我国居民股票投资行为的实证分析.pdfVIP

摘摘 要要 摘摘 要要 本文以行为金融学理论为基础，通过发放调查问卷获取一手数据，以分析我国居民投 资者具有哪些认知偏差及其严重程度，并建立回归模型分析投资者个人特质和各项认知偏 差如何影响投资行为。具体来说，本文按照由首因到结果、由个体行为到群体行为的逻辑 顺序自行总结了行为金融学理论中 11 种常见的认知偏差，并将其与期望理论的曲线形状相 结合，最后将行为金融学理论与标准金融理论的假设条件等进行了对比分析，认为行为金 融学的“有限理性人”假设更加贴近现实。在做好理论准备的基础上，通过发放 230 份调 查问卷建立数据库，对样本居民的特征进行了描述性分析，发现样本居民多以年轻、未婚、 教育程度较高、中低收入和男性为主，且明显具有确定性偏差等七种认知偏差。在此基础 上，针对参与股票投资的可能性、股票投资的参与程度以及股票投资的收益率三方面分别 设定了 Logistic 模型、多元非线性回归模型和多元线性回归模型，考察了居民个人特征和 心理因素对我国居民投资行为的影响。结果发现，年龄、性别等个人特征对股票投资行为 产生显著影响；确定性偏差等四种认知偏差对投资者行为的影响较大。最后，本文在对前 文进行结论性总结的基础上，在宏观和微观两个层面对宏观政策的制定、金融市场的改革 和投资者个人提出了相应的改进建议。 关键词：行为金融学；认知偏差；居民投资行为关键词 关键词关键词 I Abstract This paper is based on the behavioral finance theory, and analyzes the behavior biases that the individual stock investors have through questionnaires. In specifically, this paper introduces the theory of behavioral finance by describes 11 behavior biases and Prospect Theory in specific logic order, and compares the behavioral finance theory with the standard one, then concludes that research the behavior of stock investors based on behavioral finance theory is more realistic and suitable. This paper also builds a database using the data of 211 questionnaires, and finds that majority of the sample residents are young, single, well-educated, low-income and male, and they obviously have 7 cognitive biases such as Certainty Bias and so on. Based on this finding, the fourth chapter designs three different models to analyze the investment behavior of Chinese residents from the following aspects: the possibilities of investing stocks, the proportion of stock investment in household assets, and the return