本文關(guān)鍵詞：基于效用函數(shù)的投資者行為研究　出處：《天津大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

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【摘要】：近年來(lái)，金融全球化的趨勢(shì)已經(jīng)越來(lái)越明顯，它在促進(jìn)世界經(jīng)濟(jì)的發(fā)展，，實(shí)現(xiàn)資源的最優(yōu)配置的同時(shí)也無(wú)法避免的產(chǎn)生金融市場(chǎng)的異象和波動(dòng)。傳統(tǒng)的金融理論已經(jīng)無(wú)法應(yīng)對(duì)這種時(shí)代性的變化，國(guó)內(nèi)外學(xué)者也已從傳統(tǒng)的對(duì)股價(jià)、股利、收入的研究轉(zhuǎn)變?yōu)閷?duì)金融市場(chǎng)上的投資者心理、偏好、投資者決策制定過(guò)程的研究。 2008年的金融危機(jī)給經(jīng)濟(jì)學(xué)的研究學(xué)者們敲響了警鐘，這場(chǎng)危機(jī)，令人們對(duì)現(xiàn)存金融體制的合理性提出質(zhì)疑，于是，更契合金融市場(chǎng)實(shí)際情況的行為金融學(xué)為人們指明了研究的方向，成為研究金融市場(chǎng)異象的有力工具。 行為金融學(xué)假設(shè)投資者存在個(gè)體偏好或理念偏差，且存在損失厭惡現(xiàn)象，即面對(duì)風(fēng)險(xiǎn)，人們的偏好并不一致。當(dāng)風(fēng)險(xiǎn)與收益相連，人們表現(xiàn)為風(fēng)險(xiǎn)厭惡；當(dāng)風(fēng)險(xiǎn)與損失相連，人們則更愿意尋求風(fēng)險(xiǎn)。 基于上述原因，本文在前景理論的框架上，綜合金融學(xué)、數(shù)學(xué)和統(tǒng)計(jì)等眾多學(xué)科的研究成果，以我國(guó)主要股票市場(chǎng)上的投資者心理為研究對(duì)象，以效用函數(shù)為模型基礎(chǔ)，借助Matlab、Excel等編程計(jì)量工具以及Gamma函數(shù)考察了效用函數(shù)對(duì)投資者行為的理論解釋，并利用中國(guó)股票市場(chǎng)的股票指數(shù)分別對(duì)相應(yīng)的理論結(jié)果進(jìn)行了實(shí)證檢驗(yàn)。研究結(jié)果表明，我國(guó)主要股票市場(chǎng)的損失厭惡下界大約在1-3之間，且損失厭惡下界隨曲率參數(shù)差的增大而增大，主板市場(chǎng)的投資者對(duì)于投資于風(fēng)險(xiǎn)資產(chǎn)帶來(lái)的損失相對(duì)于中小板和創(chuàng)業(yè)板的投資者來(lái)說(shuō)更加敏感，即存在一個(gè)更大的損失厭惡系數(shù)。 本文的研究對(duì)于行為金融學(xué)的理論進(jìn)行了深化和發(fā)展，不僅有利于學(xué)者對(duì)投資者行為進(jìn)行更加深入的研究，更便于監(jiān)管當(dāng)局從微觀層面管理金融市場(chǎng)，引導(dǎo)中小投資者進(jìn)行合理的投資行為，提高股市的投資決策能力，推動(dòng)經(jīng)濟(jì)體制健康有序的發(fā)展。
[Abstract]:In recent years, the trend of financial globalization has become more and more obvious, it is promoting the development of the world economy. To achieve the optimal allocation of resources at the same time can not avoid the emergence of financial market anomalies and fluctuations. The traditional financial theory has been unable to cope with the changes of the times, domestic and foreign scholars have also been from the traditional stock price. The research of dividend and income is transformed into the research of investor psychology, preference and investor decision-making process in financial market. In 2008, the financial crisis sounded the alarm bell for the scholars of economics. This crisis made people question the rationality of the existing financial system. Behavioral finance, which is more in line with the actual situation of financial markets, points out the direction of research and becomes a powerful tool for studying the anomalies of financial markets. Behavioral finance assumes that investors have individual preferences or deviations of ideas and loss aversion, that is, in the face of risk, people's preferences are not consistent. When risk and income are linked, people behave as risk aversion; When risk is linked to loss, people are more willing to seek risk. Based on the above reasons, this paper studies the psychology of investors in the main stock market of our country on the frame of prospect theory, synthesizing the research results of many disciplines such as finance, mathematics and statistics. On the basis of utility function model, the theoretical explanation of utility function to investors' behavior is investigated by means of programming tools such as Matlab Excel and Gamma function. The corresponding theoretical results are tested by using the stock index of Chinese stock market. The results show that the lower bound of loss aversion in the main stock market of our country is about 1-3. And the lower bound of loss aversion increases with the increase of curvature parameter difference. Investors in the main board market are more sensitive to the loss caused by investing in risky assets than the small and medium-sized board and gem investors. That is, there is a greater loss aversion coefficient. The research of this paper deepens and develops the theory of behavioral finance, which is not only helpful for scholars to study investor behavior more deeply, but also more convenient for regulatory authorities to manage the financial market from the micro level. We should guide small and medium-sized investors to carry out reasonable investment behavior, improve the investment decision-making ability of the stock market, and promote the healthy and orderly development of the economic system.
【學(xué)位授予單位】：天津大學(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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