本文選題：合競行為 + 收益率分布　； 參考：《杭州電子科技大學(xué)》2017年碩士論文

【摘要】：現(xiàn)有觀點認為理性行為是一種競爭行為,行為結(jié)果使得市場達到競爭性均衡;而與之對應(yīng)的“非理性”行為是否就可以認為是一種合作行為,行為結(jié)果是否使市場達到合作性均衡。學(xué)者們對投資者行為中合作與競爭關(guān)系的認識偏差,也就導(dǎo)致了理性行為與非理性行為的對立;在投資行為的實證研究指標中,學(xué)者們往往僅考慮非理性行為,而沒有考慮理性行為。而現(xiàn)實中投資行為不是單純競爭或合作,而是合作與競爭并存的行為。正是在這一背景下,本文提出了從合競行為的視角,試圖用一個統(tǒng)一的框架研究理性行為與非理性行為中的合作與競爭關(guān)系,并用收益率的分布狀態(tài)與風(fēng)險態(tài)度這兩個指標度量投資者行為中的合作與競爭程度。本文借用了經(jīng)典經(jīng)濟學(xué)的產(chǎn)品之間合競關(guān)系與理性行為分析框架,揭示了金融資產(chǎn)之間的合競關(guān)系,進一步分析了投資者行為所面臨的需求曲線與供給曲線的合競關(guān)系。通過模型研究發(fā)現(xiàn):理性行為與非理性行為是對立統(tǒng)一的,他們統(tǒng)一之處在于投資者所面臨的需求曲線與供給曲線都是合競曲線,他們的行為也都是合競行為;對立之處在于理性行為假設(shè)投資者只有一種風(fēng)險厭惡的態(tài)度,從而可以達到合競均衡,而非理性行為認為投資者的風(fēng)險態(tài)度會改變,甚至是風(fēng)險愛好者,無法達到合競均衡。根據(jù)本文的結(jié)論,理性行為和非理性行為是一種風(fēng)險態(tài)度不同的合競行為,因此文章采用收益率的分布狀態(tài)和風(fēng)險態(tài)度這兩個指標度量投資者合競行為中的合作競爭程度。收益率的分布狀態(tài)被用來判斷投資者是理性的合競行為還是非理性的合競行為:當收益率是正態(tài)分布,衡量的是一種理性的合競行為;當收益率呈現(xiàn)正偏分布時,投資者的行為是偏好合作的合競行為;負偏分布時,投資者的行為是偏好競爭的合競行為。但是,收益率的分布狀態(tài)僅僅驗證了投資者合競行為的宏觀情況,還需要另選指標具體考察投資者合作競爭程度。風(fēng)險態(tài)度代表投資者對待風(fēng)險的一種觀點,可以用風(fēng)險補償系數(shù)衡量。而投資者對待風(fēng)險的態(tài)度不同,可以將之分為理性行為與非理性行為,也就代表了合作競爭的不同程度。本文就采用了投資者風(fēng)險補償系數(shù)這個指標衡量投資者合作競爭程度,構(gòu)建GARCH-M模型,選取中美股市4個綜合指數(shù)數(shù)據(jù),以投資者整體行為為研究對象,實證檢驗的中美兩國的投資者合作競爭程度。實證得出以下結(jié)果:按照收益率標準,中美股市中的上證指數(shù)、標準普爾指數(shù)、創(chuàng)業(yè)板指數(shù)和納斯達克指數(shù)的收益率序列都呈現(xiàn)負偏態(tài)分布,即四個市場中的投資者行為都是偏好于競爭的合競行為;按照風(fēng)險補償系數(shù),上證市場的投資者風(fēng)險補償系數(shù)最小,即上證市場投資者的合競行為最偏向于競爭;其次是創(chuàng)業(yè)板市場,接著是納斯達克市場,最后是標準普爾指數(shù)市場。美國股市的合作競爭程度均小于中國股市,這也表明美國投資者相對中國的投資者而言更具有合作精神。實證結(jié)果基本符合預(yù)期,這也更加驗證了本文的理論思想,說明合競行為理論能夠很好的解釋投資者的行為,特別是對理性行為與非理性行為的對立統(tǒng)一問題給予了全面的詮釋。同時,根據(jù)中美兩國市場綜合數(shù)據(jù)實證研究結(jié)果,分析兩國市場上投資者合作競爭程度的差異,從而幫助投資者做出合理的決策,促進我國股市的穩(wěn)定。
[Abstract]:The existing view holds that rational behavior is a competitive behavior, and the result of the behavior makes the market achieve a competitive equilibrium; and whether the corresponding "irrational" behavior can be considered as a cooperative behavior, whether the result of the behavior makes the market achieve a cooperative equilibrium. It leads to the antagonism between rational behavior and irrational behavior. In the empirical research indicators of investment behavior, scholars tend to consider irrational behavior and do not consider rational behavior. In reality, investment behavior is not only competition or cooperation, but coexistence of cooperation and competition. The perspective of behavior tries to use a unified framework to study the relationship of cooperation and competition in rational and irrational behavior, and to measure the cooperation and competition in investor behavior with the two indexes of the distribution state of the rate of return and the risk attitude. This paper borrows the competitive relationship and rational behavior analysis between the products of the classic economics. The framework reveals the competitive relationship between financial assets and further analyzes the competing relationship between the demand curve and the supply curve facing investor behavior. Through the model study, it is found that rational behavior and irrational behavior are the unity of opposites, and their unity lies in the competition between the demand curve and the supply curve facing investors. The opposite is that the rational behavior assumes that the investor