本文選題：投資者情緒 + 股票市場(chǎng)收益　； 參考：《寧波大學(xué)》2013年碩士論文

【摘要】：隨著金融市場(chǎng)的不斷發(fā)展，出現(xiàn)了傳統(tǒng)金融無法解釋的各種異象，作為新興金融理論的行為金融理論利用心理學(xué)等社會(huì)科學(xué)為解釋這些異象的產(chǎn)生做出了重大的貢獻(xiàn)，其中投資者情緒理論是熱點(diǎn)問題。由于我國的股票市場(chǎng)發(fā)展時(shí)間短，相比國外發(fā)達(dá)的股票市場(chǎng)更是存在眾多問題，因此研究我國投資者情緒與股票市場(chǎng)收益之間的關(guān)系，，對(duì)于理解股票市場(chǎng)中出現(xiàn)的各種現(xiàn)象及加強(qiáng)股票市場(chǎng)風(fēng)險(xiǎn)管理和控制具有重要的意義。 本文首先對(duì)相關(guān)理論做了全面的綜述，然后分析了我國股票市場(chǎng)現(xiàn)狀及投資者情緒對(duì)我國股票市場(chǎng)的實(shí)際影響�；诶碚撗芯刻岢�3個(gè)假說。本文最終選取新增股票開戶數(shù)、IPO上市首日收益、股票市場(chǎng)換手率和消費(fèi)者信心指數(shù)4個(gè)指標(biāo)利用主成分分析法構(gòu)建了復(fù)合投資者情緒指數(shù)。利用結(jié)構(gòu)性向量自回歸模型對(duì)股票市場(chǎng)總體收益與投資者情緒之間關(guān)系進(jìn)行實(shí)證研究；利用GARCH模型分析投資者情緒對(duì)不同類股票市場(chǎng)收益和投資者情緒對(duì)股票市場(chǎng)收益波動(dòng)影響進(jìn)行了實(shí)證研究。 通過實(shí)證研究得出以下結(jié)論： 第一，投資者情緒對(duì)股票市場(chǎng)收益存在顯著正向影響，股票市場(chǎng)收益對(duì)投資者情緒同樣存在顯著正向影響；且投資者情緒與股票市場(chǎng)收益互為格蘭杰原因； 第二，投資者情緒變動(dòng)對(duì)股票市場(chǎng)收益波動(dòng)有顯著的影響，即投資者情緒是造成股票收益風(fēng)險(xiǎn)加大的緣由之一； 第三，投資者情緒對(duì)大盤股，中盤股，小盤股的影響是逐步增大的，即投資者更傾向于購買投機(jī)性更大的股票。
[Abstract]:With the continuous development of the financial market, there are various anomalies that can not be explained by the traditional finance. The behavioral finance theory, as a new financial theory, has made great contributions to the explanation of these anomalies by using the social sciences such as psychology. Among them, investor sentiment theory is a hot issue. Because of the short development time of stock market in our country, compared with the developed stock market in foreign countries, there are many problems, so the relationship between investor sentiment and stock market income in our country is studied. It is of great significance to understand the various phenomena in the stock market and to strengthen the risk management and control of the stock market. This paper first summarizes the relevant theories, and then analyzes the current situation of stock market and the influence of investor sentiment on Chinese stock market. Three hypotheses are proposed based on theoretical research. This paper finally selects the number of new stocks to open and the first day of IPO earnings, stock market turnover rate and consumer confidence index four indicators using principal component analysis to construct a composite investor sentiment index. Using structural vector autoregressive model, the relationship between total returns and investor sentiment in stock market is studied empirically. The GARCH model is used to analyze the effect of investor sentiment on the return of different stock markets and the impact of investor sentiment on the volatility of stock market returns. The conclusions are as follows: First, investor sentiment has a significant positive impact on stock market returns, and stock market returns also have significant positive effects on investor sentiment, and investor sentiment and stock market returns are mutually Granger reasons. Second, the change of investor sentiment has a significant impact on the volatility of stock market returns, that is, investor sentiment is one of the reasons for increasing the risk of stock returns. Third, the effect of investor sentiment on large-cap, mid-market and small-cap stocks is gradually increasing, that is, investors are more inclined to buy more speculative stocks.
【學(xué)位授予單位】：寧波大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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