【摘要】：近些年來(lái)隨著國(guó)內(nèi)對(duì)行為金融學(xué)研究的深入，發(fā)現(xiàn)投資者情緒與股票價(jià)格及收益、資產(chǎn)價(jià)格的波動(dòng)都具有很強(qiáng)的相關(guān)性，在此背景下，投資者情緒在對(duì)資產(chǎn)價(jià)格及收益波動(dòng)的影響上越來(lái)越受到投資者的重視。行為金融學(xué)是一門(mén)綜合性非常強(qiáng)的學(xué)科，綜合了應(yīng)用心理學(xué)、投資者偏好、情感心理學(xué)、社會(huì)心理學(xué)、認(rèn)知心理學(xué)等領(lǐng)域的知識(shí)和研究成果。很多前人的研究結(jié)果都表明，投資者情緒的變化直接會(huì)導(dǎo)致股市的波動(dòng)，并且這種波動(dòng)還會(huì)隨著情緒的蔓延而更加劇烈。這種影響不僅僅造成股市波動(dòng)，而且對(duì)金融資產(chǎn)的價(jià)格也會(huì)產(chǎn)生很大影響。在整個(gè)價(jià)格決定和市場(chǎng)波動(dòng)的過(guò)程中投資者情緒都扮演著重要的角色，因此在行為金融學(xué)領(lǐng)域?qū)ν顿Y者情緒的研究也逐漸流行起來(lái)。 對(duì)投資情緒的研究在實(shí)際中也具有重要的意義。投資者情緒與股市在短期的相互關(guān)系的研究是十分重要，因?yàn)檫@不僅可以從量上找出投資者情緒對(duì)股市的影響程度，而且還可以利用投資者情緒指數(shù)來(lái)對(duì)股市走勢(shì)及其收益進(jìn)行有效的預(yù)測(cè)。其現(xiàn)實(shí)意義表現(xiàn)為：在對(duì)股市收益及價(jià)格走勢(shì)預(yù)測(cè)的基礎(chǔ)上，為相關(guān)監(jiān)管部門(mén)提供對(duì)策和建議，對(duì)市場(chǎng)進(jìn)行有效合理的調(diào)控，以防止股市出現(xiàn)劇烈的波動(dòng)，而擾亂市場(chǎng)，導(dǎo)致投機(jī)盛行損害投資者利益。 本文的主要采用因子分析法構(gòu)建國(guó)內(nèi)股票市場(chǎng)投資者情緒指數(shù)。第一步，先對(duì)所構(gòu)造的指數(shù)與收益率之間關(guān)系進(jìn)行分析，找出所構(gòu)建指數(shù)的波動(dòng)性與收益率波動(dòng)性的關(guān)系，然后根據(jù)實(shí)際情況對(duì)波動(dòng)曲線進(jìn)行解釋。本文最后的研究結(jié)果表明投資者情緒指數(shù)與收益率、投資者情緒指數(shù)波動(dòng)與收益率波動(dòng)都是具有很強(qiáng)的相關(guān)性；第二步，再通過(guò)實(shí)證來(lái)檢驗(yàn)構(gòu)造的情緒指數(shù)與股市收益的關(guān)系，以及對(duì)收益的解釋程度，，同時(shí)與耶魯-CCER中國(guó)投資者信心指數(shù)與股市收益的關(guān)系進(jìn)行比較，進(jìn)而來(lái)檢驗(yàn)市場(chǎng)現(xiàn)有的耶魯-CCER投資者情緒指數(shù)的對(duì)股市收益的影響程度以及對(duì)收益的預(yù)測(cè)能力大小。最后本文所得出的結(jié)果是兩個(gè)指數(shù)都具有對(duì)收益率的預(yù)測(cè)能力，但是本文構(gòu)造的NI指數(shù)效果更好；第三步，通過(guò)二者實(shí)證的檢驗(yàn)和比較來(lái)驗(yàn)證投資者情緒是否為影響股票均衡價(jià)格和收益的的一個(gè)重要因素。本文研究結(jié)果表明雖然投資情緒指數(shù)對(duì)股票均衡價(jià)格和收益具有較大的影響，但是并不是最重要的因素，因?yàn)槠溆绊懰嫉臋?quán)重不是很大；第四步，最后對(duì)投資者情緒指數(shù)在市場(chǎng)中所起的作用進(jìn)行判別得出結(jié)論和啟示，為整個(gè)股市的良性運(yùn)行提供政策服務(wù)。 本文的創(chuàng)新之處：一是把市場(chǎng)上廣大個(gè)人投資者以及機(jī)構(gòu)投資者的個(gè)人預(yù)期和對(duì)價(jià)格的主觀反映與價(jià)格的走勢(shì)聯(lián)系在一起，并且試圖找出二者之間所存在的聯(lián)系，從而能為投資者和市場(chǎng)提供一種新的理論背景下價(jià)格發(fā)現(xiàn)方式，通過(guò)投資者的正反向交易來(lái)促進(jìn)價(jià)格向正常值回歸；二是通過(guò)構(gòu)造的情緒指數(shù)來(lái)與市場(chǎng)的情緒指數(shù)進(jìn)行比較性的預(yù)測(cè)檢驗(yàn)，既可以對(duì)現(xiàn)有的投資者情緒指數(shù)的有效性進(jìn)行檢驗(yàn)，又可以對(duì)投資者情緒對(duì)市場(chǎng)的解釋程度進(jìn)行測(cè)度；三是本文通過(guò)投資者情緒對(duì)股市收益率和波動(dòng)兩個(gè)方面的影響來(lái)進(jìn)行預(yù)測(cè)，分別把市場(chǎng)現(xiàn)有的投資者情緒指數(shù)與本文構(gòu)造的指數(shù)的預(yù)測(cè)結(jié)論進(jìn)行對(duì)比，一則能檢驗(yàn)二者與市場(chǎng)收益波動(dòng)相關(guān)性的大小，二則也能檢驗(yàn)市場(chǎng)上投資者情緒指數(shù)對(duì)股市收益率波動(dòng)的影響程度。 本文不足之處：數(shù)據(jù)相對(duì)較少，少部分?jǐn)?shù)據(jù)中間不連貫；耶魯-CCER情緒者指數(shù)存在一個(gè)問(wèn)題，即問(wèn)卷調(diào)查數(shù)據(jù)只反映被調(diào)查者的主觀意愿，但實(shí)際投資時(shí)未必真的這樣做。
[Abstract]:In recent years, with the in-depth study of behavioral finance in China, it is found that investor sentiment has a strong correlation with stock prices, returns and asset price volatility. Under this background, investor sentiment has been paid more and more attention to the impact of asset prices and returns volatility. Behavioral finance is a comprehensive non-finance. Chang Qiang's discipline combines the knowledge and research results of applied psychology, investor preference, emotional psychology, social psychology, cognitive psychology and other fields. The impact not only causes stock market volatility, but also has a great impact on the price of financial assets. Investor sentiment plays an important role in the whole process of price determination and market volatility. Therefore, the study of investor sentiment in the field of behavioral finance has become increasingly popular.