has only a risk aversion, which can achieve a competitive equilibrium, and the irrational behavior thinks that the investor's risk attitude will change, and even the risk lover can not reach the competitive equilibrium. Rational behavior is a kind of competing behavior with different risk attitude, so the article uses the two indexes of the distribution state of the yield and the risk attitude to measure the degree of cooperation in the investor's competing behavior. The distribution state of the yield is used to judge whether the investor is rational or irrational, or the irrational competing behavior: when the rate of return is The normal distribution is a rational competitive behavior. When the yield is positive, the investor's behavior is the cooperative behavior of preference cooperation; the investor's behavior is a competitive behavior of preference when the negative bias is distributed. However, the distribution state of the rate of return only proves the macro situation of the investor's competing behavior, and it also needs to be selected. The index specifically examines the degree of investor cooperation. The risk attitude represents an investor's view of the risk, and it can be measured by the risk compensation coefficient. The investor's attitude to the risk is different, which can be divided into rational and irrational behavior, and it also represents the different degree of the cooperation competition. This article adopts the investor's wind. The risk compensation coefficient is used to measure the degree of investors' cooperation and competition, constructs the GARCH-M model, selects 4 comprehensive index data of China and the US stock market, and takes the investor's overall behavior as the research object, and empirically tests the cooperation and competition of the investors between China and the United States. The standard & Poor index, the gem index and the NASDAQ index have a negative skewness distribution, that is, the investors' behavior in the four markets is a competitive competitive behavior. According to the risk compensation coefficient, the investor's risk compensation coefficient of the Shanghai stock market is the least, that is, the competition behavior of the Shanghai stock market investors is most biased to Yu Jing. Second, the GEM market, followed by the Nasdaq market, and finally the standard & Poor's index market. The United States stock market is less competitive than the Chinese stock market, which shows that American investors are more cooperative than Chinese investors. The empirical results are basically consistent with the expectation, which also validates the theoretical ideas of this article. It shows that the theory of competition behavior can explain the behavior of investors well, especially to explain the contradiction and unity of rational behavior and irrational behavior. At the same time, according to the results of the empirical research on the comprehensive data of China and the United States, this paper analyzes the difference of the degree of competition of investors in the two countries' market, thus helping investors to make a conclusion. A reasonable decision to promote the stability of the stock market in China.
【學(xué)位授予單位】：杭州電子科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51;F837.12

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