【作者】 王珍；

【导师】 吴鑫育；

【作者基本信息】 安徽财经大学 ， 金融学， 2022， 硕士

【摘要】 传统金融市场理论发展的基础主要是投资者是理性的和有效市场假说这两个部分,股票价格本身包含的所有信息就可以反映出市场上所有信息这一结论是假说的主要内容,市场中投资者会根据自己的理性行为做出正确的投资决策,投资者偏向于市场是有效市场。随着金融市场的发展和环境改变,出现了各种各样传统金融理论所不能解释的经济现象,这使得众多经济学者对已有金融理论的重新审视和思考,也一定程度上推动了行为金融学的产生和发展。行为金融学理论与传统理论最大的区别在于,它认为噪声交易者是存在于金融市场中的,也就是投资者并不都是传统理论中假设的理性投资者,他们存在的噪声即情绪会影响决策的正确性,从而影响股票市场股价的稳定,研究投资者情绪就显得十分重要。其次,我国股市的起步是晚于欧美发达国家的股票市场,而且股票市场中存在大量的个人和机构投资者,其中个人投资者占比非常大并且往往都具有投机动机;同时,我国股市交易制度和法律法规尚未完善和健全,市场中存在大量信息非对称现象,而中小投资者投资行为存在较多非理性因素,因此研究投资者情绪与资产价格行为就显得十分重要。然而,大多数现有的研究都研究了股票市场投资者情绪和股票市场之间的关系,很少有研究期权隐含投资者情绪和股票价格行为之间的关系。期权作为衍生品市场的重要工具,具有价格发现和增强金融市场有效性的功能。由于期权市场对进入的投资者具有较高的专业要求,期权市场投资者对后市判断的准确性要高于一般投资者。同时从期权市场价格数据中可以挖掘到更多前瞻性信息,因此从期权价格中提取出隐含投资者情绪比股票市场投资者情绪更具有前瞻性,可能会对后市具有更高的参考价值。我国期权市场起步较晚,很少有学者采用期权市场上的价格数据来构建隐含的投资者情绪,已有采用期权市场数据研究投资者情绪的研究都是利用间接指标。但随着我国期权市场的发展尤其是上证50ETF期权推出以来,期权数据的可获得性越来越高,直接利用期权市场价格提取投资者情绪成为可能。因此,基于已有研究,联合股票和期权价格数据并采用GJR-GARCH-FHS模型估计经验定价核,利用行为定价核理论将经验定价核分解为新古典成分和行为成分,从中提取出期权隐含投资者情绪,研究期权隐含投资者情绪与股票价格和交易量的关系。进而构建预测回归模型,研究期权隐含投资者情绪对股票收益率、交易量和波动率的预测能力。研究结果表明:(1)期权隐含投资者情绪与股市收益率互为格兰杰原因;期权隐含投资者情绪确实对股票收益存在一定的影响;期权隐含投资者情绪不同滞后期对当期股票收益率存在不同影响;当期期权隐含投资者情绪的增大能减少当期股票收益率;滞后期期权隐含投资者情绪对当期股票收益率影响更大。(2)期权隐含投资者情绪与股市交易量互为格兰杰原因;不同滞后期的期权隐含投资者情绪对股市交易量存在不同的影响,但当期期权隐含投资者情绪对股市交易量的影响并不显著。(3)期权隐含投资者情绪与股市收益波动率互为格兰杰原因;滞后期和当期的期权隐含投资者情绪的增大都会带来当期股市收益波动率的上升;当期的期权隐含投资者情绪相比滞后期来说,对当期股市收益波动率的影响更大。更多还原

【Abstract】 The basis of traditional theory of financial market development is the main investors are rational and efficient market hypothesis this two parts,the stock price itself contains all the information that can reflect all the information on the market this conclusion is the main content of the hypothesis,investors according to their own rational behavior in the market to make the right investment decisions,investors tend to market is the market effectively.With the development of financial market and environmental changes,a variety of economic phenomena that cannot be explained by traditional financial theories appear,which makes many economists re-examine and think about existing financial theories,and also promotes the emergence and development of behavioral finance to a certain extent.Behavioral finance theory and traditional theory is the biggest difference lies in the fact that it considered noise traders exist in the financial markets,namely investors are not in the traditional theory hypothesis of rational investors,they have noise that emotions can affect the correctness of the decision,which affect the stability of the stock market price research investor sentiment is very important.Secondly,China’s stock market started later than that of developed countries in Europe and the United States,and there are a large number of individual and institutional investors in the stock market,among which individual investors account for a large proportion and often have speculative motives.At the same time,China’s stock market trading system and laws and regulations are not perfect and perfect,there are a lot of asymmetric information phenomenon in the market,and there are many irrational factors in the investment behavior of small and medium investors,so it is very important to study investor sentiment and asset price behavior.However,most existing researches have studied the relationship between investor sentiment and stock market,and few have studied the relationship between implied investor sentiment and stock price behavior.Option,as an important tool in derivatives market,has the function of price discovery and enhancing the efficiency of financial market.Because the option market has higher professional requirements for investors,the accuracy of the option market investors’ judgment on the future market is higher than that of ordinary investors.At the same time,more forward-looking information can be mined from the price data of the option market,so the extraction of implied investor sentiment from the option price is more forward-looking than the stock market investor sentiment,which may have higher reference value for the future market.The option market in China started late,and few scholars use the price data in the option market to construct the implied investor sentiment.The existing researches on investor sentiment using the data of the option market are all indirect indicators.However,with the development of China’s option market,especially since the SSE 50 ETF option was launched,the availability of option data is getting higher and higher,and it is possible to extract investor sentiment directly from the option market price.In this paper,based on existing research,joint stock and option price data and USES the GJR GARCH-pricing model to estimate the FHS experience nucleus,using the theory of behavior pricing nuclear nuclear decomposition will be priced experience for the new classical composition and behavioral components,extract option implied investor sentiment,study option implied investor sentiment and the stock price and trading volume.Then,a predictive regression model is constructed to study the predictive ability of implied investor sentiment on stock return,trading volume and volatility.The results show that:(1)Option implied investor sentiment and stock market yield are granger causes;Option implied investor sentiment does have a certain impact on stock returns;Different lag periods of implied investor sentiment have different effects on current stock returns.The increase of implied investor sentiment of current options can reduce the current stock return rate.Lagging option imply that investor sentiment has a greater impact on current stock returns.(2)Option implied investor sentiment and stock trading volume are granger causes;Option with different lag periods have different influence on stock trading volume,but the influence of option with different lag periods on stock trading volume is not significant.(3)Option implied investor sentiment and stock market return volatility are granger causes;The lag period and the increase of implied investor sentiment of the current period will lead to the increase of the volatility of the current stock market return.The implied investor sentiment of option in the current period has a greater impact on the volatility of stock market returns than the lag period.更多还原