本文關(guān)鍵詞：基于錨定效應(yīng)的上海證券市場(chǎng)投資者情緒影響研究　出處：《華東理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 證券市場(chǎng) 錨定效應(yīng) 投資者情緒

【摘要】：20世紀(jì)80年代以來(lái)金融市場(chǎng)上涌現(xiàn)出很多傳統(tǒng)金融理論無(wú)法解釋的異象,在一定程度上促使了行為金融學(xué)的產(chǎn)生,目前,各國(guó)學(xué)者對(duì)行為金融領(lǐng)域的研究不是很成熟,較多學(xué)者只是從理論層面來(lái)對(duì)異象進(jìn)行解釋,而缺少實(shí)證方面的研究探討。主要的研究范圍集中在對(duì)證券市場(chǎng)上投資者的行為研究,而投資者情緒作為一個(gè)能夠影響行為決策的變量,對(duì)證券市場(chǎng)的影響較明顯。 鑒于此,本研究選擇了上海證券市場(chǎng)上投資者情緒作為研究對(duì)象,探討投資者的錨定效應(yīng)通過(guò)情緒對(duì)證券市場(chǎng)的影響。具體思路：首先選擇了2006-2012年上證A股的周收益率,并劃分三個(gè)時(shí)間段,然后確定了好淡指數(shù)作為投資者情緒指標(biāo),發(fā)現(xiàn)了投資者情緒對(duì)上證A股周收益率的錨定效應(yīng)。然后,對(duì)比分析不同階段的錨定程度和特點(diǎn)。接著探討不同時(shí)間段投資者情緒對(duì)收益率的具體影響程度,而且發(fā)現(xiàn)了總體上投資者情緒變化會(huì)形成上證A股周收益率的系統(tǒng)性風(fēng)險(xiǎn)。最后,總結(jié)得出投資者短期情緒在股市上升階段錨定程度最大,其次是下降階段,最后是低迷階段。在投資者情緒對(duì)收益率的預(yù)測(cè)影響方面,在股市上升階段,短期情緒對(duì)收益率的影響較大,而在低迷階段,中期情緒具有更大的影響。通過(guò)結(jié)論分析并結(jié)合我國(guó)的實(shí)際情況在改善和引導(dǎo)投資者情緒問(wèn)題上從微觀層面即投資者角度、中觀層面即企業(yè)角度、宏觀層面即政府角度三方面來(lái)提出一些可操作性的建議。
[Abstract]:Since 1980s, the emergence of a lot of traditional financial theories can not be explained in the financial market, to a certain extent, the emergence of behavioral finance, at present. Scholars from different countries are not very mature in the field of behavioral finance, more scholars only explain the anomalies from the theoretical level. The main research scope is focused on the behavior of investors in the securities market, and investor sentiment as a variable that can affect behavior decisions. The impact on the securities market is obvious. In view of this, this study chooses investor sentiment in Shanghai stock market as the research object. This paper discusses the influence of investors' anchoring effect on the securities market through emotion. The specific ideas are as follows: firstly, the weekly return rate of A shares in Shanghai Stock Exchange from 2006 to 2012 is selected, and three time periods are divided. Then determine the good light index as an indicator of investor sentiment, and find the anchor effect of investor sentiment on the weekly yield of A shares in Shanghai Stock Exchange. Then. Compare and analyze the anchoring degree and characteristics of different stages, and then explore the specific impact of investor sentiment on the return in different time periods. And found that the overall change of investor sentiment will form the systemic risk of Shanghai A-share weekly yield. Finally, the conclusion is that investor short-term sentiment is the largest anchoring degree in the rising stage of the stock market, followed by the declining stage. The last is the downturn stage. In the forecasting impact of investor sentiment on the yield, in the stock market rising stage, short-term sentiment has a greater impact on the yield, while in the downturn stage. Through the conclusion analysis and combining the actual situation of our country, we can improve and guide the investor sentiment from the micro level, that is, the investor angle, the meso level is the enterprise angle. Macroscopic level namely government angle three respects come to put forward some operable suggestion.
【學(xué)位授予單位】：華東理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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