投资者异质性对股票市场价格发现功能的影响研究
发布时间：2019-06-08 09:37
【摘要】：价格发现功能是通过股票价格的形成机制实现对均衡价格的动态描述,表现为市场新信息透过股票投资的供求关系及其交易行为反应到股票价格的过程。从长期来看,股票价格回归内在价值(即价格发现功能)具有必然性,但是在短周期内却存在很强的随机性,但是反过来看,价格随机性并不必然意味着市场有效,而是蕴含着非常丰富的投资者行为信息(胡昌生等,2017)。究其原因,笔者发现投资者心理和偏好差异是导致这种随机性的重要原因。特别是2007年的金融危机全球性扩散以及2014年至2015年期间中国股票市场所呈现的暴涨暴跌现象,这种大幅度的波动很难统统归因于传统金融学基于宏观经济以及公司基本面变化所做出的理性解释,投资者的非理性行为无疑对股票市场的非理性繁荣或者恐慌起到推波助澜的作用。事实上,中国股票市场投资者的投资理念和投资心理尚未成熟,投资者的认知偏差和非理性情绪对于相同市场信息内容的解读存在差异,对股票市场价格发现功能的有效性形成冲击,致使股票市场出现频繁的剧烈波动。因此,本文正是基于投资者行为这一角度,研究投资者异质性对股票价格发现功能的影响。对投资者异质性方面的研究能够推进金融学理论的发展,为人们更加准确认识其投资交易行为的差异对股票市场价格发现功能有效性的影响提供更多的理论辨析准则和实证检验基础。本文主要是从以下几个方面研究投资者异质性对股票价格发现功能的影响:首先,本文从金融微观结构角度对股票市场价格发现功能的相关理论进行一定的总结与梳理,具体从市场流动性、透明度、卖空约束和交易成本等多个方面围绕投资者的需求如何转化为市场交易行为的过程进行阐述,以此作为全文的理论基础。此外,笔者从异质交易行为主体、投资者理性情绪和非理性情绪以及反馈交易行为与股票市场价格偏离的相关性研究进行总结,最终落脚于投资者异质性在股票价格发现过程影响的理论总结,这为后续章节中投资者异质性对股票价格发现功能的研究提供理论基础。其次,结合全文理论基础,本文落实全文实证检验的基础性工作。(1)从现实角度出发探讨了投资者异质性的演化过程,并对股票价格发现是如何受到投资者交易行为的影响这一问题予以深层次的解释;(2)从投资者对新信息的态度以及对资产未来价格的预期来区分投资者类型,总结并梳理异质投资者的相互作用对资产价格的动态影响的相关研究;(3)对国内外学者采用投资者情绪代理指标进行总结与归纳,依据各个指标的适用性选择最合理的投资者情绪代理指标,并采用Baker and Wurgler(2006,07)的方法构建投资者情绪复合指标,为下文的实证检验作基础性工作。对比整体股票市场投资者情绪、机构投资者情绪以及个体投资者情绪指标的走势图来看,发现相比较整体股票市场投资者和机构投资者情绪,个体投资者情绪更加敏感,对信息的反应幅度最大,而机构投资者情绪在理性程度上对未来股票价格的预期更加合理。在全文实证研究方面,本文首先针对异质交易行为主体在股票市场价格发现过程中的影响进行研究,将异质交易行为主体具体化为机构投资者和个体投资者。本文的理论部分指出,投资者情绪在股票市场运行过程中是一种动态过程,并非一成不变的,表现为理性情绪与非理性情绪一直处于相互转换的过程;不同类型的投资者(机构投资者和个体投资者)的情绪对于股票市场价格发现功能的影响表现为非一致状态,且在不同样本时间点上,这种非一致状态对股票价格的影响更为显著。因此,本文在传统STAR模型的基础上,考虑序列非线性和异方差等特征,对确定STAR形式做了详细的分析,得到相应的实证结论。进一步研究中,笔者在理性情绪与非理性情绪相互转换的实证结论的基础上,探讨理性情绪与非理性情绪在股票市场价格发现过程中的影响差异。这区别于以往学者从整体投资者情绪角度来理解理性情绪与非理性情绪的转变。对此,本文采用具有随机波动的SV-TVP-VAR模型的时点脉冲响应函数,从时点维度具体化研究在股票市场不同发展状况下投资者理性情绪与非理性情绪在股票价格发现过程的影响差异,从而得到以下基本结论:无论机构投资者还是个体投资者,其理性情绪对于股票价格偏离的冲击影响趋于一致,其理性情绪的高涨会推动股票市场价格发现功能的有效发挥。而非理性情绪在不同时点上对价格发现功能的影响存在显著差异,特别是个体投资者在2007年金融危机期间,非理性情绪持续高涨,个体投资者的非理性情绪在短期内扩大了股票价格偏差,形成惯性效应。但是当理性投资者在中长期中占主导地位时,会倒逼非理性投资者转变其投资策略,即投资者持续的过度自信促使投资者形成反转投资策略,转化为理性投资者。这在验证了第4章中投资者理性情绪与非理性情绪之间对股票市场价格发现功能的影响作用。最后,笔者进一步实证检验投资者异质性在股票价格过程中所发挥的时变影响,延续第4章和第5章所展开的内容。投资者受情绪影响,导致其股票价格发现过程发生偏差,然而在现实股票市场中,股票市场的价格发现过程偏差又会反过来影响投资者对股票价格的预期与认知。对此,本章将投资者异质性纳入到投资者反馈交易的分析框架中,探讨投资者非理性情绪在反馈机制中如何进一步扩大股票价格偏离其内在价值以及理性投资者在股票价格偏离过程中所发挥的非一致作用。研究发现:机构理性投资者能够快速准确的捕捉到价格偏离增大的信息并作出对价格回复套利行为的投资选择。不同类型的理性投资者对于股票价格走势的预期判断存在差异,此时就给予机构投资者形成套利空间的可能性。这直接说明了机构投资者的投资决策更为理性,且在对市场新信息的处理和获取上更有效,能够针对性地调整自身投资策略。从理性投资者角度来看,机构理性投资者的反馈效应趋向于微波化,而个体理性投资者的反馈效应则相对剧烈,这意味机构理性投资者和个体理性投资者作出投资决策所依赖的信息存在很大差异;从非理性投资者角度,机构投资者由于受到非理性情绪的影响,在短期内形成显著的追涨杀跌的投资行为,而在长期内会对新形成的股票价格趋势的持续推动力较弱。相反,个体非理性投资者的正反馈效应较强,且具有较长的持续性,显著凸显了个体非理性投资者长期的趋势性特征。鉴于以上实证分析所得到的结果,本文对中国股票市场价格发现功能的有效性提出相应的优化路径。中国股票市场的价格发现功能效率不高,仍然受到众多因素的制约,譬如价格发现周期偏长、价格过度偏离内在价值等缺陷,这些因素都制约着股票市场价格发现功能的发挥。但是为了保证股票价格发现功能的正常发挥,本文建议从投资者结构、市场信息披露与政府监管效率三条路径出发进行完善和加强。经过长期教育的投资者具有一定的投资认知水平和投资经验,能够减少非理性投资行为,使中国股票市场逐渐走向理性成熟。
[Abstract]:The function of price discovery is to realize the dynamic description of the equilibrium price through the formation mechanism of the stock price, and it shows that the new information of the market is through the supply and demand relation of the stock investment and the process of the transaction behavior of the stock price to the stock price. In the long term, the intrinsic value of stock price returns (that is, the function of price discovery) is inevitable, but there is a strong randomness in the short period, but in turn, price randomness does not necessarily mean that the market is effective, Instead, there is a wealth of investor behavior information (Hu Changsheng et al.,2017). The reason is that the difference of investor's psychology and preference is an important cause of this randomness. In particular, the global spread of the financial crisis in 2007 and the collapse of the Chinese stock market from 2014 to 2015 are hard to be attributed to the rational explanation of traditional finance based on macro-economy and fundamental changes of the company, The irrational behavior of the investors undoubtedly plays an important role in the irrational exuberance or the panic of the stock market. In fact, the investment concept and the investment psychology of the Chinese stock market investors are not mature, the cognitive deviation and the irrational emotion of the investors are different to the interpretation of the information content of the same market, and the impact on the effectiveness of the stock market price discovery function is formed. Causing frequent sharp fluctuations in the stock market. Therefore, this paper is based on the investor's behavior, and studies the effect of the investor's heterogeneity on the stock price discovery