【摘要】：傳統(tǒng)金融理論都假設(shè)投資者是理性的,并以此建立了許多經(jīng)典的金融計量模型。隨著金融市場的發(fā)展,出現(xiàn)了越來越多的用傳統(tǒng)金融理論無法解釋的金融異象,這就促使學(xué)者們思考理性人假設(shè)的合理性并逐漸打破該假設(shè)的束縛。行為金融學(xué)正是在這樣的背景下應(yīng)運而生,它提出了投資者異質(zhì)性的概念,并將心里學(xué)的相關(guān)理論應(yīng)用到投資者行為的研究中,從而以一個全新的角度對金融市場中的種種異象做出了解釋。 行為金融學(xué)的一個重要研究領(lǐng)域是對投資者情緒的研究。就像股市常常被稱為宏觀經(jīng)濟(jì)的“晴雨表”一樣,投資者情緒也被普遍認(rèn)為是股票市場的“風(fēng)向標(biāo)”。行為金融理論認(rèn)為：投資者情緒會影響投資者決策,進(jìn)而會影響到資產(chǎn)的價格走勢。特別是對于我國這樣還不夠成熟的市場,投資者決策更容易受到自身情緒非理性變化的影響：投資者情緒越高漲,投資者越可能選擇性忽略負(fù)面消息或過度的相信市場上的利好消息,導(dǎo)致股價高估。因此,對投資者情緒進(jìn)行深入的研究有助于我們理解資本市場上的投資者行為；有助于揭示投資者情緒波動與股票價格之間的互動關(guān)系；為投資者決策提供參考。 本文首先從理論上闡述投資者情緒的概念、度量方法及投資者情緒對股票收益的影響機理。然后通過對常用投資者情緒指標(biāo)優(yōu)缺點進(jìn)行分析,精選多個可以每日更新數(shù)據(jù)的客觀投資者情緒指標(biāo),并通過主成分分析提取各單一指標(biāo)的信息,構(gòu)造出一個能夠綜合反映投資者情緒的投資者情緒指數(shù)。最后通過GARCH模型檢驗和回歸分析得出本文的結(jié)論：投資者情緒指數(shù)與滬深300的周收益率存在正相關(guān)關(guān)系而投資者情緒的波動率與滬深300指數(shù)周收益率存在負(fù)相關(guān)關(guān)系。
文內(nèi)圖片：
圖片說明：投資者情緒走勢與滬深300指數(shù)走勢對比圖
[Abstract]:Traditional financial theory assumes that investors are rational, and establishes many classical financial measurement models. With the development of financial market, there are more and more financial anomalies that can not be explained by traditional financial theory, which urges scholars to think about the rationality of rational man hypothesis and gradually break the shackles of this hypothesis. It is in this context that behavioral finance emerges as the times require. It puts forward the concept of investor heterogeneity and applies the relevant theories of psychology to the study of investor behavior, thus explaining all kinds of anomalies in the financial market from a new point of view. An important research field of behavioral finance is the study of investor sentiment. Just as the stock market is often called a "barometer" of macroeconomics, investor sentiment is widely seen as a "bellwether" for the stock market. Behavioral finance theory holds that investor sentiment will affect investors' decision-making, and then affect the price trend of assets. Especially for the immature market in China, investor decision-making is more likely to be affected by irrational changes in their own emotions: the higher the investor sentiment, the more likely investors are to selectively ignore the negative news or overbelieve the good news in the market, resulting in overvaluation of the stock price. Therefore, an in-depth study of investor sentiment is helpful for us to understand the investor behavior in the capital market, to reveal the interactive relationship between investor mood volatility and stock price, and to provide a reference for investors to make decisions. This paper first expounds the concept of investor sentiment, the measurement method and the influence mechanism of investor emotion on stock return in theory. Then through the analysis of the advantages and disadvantages of the commonly used investor sentiment indicators, select a number of objective investor sentiment indicators that can update the data daily, and extract the information of each single index through principal component analysis, and construct an investor sentiment index which can comprehensively reflect the investor sentiment. Finally, through GARCH model test and regression analysis, it is concluded that there is a positive correlation between investor sentiment index and the weekly rate of return of Shanghai and Shenzhen 300, and there is a negative correlation between the volatility of investor sentiment and the weekly rate of return of Shanghai and Shenzhen 300 index.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

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本文編號：2510932