本文選題：行為金融學(xué) + 天氣　； 參考：《北京交通大學(xué)》2017年碩士論文

【摘要】：隨著行為金融學(xué)研究的興起,越來越多的學(xué)者得出投資者不是“理性人”,而是有限理性自然人的結(jié)論,同時結(jié)合具有中國特色的股票市場的現(xiàn)實背景,提出了“天氣-投資者情緒-投資者行為-股票市場波動”的新角度傳導(dǎo)機制假設(shè)。為了驗證股票市場的天氣效應(yīng),選取上證綜合指數(shù)和上海等五個地區(qū)的天氣進行實證研究,即以“上證綜合指數(shù)的報酬率、換手率和波動率”為因變量,以“天氣指標(氣溫、氣壓、濕度等)和天氣變化指標(氣溫波動率、氣壓波動率、濕度波動率等)”為自變量,通過進行EGARCH(1,1)擬合,來探討天氣和上證綜合指數(shù)的關(guān)系。最終研究結(jié)果表明,上證綜合指數(shù)存在天氣效應(yīng)。首先,影響上證綜合指數(shù)報酬率的因素有光照、氣壓和氣壓波動率三個天氣變量。光照(云層覆蓋量少)、氣壓和氣壓波動率與上證綜合指數(shù)收益率呈現(xiàn)顯著正相關(guān)。其次,影響上證綜合指數(shù)換手率的天氣因子有光照、氣溫、濕度、溫度波動率、濕度波動率和氣壓波動率六個指標,可見影響換手率的因素明顯比影響收益率的因素要多,這也表明換手率更能直接反映天氣對投資者行為的影響。就天氣指標對換手率的影響來說,光照與上證綜合指數(shù)換手率是顯著的負相關(guān)關(guān)系,而氣溫、濕度與上證綜合指數(shù)換手率是顯著的正相關(guān)關(guān)系。就天氣變化指標對換手率的影響來說,除了溫度波動率與換手率是正相關(guān)關(guān)系之外,其他天氣變量對換手率是負向影響。最后,本文還研究了上證綜合指數(shù)波動率與天氣變量之間的關(guān)系。研究表明,天氣變化指標對波動率的影響比天氣指標對波動率的影響更加顯著。氣溫波動率的增大,會導(dǎo)致上證綜合指數(shù)波動率的增強;氣壓的波動率的增高,會導(dǎo)致股票市場波動率的減弱。綜上所述,天氣的確可以通過影響投資者的情緒,進而影響投資者的行為,來對上證綜合指數(shù)的報酬率、換手率和波動率產(chǎn)生影響,尤其是對換手率影響明顯。本研究在一定程度上豐富了行為金融學(xué)理論,特別是天氣因素對投資決策影響方面。
[Abstract]:With the rise of behavioral finance, more and more scholars come to the conclusion that investors are not rational people, but natural persons with limited rationality, and combine with the realistic background of the stock market with Chinese characteristics. A new angle transmission mechanism hypothesis of "weather-investor sentiment-investor behavior-stock market volatility" is proposed. In order to verify the weather effect of the stock market, the weather of Shanghai Composite Index and Shanghai are selected for empirical research, that is, "return rate, turnover rate and volatility rate of Shanghai Composite Index" are taken as dependent variables, and "Weather Index (temperature)" is taken as dependent variable. The relationship between weather and Shanghai Composite Index is discussed by using EGARCH (1 ~ 1) fitting, and the index of weather change (temperature volatility, pressure volatility, humidity volatility, etc.) as independent variables. The final research results show that the Shanghai Composite Index has weather effect. First of all, the factors influencing the return of Shanghai Composite Index are three weather variables: illumination, barometric pressure and barometric volatility. Light (less cloud cover), pressure and pressure volatility and Shanghai Composite Index yield showed a significant positive correlation. Secondly, the weather factors affecting the turnover rate of the Shanghai Composite Index are light, temperature, humidity, temperature volatility, humidity volatility and atmospheric pressure volatility. It can be seen that there are more factors affecting the turnover rate than those affecting the return rate. This also shows that the turnover rate can more directly reflect the impact of the weather on investor behavior. As far as the influence of weather index on turnover rate is concerned, there is a significant negative correlation between light and turnover rate of Shanghai Composite Index, while there is a significant positive correlation between temperature, humidity and turnover rate of Shanghai Composite Index. In terms of the influence of the weather change index on the turnover rate, other weather variables have a negative effect on the turnover rate in addition to the positive correlation between the temperature fluctuation rate and the turnover rate. Finally, the relationship between the volatility of Shanghai Composite Index and weather variables is studied. The results show that the influence of weather index on volatility is more significant than that of weather index on volatility. The increase of temperature volatility will lead to the increase of Shanghai Composite Index volatility, and the increase of atmospheric pressure volatility will lead to the weakening of stock market volatility. To sum up, the weather can affect the return rate, turnover rate and volatility rate of Shanghai Composite Index, especially on the turnover rate by affecting investor sentiment and then the behavior of investors. To some extent, this study enriches behavioral finance theory, especially the influence of weather factors on investment decision.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：2076371