function. The research on the heterogeneity of the investor can promote the development of the finance theory, and provide more theoretical analysis and empirical test basis for the effect of the difference in the investment transaction behavior of the investors on the function effectiveness of the stock market price discovery function. This paper mainly studies the effect of the heterogeneity of the investors on the stock price discovery function from the following aspects: first, the paper summarizes and sorts the relevant theories of the stock market price discovery function from the angle of the financial micro-structure, in particular from the market liquidity, the transparency, The process of how to convert the demand of the investor into the market transaction behavior, such as short-selling and transaction costs, is the theoretical basis of the full-text. In addition, the author sums up the correlation between the behavior subject of the heterogeneous transaction, the rational emotion and the irrational emotion of the investor and the deviation of the feedback trading behavior from the price of the stock market, and finally the theoretical summary of the influence of the heterogeneity of the investor on the stock price discovery process, This provides a theoretical basis for the study of the heterogeneity of the investors in the follow-up section on the stock price discovery function. Secondly, based on the full-text theory, this paper carries out the basic work of the full-text empirical test. (1) The evolution of the investor's heterogeneity is discussed from the point of view of reality, and the problem of how the stock price is found to be affected by the investor's transaction behavior is explained deeply. (2) to distinguish the investor type from the attitude of the investor to the new information and the expectation of the future price of the asset, and summarize and sort out the relevant research on the dynamic effect of the interaction of the foreign investors on the asset price; (3) At home and abroad, the author sums up and sums up the index of investor's emotional agent, selects the most reasonable investor's emotion agent index according to the applicability of each index, and uses the method of Baker and Wurgler (2006,07) to build the investor's emotion composite index, which is the basic work for the following empirical test. in contrast to that trend of investor's emotion, institutional investor's emotion and individual investor's emotional index in the whole stock market, it is found that the investor of the whole stock market and the investor of the institutional investor, the individual investor's emotion is more sensitive, the response amplitude of the information is the largest, And the institutional investor's emotion is more reasonable to the expectation of the future stock price. In that case of the full-text positive research, this article first study the effect of the heterogeneous transaction behavior subject in the stock market price discovery process, and embody the heterogeneous transaction behavior subject as the institutional investor and the individual investor. The theory part of this paper points out that the investor's emotion is a dynamic process in the process of stock market operation, and is not the same, which is the process of mutual conversion between reason and irrational emotion. The influence of different types of investors (institutional investors and individual investors) on the stock market price discovery function is in a non-consistent state, and the effect of this non-uniform state on the stock price is more significant at different sample time points. Therefore, on the basis of the traditional STAR model, this paper makes a detailed analysis on the determination of the STAR form, taking into account the characteristics of sequence non-linearity and heteroscedasticity. In the further study, the author discusses the effect of rational emotion and non-rational emotion in the process of the stock market price discovery based on the empirical conclusion of the mutual transformation between the rational emotion and the non-rational emotion. This difference is different from the past scholars to understand the transition of reason and irrational emotion from the overall investor's emotional angle. In this paper, the time-point impulse response function of the SV-TVP-VAR model with random fluctuation is adopted, and the effect of the investor's rational emotion and the non-rational emotion in the stock price discovery process under the