毕业论文--中国投资者情绪的一些基本特征以及与股市收益之间的互动关系.doc

PAGE 摘 要 现代金融学的“理性投资者”假设自身存在的局限性，在很多的领域已赶不上金融研究的脚步，于是随之而来的行为金融学越来越受到现代金融经济学家的偏爱。微观金融学中收益波动性与价格等一些相关因素的研究国外从20世纪七十年代就已经开始，目前不仅在相关性、滞后性与不对称性等方面取得了显著的成绩，另外利用异方差模型对收益波动性的描绘也取得了一定成绩。随着行为金融学的兴起，人们发现当经济处于繁荣期时，由于投资者的情绪变化（对市场的信心、预期以及态度的变化），股市在短期总是起起落落，由此股市投资者情绪与收益之间关系逐渐受到人们的重视。 本文研究的核心是中国投资者情绪的一些基本特征以及与股市收益之间的互动关系。由于股市的交易量是市场上投资者的情绪信号指示器，因此本文借鉴能量波动指标理论，使用交易量为指标来研究投资者情绪，而放弃使用投资者的调查来获得投资者的情绪方式。在此基础之上，利用ARMA模型分析了投资者情绪的自身特征，实证结果发现投资者情绪具有从众性；进而使用var模型和Granger因果检验对投资者情绪与市场收益率的关系进行检验，发现这两个序列都拒绝了原假设，从而得到两个序列之间互为Granger因果关系；然后，扩展的异方差模型EGARCH检验市场收益率对投资者情绪的冲击时，发现预期的市场收益减少将给投资者情绪带来更大的影响；最后，GARCH-M均值异方差模型发现投资者情绪对市场收益率具有明显“风险报酬”现象。关键词：投资者情绪，市场收益率，从众性，互动关系，非对称冲击AbstractIn modern finance, the assume rational investor has their own limitations, and there have been behind the pace of financial research in many areas. Therefore the attendant behavioral finance get preference of modern financial economist more and more. In micro-finance, the return volatility and price-related factors, has already begun abraod since 1970, and achieved remarkable success not only in the current relevance, and also the asymmetry and the lag. In addition, the use of Heteroscedasticity model depicting the returns volatility has also made certain achievements.With the rise of behavioral finance, people relize that when the economy is in a period of prosperity, due to change in investor sentiment (confidence in the market, and expected attitude changes), which always causes short-term ups and downs in the stock market. Thus the relationship between income and investor sentiment of stock market gets peoples attention. The core of the artical is the basic characteristics and the interaction with returns of Chinese investor sentiment. As the stock market trading volume is considered to be the indicator signals of investor sentiment, refer to energy fluctuations theory and use the trading volume for the indicators of investor sentiment, abandon to obtain investor sentiment through the survey manner. On this b