【作者】 黄俊；

【导师】 宋琴；

【作者基本信息】 华中师范大学 ， 金融， 2017， 硕士

【摘要】 随着现代金融学的发展,投资者情绪开始逐步被国内外学者接受和研究。但是直到现在,学术界对于投资者情绪的研究都尚未形成系统性,尤其是很少有学者结合中国证券市场的特点来进行分析。所以无论从理论研究、投资理念还是证券监管方面,对于投资者情绪对股票市场影响的研究是非常有必要的。本文首先说明了论文的研究背景和研究意义,然后从国内外学者对投资者情绪的定义、度量及其对股票收益的实证分析这三个角度进行文献综述。接着根据我国证券市场的具体情况选取和投资者情绪相关的指标(本文选取的是:换手率TURN、消费者信心指数CCI、净增账户数NIA和市盈率PE)及其滞后项,对数据进行标准化和剔除宏观因素影响的预处理。随后采用SPSS软件,运用主成分分析法构建投资者情绪综合指标CSI并对构建好的CSI进行检验。然后对CSI与中国A股市场收益率之间的关系进行实证分析:首先,对投资者情绪综合指标CSI及其变动和市场收益率及其变动进行ADF单位根检验;随后,采用格兰杰因果分析法,分析投资者情绪及投资者情绪变动与市场收益率及其变动之间是否存在因果关系;最后用单因素分析法,分析投资者情绪及投资者情绪变动与市场收益率及其变动之间的关系。结果发现投资者情绪与市场收益率存在着显著的正相关关系。也就是说,当投资者情绪越高昂的时候,市场收益率越高,反之,市场收益率越低。而投资者情绪与市场收益率变动显著负相关,投资者情绪变动与市场收益率显著正相关,投资者情绪变动与市场收益率变动之间不存在显著的相关关系。根据论文结果给出政策意见,同时也提出了对未来研究的展望。更多还原

【Abstract】 With the development of finance,investor sentiment began to be accepted and studied by domestic and foreign scholars.But until now,the academic study of investor sentiment are not systematic,especially few scholars have combined with the characteristics of Chinese stock market and investor sentiment to analyze.Therefore,from the theoretical research,investment philosophy and securities regulation,study on the influence of investor sentiment on the stock market is very necessary.This paper describes the research’s background and significance at first,then reviews the existed literatures from three aspects:the definition and measurement of investor sentiment,the empirical analysis of investor sentiment on stock returns.Then this paper selects indicators about investor sentiment(exchange rate TURN,consumer confidence index CCI,net earnings account number NIA and PE)and their lag term,these data are standardized and weed out the macro factors,through the principal component analysis,constructing the investor comprehensive sentiment index CSI by SPSS software.This paper analyzes the relationship between CSI and the yield of A-share market in China.First of all,ADF unit root test,followed by Granger Causal Relation Test.Finally,the relationship between investor sentiment and its change and market returns and its change is analyzed by single factor analysis.The results showed that there is a significant positive correlation between investor sentiment and market returns.In other words,when the higher the investor’s mood,the higher the market returns,on the contrary,the lower the market returns.There is a significant negative correlation between investor sentiment and market returns fluctuation,and there is no significant correlation between investor sentiment fluctuation and market returns fluctuation.Policy Suggestions are given according to the results of the paper,and the part to be improved are also pointed out.更多还原