响,探究其内在的影响机制,为投资者在研究股票表现时提供一定的参考。
[Abstract]:Since the 1980s, with the emergence of some phenomena in the financial market that cannot be explained by traditional finance, people began to rethink the traditional financial theory. And try to use a more reasonable method to explain the market exist in the "vision." From the perspective of psychology, some scholars carefully study individual investors in financial markets. By observing the behavior of individual investors, we add the data to the traditional financial model and find that the phenomenon can be better explained. Since then, a series of theories combining psychology and finance have been developed, and behavioral finance has been widely known and accepted. Limited attention is an important part of psychology. In recent years, with the development of Internet big data, the data of investor's attention has become a powerful tool to study the quantitative analysis in stock market. Because investors' attention is regarded as a scarce resource, when investors allocate their own attention to some companies, it will inevitably have a certain impact on their stocks. At the same time, because of the presence of noise investors, This phenomenon is likely to be amplified in the short term, affecting stock returns and volatility. In the first chapter of this paper, the author firstly combs the related research of investor's attention, and determines the goal, significance and research method of the research. In the second chapter, it summarizes the related theories and development context of asset pricing in the financial market. At the same time, it puts forward the theory of behavioral finance related to investor concern, which lays a theoretical foundation for the empirical analysis later. In chapter 3, the source of variables involved in this paper is introduced. The fourth chapter is the empirical part of this paper, the impact of investors on the stock is divided into two parts: the impact on the stock and the impact on the market. The influence of individual stock is concentrated on the income analysis of individual stock, the multiple regression and panel data are used to analyze the two angles, and the analysis of market is carried out in two parts: the investor's attention to the return and the fluctuation of the market. Through the deep excavation of the index reflecting investor's attention, this paper chooses to use the data investor's attention of Hexun net and Dongfang fortune net stock bar to describe the data investor's attention degree directly, so as to reduce the noise in the market to the greatest extent. On this basis, using the data combined with the stock index and the relevant financial data of individual stocks to study the impact of investor attention on individual stock returns and market volatility, and to explore its internal impact mechanism. For investors in the study of stock performance to provide a certain reference.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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