different development conditions of the stock market is embodied in the time-point dimension, so as to obtain the following basic conclusions: No matter whether the institutional investor or the individual investor, the reason of the reason is to be consistent with the impact of the stock price deviation, the rising of the rational emotion will push the stock market price discovery function to play an effective role. The non-rational emotion has a significant difference in the effect of the price discovery function at the same time. In particular, the irrational emotion of the individual investor is continuously high during the financial crisis of 2007, and the irrational emotion of the individual investor increases the deviation of the stock price in the short term to form the inertia effect. But when a rational investor is dominant in the medium and long term, the irrational investor is pushed to change its investment strategy, that is, the investor's continued over-confidence has led the investor to form a reverse investment strategy and turn into a rational investor. This verifies the effect of the investor's rational emotion and irrational emotion on the function of the stock market price discovery in Chapter 4. In the end, the author further verifies the time-varying effect of the heterogeneity of the investors in the stock price process, and continues the contents of Chapter 4 and Chapter 5. The investor is affected by the emotion, resulting in the deviation of the stock price discovery process, but in the real stock market, the price discovery process deviation of the stock market in turn will affect the investor's expectation and cognition of the stock price. In this chapter, this chapter takes the investor's heterogeneity into the analysis framework of the investor's feedback trade, and discusses how the investor's irrational emotion is in the feedback mechanism how to further expand the stock price to deviate from its inherent value and the non-uniform role played by the rational investor in the stock price deviation process. The study found that institutional rational investors can quickly and accurately capture the information that the price deviates from the increase and make the investment choice to the price recovery arbitrage behavior. Different types of rational investors are different in the expected judgment of the stock price trend, and the possibility of the institutional investors to form the arbitrage space is given. This directly shows that the investment decision of institutional investors is more rational, and it is more effective to deal with and obtain new information of the market, and can adjust its own investment strategy. From the point of view of rational investors, the feedback effect of the institutional rational investors tends to be microwave, and the feedback effect of the individual rational investors is relatively severe, which means that the information on the investment decision of the institutional rational investors and the individual rational investors is very different; From the angle of non-rational investors, institutional investors form a significant investment behavior in the short term due to the influence of irrational emotion, and the continuous driving force of the new-formed stock price trend will be weak in the long term. On the contrary, the positive feedback effect of individual non-rational investors is strong, and it has a long persistence, which significantly highlights the long-term trend characteristics of individual non-rational investors. In view of the results of the above empirical analysis, this paper puts forward the corresponding optimization path for the effectiveness of the Chinese stock market price discovery function. The price of the Chinese stock market has found that the efficiency of the function is not high, still subject to many factors, such as the price discovery period is long, the price is over-deviated from the intrinsic value, etc., these factors restrict the function of the stock market price discovery function. However, in order to ensure the normal function of the stock price discovery, this paper proposes to perfect and strengthen the three paths from the structure of the investor, the information disclosure of the market and the efficiency of the government's supervision. After long-term education, investors have a certain level of investment cognition and investment experience, which can reduce the non-rational investment behavior, and make the Chinese stock market gradually become rational and mature.