The research on the relationship between investor sentiment and stock market in the short run is very important, because it can not only find the influence of investor sentiment on the stock market quantitatively, but also make use of the investor sentiment index to make the stock market trend and return effective. Forecast. Its practical significance is as follows: on the basis of forecasting stock market returns and price trends, it provides countermeasures and suggestions for relevant regulatory departments to effectively and reasonably regulate the market so as to prevent violent fluctuations in the stock market, disrupt the market and cause speculation to prevail and damage the interests of investors.
The first step is to analyze the relationship between the index and the yield, find out the relationship between the volatility of the index and the yield volatility, and then explain the volatility curve according to the actual situation. The second step is to test the relationship between the constructed sentiment index and stock market returns, and the degree of interpretation of returns. At the same time, the relationship between the constructed sentiment index and Yale-CCER China's investor confidence index and stock market returns. Finally, the results of this paper are that both indexes have the ability to predict the return, but the NI index constructed in this paper is better; the third step, through the two empirical studies. The results of this study show that although the investment sentiment index has a greater impact on the stock equilibrium price and returns, it is not the most important factor, because the impact of the weight is not very large. Finally, the paper discriminates the role of investor sentiment index in the market and draws conclusions and enlightenment, providing policy services for the healthy operation of the whole stock market.
The innovations of this paper are as follows: Firstly, it links the individual expectations of the vast number of individual investors and institutional investors and the subjective reflection of the price with the price trend, and tries to find out the relationship between the two, so as to provide a new way of price discovery for investors and the market under the theoretical background. Investor's positive and negative trading can promote the return of price to normal value; the second is to construct an emotional index to compare with the market's emotional index, which can not only test the validity of the existing investors'emotional index, but also measure the degree of investors' emotional interpretation of the market; the third is the paper. This paper predicts the return and volatility of stock market through the influence of investor sentiment, and compares the current investor sentiment index with the prediction conclusion of the index constructed in this paper. It can test the correlation between the two indexes and the volatility of market returns, and it can also test the investor sentiment index on the stock market. The degree of fluctuation of market yield.
The inadequacies of this paper are as follows: the data are relatively small and a few of them are inconsistent; there is a problem in the Yale-CCER Emotional Persons Index, that is, the questionnaire data only reflect the subjective wishes of the respondents, but it is not necessarily true to do so when investing.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.9

【參考文獻(xiàn)】

相關(guān)期刊論文 前6條

1 王穩(wěn);基于行為金融學(xué)的行為投資分析方法[J];金融論壇;2005年07期

2 劉力昌,朱忠賢;投資者決策行為與股價(jià)形成及波動(dòng)[J];當(dāng)代經(jīng)濟(jì)科學(xué);2003年03期

3 伍燕然;韓立巖;;不完全理性、投資者情緒與封閉式基金之謎[J];經(jīng)濟(jì)研究;2007年03期

4 張圣平,熊德華,張崢,劉力;現(xiàn)代經(jīng)典金融學(xué)的困境與行為金融學(xué)的崛起[J];金融研究;2003年04期

5 李心丹;行為金融理論:研究體系及展望[J];金融研究;2005年01期

6 朱云;吳文鋒;吳沖鋒;芮萌;;市場(chǎng)分割下的股價(jià)微觀行為及其行為金融學(xué)解釋[J];系統(tǒng)工程理論與實(shí)踐;2006年10期

本文編號(hào)：2189462