中国创业板市场投资者情绪研究.pdfVIP

摘 要 投资者情绪一直是行为金融学的一个研究热点，用投资者情绪可以解释资本 市场上的很多异象。而创业板市场作为我国发展时间并不长的市场，在四年发展 过程中，伴随着市场收益的几次暴涨暴跌，也出现投资者投机心理严重，追求暴 富，羊群效应等特征明显的受投资者情绪影响的现象。因此本文以行为金融理论 为基础，进行创业板投资者情绪指标构建以及与创业板市场收益和A 股市场收益 的相关性研究。 本文首先回顾了国内外经典的行为金融学、投资者情绪、投资者情绪和市场 收益关系的理论著作和研究文献，并指出文献的研究成果和不足。其次，根据我 国创业板市场发展特点，分析了投资者情绪变化和A 股市场收益、创业板市场收 益具有相关性。然后，分析了当前各种投资者情绪指标的现有研究，根据指标数 据对创业板研究的适用性和可得性，选取创业板换手率、创业板交易量、创业板 腾落指数、创业板IPO 首日超额收益率四个隐性投资者情绪指标和一个显性投资 者情绪指标消费者信心指数，利用这些情绪变量，在进行整理之后进行了主成分 分析构造出创业板市场情绪指标。接着，根据投资者情绪指标对当期、滞后一期 的创业板市场收益和A 股市场收益分别进行回归分析。我们发现，创业板情绪指 标和当期创业板市场收益以及当期A 股市场收益都显著正相关。说明创业板市场 的情绪变化和创业板市场本身的收益率变化以及 A 股市场的收益率变化具有同 步性，且在短期内创业板和A 股市场的收益对创业板情绪指标有反转的效应。最 后，根据研究结果，本文提出相关的政策建议。 关键词：投资者情绪，创业板，市场收益 Abstract Investor sentiment is always a focus of behavioral finance, also the answer of many abnormal financial phenomena in capital market. The growth enterprise market (GEM), as market with short history, also witnessed in the four years of ups and downs various conspicuous investor sentiments such as serious profiteering attitude, pursuit of riches and “follow the herd” behavior. Therefore, this paper, based on the theory of behavioral finance, carries out the research on the construction of GEM investor sentiment indicators and the relativity of those indicators to the GEM gains and A-share market gains. This paper first reviews the domestic and foreign classic theoretical writings and literatures related to behavioral finance, investor sentiment, and the relationship between investor sentiment and market gains, summing up their findings and pointing out their shortcomings. Second, according to the characteristics of the GEM market in China, it works out that the changes in investor sentiment are related to the A-share market gains, in particular the GEM market gains. Third, it analyzes the current st