【作者】 陈蓉；

【导师】 李红权；

【作者基本信息】 湖南师范大学 ， 政治经济学， 2015， 硕士

【摘要】 随着全球经济一体化的快速推进,世界各地的经济形势起伏不断,历经了极端的非理性繁荣与恐惧惊慌。标准金融学无法解释这些现象,而行为金融学整合了心理学、社会学、行为学、人类学的各项研究成果,行为金融学的观点认为认知偏差是由情绪、偏好和情感等各种主观心理因素决定的,这些因素致使投资者不能以完全理性的思维方式做出无偏估计,这个时候市场不再是完全有效的,修正了传统金融学理论中完全理性人的假设。在这个理论的基础上,我们认为投资者的投资行为可以看成一个心理反应的过程,其中主要包括投资者对市场的认识、意志和情绪三方面。并且在这个过程中,还伴随着个体主观判断、学习、模仿等活动,投资者时刻与经济环境进行着复杂的互动。本文以行为金融学为基础,基于股票市场数据,研究探讨投资者情绪在国际市场间的传染、波动性及其对我国证券市场的影响。文章以2005.01-2014.06的数据样本,选取了美国、中国、日本、香港、新加坡、欧盟这6个地区和国家的情绪代理变量的直接指标或间接指标,利用主成分分析的方法,构建了国际投资者情绪综合指标,同时还将投资者情绪区分为国际投资者情绪和本地投资者情绪。主成分的结果表明,美国、欧盟和日本的情绪对国际投资者情绪解释力度相对比较大。研究结果表明各地区和国家之间投资者确实受到了投资者情绪的驱动。情绪关联性越强,互相之间影响越大。这在一定程度证实了国际间投资者情绪的传染性。中国市场收益与国际投资者情绪的二元向量自回归模型清楚的解释了他们之间相互影响的关系,国际情绪能解释和影响我国市场收益,而我国市场收益对国际投资者情绪却没有显著影响。实证结果表明在整个样本区间内本地情绪指标不显著,但是区分子样本——危机前、危机期、危机后,从实证的结果来看,在2007年开始的次贷危机期间,我国市场收益受本地投资者情绪的主导;而在危机前、危机后市场的收益受国际投资者情绪主导。出现这种情况的原因很可能与我国市场明显受政府政策导向的特点有关。在危机发生后,我国出台了相关的救市政策及救市资金影响我国市场投资者的信心。更多还原

【Abstract】 With the rapid develop of global economic integration, the economic situation around the world change instantly and experienced extreme irrational exuberance panic and fear. Standard finance theory cannot explain these phenomena, whereas behavioral finance can do it. Cognitive biases is considered by variety subjective psychological factors, such as emotional, preferences and so on. these factors have led investors can not completely rational, which led that the market is no longer entirely valid. It amended the completely rational person hypothesis. We believe that investors’ investment behavior can be seen as a process of psychological reactions. And in this process, it is also accompanied by a subjective judgment of individuals, learning, imitation and other activities, and the economic environment investors always a complex interaction.Based on the theory of behavioral finance, this paper uses the data sample from 2005.01 to 2014.06, and select sentiment proxies of 6 regions and national to constructing a composite indicator of investor sentiment and local investor sentiment., which is US, China, Japan, HK, Singapore, the European Union. The empirical results showed that the explanatory power of sentiment in US, EU and Japan is relatively large. The empirical results show that investors are indeed driven by investor sentiment among regions and countries. The stronger the emotional association, the greater influence between each other, which confirmed infectious international investor sentiment.Empirical study also shows that there are obvious interactions between the market returns and international investor sentiment, the sentiment can explain and affect the market returns in our country, and market returns has no significant influence to international investors sentiment. that the local sentiment indicators was not significant in the whole sample interval; but the coefficient of the local investor sentiment is significant during the subprime, the coefficient of the international sentiment is significantly before 2007.01 and after 2010.01. During the subprime crisis, market was dominated by the local sentiment, while before the crisis was dominated by international investor sentiment.更多还原