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F832.51
本文编号：2495190
[Abstract]:The function of price discovery is to realize the dynamic description of the equilibrium price through the formation mechanism of the stock price, and it shows that the new information of the market is through the supply and demand relation of the stock investment and the process of the transaction behavior of the stock price to the stock price. In the long term, the intrinsic value of stock price returns (that is, the function of price discovery) is inevitable, but there is a strong randomness in the short period, but in turn, price randomness does not necessarily mean that the market is effective, Instead, there is a wealth of investor behavior information (Hu Changsheng et al.,2017). The reason is that the difference of investor's psychology and preference is an important cause of this randomness. In particular, the global spread of the financial crisis in 2007 and the collapse of the Chinese stock market from 2014 to 2015 are hard to be attributed to the rational explanation of traditional finance based on macro-economy and fundamental changes of the company, The irrational behavior of the investors undoubtedly plays an important role in the irrational exuberance or the panic of the stock market. In fact, the investment concept and the investment psychology of the Chinese stock market investors are not mature, the cognitive deviation and the irrational emotion of the investors are different to the interpretation of the information content of the same market, and the impact on the effectiveness of the stock market price discovery function is formed. Causing frequent sharp fluctuations in the stock market. Therefore, this paper is based on the investor's behavior, and studies the effect of the investor's heterogeneity on the stock price discovery function. The research on the heterogeneity of the investor can promote the development of the finance theory, and provide more theoretical analysis and empirical test basis for the effect of the difference in the investment transaction behavior of the investors on the function effectiveness of the stock market price discovery function. This paper mainly studies the effect of the heterogeneity of the investors on the stock price discovery function from the following aspects: first, the paper summarizes and sorts the relevant theories of the stock market price discovery function from the angle of the financial micro-structure, in particular from the market liquidity, the transparency, The process of how to convert the demand of the investor into the market transaction behavior, such as short-selling and transaction costs, is the theoretical basis of the full-text. In addition, the author sums up the correlation between the behavior subject of the heterogeneous transaction, the rational emotion and the irrational emotion of the investor and the deviation of the feedback trading behavior from the price of the stock market, and finally the theoretical summary of the influence of the heterogeneity of the investor on the stock price discovery process, This provides a theoretical basis for the study of the heterogeneity of the investors in the follow-up section on the stock price discovery function. Secondly, based on the full-text theory, this paper carries out the basic work of the full-text empirical test. (1) The evolution of the investor's heterogeneity is discussed from the point of view of reality, and the problem of how the stock price is found to be affected by the investor's transaction behavior is explained deeply. (2) to distinguish the investor type from the attitude of the investor to the new information and the expectation of the future price of the asset, and summarize and sort out the relevant research on the dynamic effect of the interaction of the foreign investors on the asset price; (3) At home and abroad, the author sums up and sums up the index of investor's emotional agent, selects the most reasonable investor's emotion agent index according to the applicability of each index, and uses the method of Baker and Wurgler (2006,07) to build the investor's emotion composite index, which is the basic work for the following empirical test. in contrast to that trend of investor's emotion, institutional investor's emotion and individual investor's emotional index in the whole stock market, it is found that the investor of the whole stock market and the investor of the institutional investor, the individual investor's emotion is more sensitive, the response amplitude of the information is the largest, And the institutional investor's emotion is more reasonable to the expectation of the future stock price. In that case of the full-text positive research, this article first study the effect of the heterogeneous transaction behavior subject in the stock market price discovery process, and embody the heterogeneous transaction behavior subject as the institutional investor and the individual investor. The theory part of this paper points out that the investor's emotion is a dynamic process in the process of stock market operation, and is not the same, which is the process of mutual conversion between reason and irrational emotion. The influence of different types of investors (institutional investors and individual investors) on the stock market price discovery function is in a non-consistent state, and the effect of this non-uniform state on the stock price is more significant at different sample time points. Therefore, on the basis of the traditional STAR model, this paper makes a detailed analysis on the