發(fā)布時(shí)間：2019-03-16 16:52

【摘要】：證券市場(chǎng)的定價(jià)偏誤問題一直受到金融學(xué)家的關(guān)注,并對(duì)此進(jìn)行了大量的研究。本文通過研究,從市場(chǎng)情緒角度對(duì)證券市場(chǎng)的定價(jià)偏誤問題進(jìn)行解釋,并對(duì)二者的關(guān)系進(jìn)行實(shí)證研究,找出二者之間的實(shí)證模型。 首先,對(duì)市場(chǎng)情緒進(jìn)行了研究。本文通過總結(jié)市場(chǎng)情緒指數(shù)的相關(guān)研究成果,并對(duì)各種市場(chǎng)情緒指數(shù)的方法進(jìn)行比較,采用滬市月度換手率、IPO首日收益率、A股新增開戶數(shù)3個(gè)指標(biāo)進(jìn)行組合構(gòu)建我國市場(chǎng)上的市場(chǎng)情緒指數(shù)。通過實(shí)證研究,市場(chǎng)情緒指數(shù)滯后4期數(shù)據(jù)與上證指數(shù)走勢(shì)比較吻合,而且市場(chǎng)情緒指數(shù)能夠引導(dǎo)上證指數(shù)的變化,而反之則不然。其次,采用上市公司的增發(fā)和回購行為來作為衡量股票被高估和低估的特征。本文通過對(duì)上證180指數(shù)成分股進(jìn)行梳理,賣出增發(fā)的股票,買進(jìn)回購的股票構(gòu)建系統(tǒng)性定價(jià)偏誤因子,結(jié)果顯示系統(tǒng)性定價(jià)偏誤因子能夠追蹤這種定價(jià)偏誤,從而證明了系統(tǒng)性定價(jià)偏誤的存在性。然后,對(duì)市場(chǎng)情緒與定價(jià)偏誤關(guān)系的DSSW模型進(jìn)行研究發(fā)現(xiàn),其假設(shè)條件中關(guān)于未來證券價(jià)格服從正態(tài)分布與現(xiàn)實(shí)情況不符。通過統(tǒng)計(jì)發(fā)現(xiàn),市場(chǎng)上的證券未來價(jià)格具有尖峰厚尾特征,本文選用能夠描述尖峰厚尾特征的Levy分布來修正DSSW模型,通過新模型的推導(dǎo),發(fā)現(xiàn)存在噪音投資者的市場(chǎng)均衡價(jià)格與噪音投資者的估計(jì)偏誤期望水平成正比；與估計(jì)偏誤水平高于其期望水平成正比；與證券的歷史走勢(shì)波動(dòng)在一定情況下成正比。最后,通過推導(dǎo)發(fā)現(xiàn)市場(chǎng)情緒指數(shù)滯后一定階數(shù)的數(shù)據(jù)與系統(tǒng)性定價(jià)偏誤因子成正比,通過采用上證180指數(shù)構(gòu)建的定價(jià)偏誤因子與市場(chǎng)情緒指數(shù)進(jìn)行實(shí)證發(fā)現(xiàn),這種結(jié)論成立,可以看出市場(chǎng)情緒對(duì)系統(tǒng)性定價(jià)偏誤具有一定的解釋能力。
[Abstract]:The problem of pricing bias in securities market has been paid close attention to by financiers, and a lot of researches have been done on it. This paper explains the problem of pricing bias in securities market from the perspective of market sentiment, and makes an empirical study of the relationship between the two, and finds out the empirical model between the two. First of all, the market sentiment is studied. This paper summarizes the relevant research results of market sentiment index and compares various methods of market sentiment index. The paper adopts the monthly turnover rate of Shanghai Stock Exchange and the first-day return of IPO. A-share number of new accounts to build a combination of three indicators of market sentiment index on the Chinese market. Through the empirical study, the market sentiment index lag 4 times data and the Shanghai stock index trend is more consistent, and the market mood index can guide the Shanghai index change, but vice versa. Secondly, the IPO and buy-back behavior of listed companies are used as a measure of stock overvaluation and undervaluation. This article combs the Shanghai Stock Exchange 180 index component stock, sells the additional stock, buys the buy-back stock to construct the systematic pricing error factor, the result shows that the systematic pricing error factor can track this kind of pricing error. Thus, the existence of systematic pricing errors is proved. Then, the DSSW model of the relationship between market sentiment and pricing bias is studied, and it is found that the assumption that the future securities price obeys normal distribution does not agree with the actual situation. It is found by statistics that the future price of securities in the market has the characteristics of spikes and thick tails. In this paper, the Levy distribution which can describe the characteristics of spikes and thick tails is selected to modify the DSSW model, and the derivation of the new model is carried out. It is found that the market equilibrium price of noise investors is in direct proportion to the expectation level of noise investors' estimation errors. It is proportional to the level of estimation error higher than its expected level and to the fluctuation of the historical trend of securities under certain circumstances. Finally, it is found that the data of market sentiment index lagging a certain order is proportional to the systematic pricing error factor, and the empirical result is found by using the pricing error factor constructed by Shanghai Stock Exchange 180 Index and the market sentiment index, and this conclusion is valid. It can be seen that market sentiment to the systematic pricing bias has a certain ability to explain.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：2441773