投资者情绪与股票收益关联性研究

发布时间：2018-01-14 03:14

本文关键词：投资者情绪与股票收益关联性研究　出处：《北京交通大学》2017年硕士论文　论文类型：学位论文

【摘要】：投资者在传统金融学理论中被认定是理性的,投资者情绪并不会对其投资行为产生影响,但无论从发达国家成熟的市场还是发展中国家新兴的市场上来看,投资者并非完全理性,存在"赌博"式投资、炒作跟风、羊群效应、市场过度反应等非理性投资行为。那么投资者情绪在我国股票市场的震荡中起到了怎样的作用,它是如何影响投资者行为进而影响股价的。本文正是基于这样的理论背景和现实问题,以A股市场为主要研究对象,建立投资者情绪与股票收益之间的相关模型研究其关联性的。本文,首先界定了行为金融学和投资者情绪的概念,阐述了与研究内容相关的理论基础。其次,在剖析由投资者情绪所导致的"非理性"行为的外在表象和内在原因的基础上,探寻投资者情绪影响股价的作用机理,并选取封闭式基金折价率、IPO首日收益率、股市溢价率、市盈率、换手率、新增开户数、振幅这七个源指标来构建投资者情绪综合指标。最后,以A股市场为例做实证研究,研究投资者情绪综合指标与股票收益的关系。实证研究分为三个部分:一是投资者情绪与上证综合指数之间的因果关系检验,研究方法主要有ADF平稳性检验,VAR模型,格兰杰因果关系检验;二是投资者情绪状态与上证综合指数的关系研究,研究方法主要有:单因素模型、Fama-French三因子模型和加入投资者情绪指标的Fama-French四因子模型;三是投资者情绪对不同类型的股票收益率影响的比较研究,研究对象是申万风格指数中的股本系列、市盈率系列、市净率系列,研究方法和第二部分一致。研究结果表明,在A股市场,投资者情绪与股票收益之间存在较强的关联性。从理论分析结果来看,投资者由于自身的心理活动产生的情感波动会导致投资者形成启发式偏差和框架式偏差,这些偏差的存在使得投资者"非理性",即产生投资者情绪。并且由于投资者自身的羊群效应,大量的噪声交易出现,使得股票价格与价值出现背离,影响股价变动和收益,同时这种异常波动会进一步地影响投资者自身的心理活动,形成下一轮的循环。从实证分析结果来看,投资者情绪与股票收益的关联性主要体现在以下几个方面:投资者情绪指标与上证综合指数收益率互为格兰杰因果关系,投资者情绪变动本身存在一定的"粘连性";加入投资者情绪指标的Fama-French四因子模型能更好的解释A股市场,高市盈率、小规模公司的股票更容易受到投资者情绪的影响;上涨趋势中,投资者情绪变动对于上证综合指数收益率有着正向的积极的影响;下跌趋势中,投资者情绪变动对于上证综合指数收益率有着反向的消极的影响。
[Abstract]:Investors in the traditional theory of finance is considered rational, investor sentiment will not affect their investment behavior, but not from the mature markets in developed countries or emerging markets in developing countries. Investors are not completely rational, there are "gambling" type of investment, speculation, herd effect. Market overreaction and other irrational investment behavior. So how does investor sentiment play a role in the volatility of China's stock market? Based on the theoretical background and practical problems, this paper focuses on the A-share market. This paper first defines the concepts of behavioral finance and investor sentiment, and expounds the theoretical basis related to the content of the research. On the basis of analyzing the external appearance and internal reason of "irrational" behavior caused by investor's emotion, this paper explores the mechanism of the influence of investor's emotion on stock price, and selects the discount rate of closed-end fund. IPO first-day yield, stock market premium, price-earnings ratio, turnover ratio, new account opening, amplitude of these seven source indicators to build a comprehensive index of investor sentiment. Finally, taking A share market as an example to do empirical research. The empirical research is divided into three parts: one is the causality test between investor sentiment and Shanghai Composite Index. The research methods mainly include ADF stationary test and Granger causality test. Second, the relationship between investors' emotional state and Shanghai Composite Index, the main research methods are: single factor model. Fama-French three-factor model and Fama-French four-factor model with investor sentiment index; The third is the comparative study of the impact of investor sentiment on different types of stock returns. The object of study is the series of equity, price-to-earnings ratio and price-to-book ratio in the Schwann style index. The results show that there is a strong correlation between investor sentiment and stock returns in the A-share market. The emotional fluctuation of investors due to their own psychological activities will lead to the formation of heuristic deviations and framing deviations, which make investors "irrational". Because of the herd effect of investors, a large number of noise transactions appear, which make the stock price deviate from the value, and affect the stock price changes and returns. At the same time, this abnormal fluctuation will further affect the psychological activities of investors themselves, and form the next cycle. The correlation between investor sentiment and stock returns is mainly reflected in the following aspects: investor sentiment and Shanghai Composite Index return are Granger causality. There is a certain degree of "adhesion" in the change of investor sentiment; The Fama-French four-factor model with investor sentiment index can better explain the A-share market, high price-earnings ratio, small company stocks are more vulnerable to the impact of investor sentiment; In the upward trend, the change of investor sentiment has a positive effect on the return of Shanghai Composite Index. In the downward trend, the investor sentiment change to the Shanghai composite index yield has the reverse negative influence.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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