determination of the STAR form, taking into account the characteristics of sequence non-linearity and heteroscedasticity. In the further study, the author discusses the effect of rational emotion and non-rational emotion in the process of the stock market price discovery based on the empirical conclusion of the mutual transformation between the rational emotion and the non-rational emotion. This difference is different from the past scholars to understand the transition of reason and irrational emotion from the overall investor's emotional angle. In this paper, the time-point impulse response function of the SV-TVP-VAR model with random fluctuation is adopted, and the effect of the investor's rational emotion and the non-rational emotion in the stock price discovery process under the different development conditions of the stock market is embodied in the time-point dimension, so as to obtain the following basic conclusions: No matter whether the institutional investor or the individual investor, the reason of the reason is to be consistent with the impact of the stock price deviation, the rising of the rational emotion will push the stock market price discovery function to play an effective role. The non-rational emotion has a significant difference in the effect of the price discovery function at the same time. In particular, the irrational emotion of the individual investor is continuously high during the financial crisis of 2007, and the irrational emotion of the individual investor increases the deviation of the stock price in the short term to form the inertia effect. But when a rational investor is dominant in the medium and long term, the irrational investor is pushed to change its investment strategy, that is, the investor's continued over-confidence has led the investor to form a reverse investment strategy and turn into a rational investor. This verifies the effect of the investor's rational emotion and irrational emotion on the function of the stock market price discovery in Chapter 4. In the end, the author further verifies the time-varying effect of the heterogeneity of the investors in the stock price process, and continues the contents of Chapter 4 and Chapter 5. The investor is affected by the emotion, resulting in the deviation of the stock price discovery process, but in the real stock market, the price discovery process deviation of the stock market in turn will affect the investor's expectation and cognition of the stock price. In this chapter, this chapter takes the investor's heterogeneity into the analysis framework of the investor's feedback trade, and discusses how the investor's irrational emotion is in the feedback mechanism how to further expand the stock price to deviate from its inherent value and the non-uniform role played by the rational investor in the stock price deviation process. The study found that institutional rational investors can quickly and accurately capture the information that the price deviates from the increase and make the investment choice to the price recovery arbitrage behavior. Different types of rational investors are different in the expected judgment of the stock price trend, and the possibility of the institutional investors to form the arbitrage space is given. This directly shows that the investment decision of institutional investors is more rational, and it is more effective to deal with and obtain new information of the market, and can adjust its own investment strategy. From the point of view of rational investors, the feedback effect of the institutional rational investors tends to be microwave, and the feedback effect of the individual rational investors is relatively severe, which means that the information on the investment decision of the institutional rational investors and the individual rational investors is very different; From the angle of non-rational investors, institutional investors form a significant investment behavior in the short term due to the influence of irrational emotion, and the continuous driving force of the new-formed stock price trend will be weak in the long term. On the contrary, the positive feedback effect of individual non-rational investors is strong, and it has a long persistence, which significantly highlights the long-term trend characteristics of individual non-rational investors. In view of the results of the above empirical analysis, this paper puts forward the corresponding optimization path for the effectiveness of the Chinese stock market price discovery function. The price of the Chinese stock market has found that the efficiency of the function is not high, still subject to many factors, such as the price discovery period is long, the price is over-deviated from the intrinsic value, etc., these factors restrict the function of the stock market price discovery function. However, in order to ensure the normal function of the stock price discovery, this paper proposes to perfect and strengthen the three paths from the structure of the investor, the information disclosure of the market and the efficiency of the government's supervision. After long-term education, investors have a certain level of investment cognition and investment experience, which can reduce the non-rational investment behavior, and make the Chinese stock market gradually become rational and mature.
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F832.51
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相关博士学位论文 前3条
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3 韩泽县;投资者情绪与中国证券市场的实证研究[D];天津大学;2005年
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