投资者情绪对股票市场走势预测研究—基于上证A股数据的实证分析.docVIP

投资者情绪对股票市场走势预测研究 ——基于上证A股数据的实证分析 摘要：我国经济腾飞的20多年间，金融体系的发展可谓日新月异，证券市场在各个方面都取得了显著成就。上海证券交易所在1990年成立，发展至今股票市值已达4万多亿美元，排名全球第四，深交所也跻身排名全球前20名。但相较于欧美等发达国家的市场，我国股票市场还存在发展时间短，市场机制、监管制度以及法律法规等各个方面都还不够完善等问题，证券市场运行受政策干扰较大，投资者结构极不合理，众多市场参与者的投资理念不够成熟，这些因素都使得我国证券市场远远未能达到有效市场的水平。 由于我国证券市场存在一系列不完善的问题，市场中众多投资者的主观情绪变化会使股票市场价格偏离其内在价值，且外在冲击一旦与投资者情绪产生协同，将会导致股票市场出现剧烈波动。基于此，本文立足于行为金融学，以其理论基础为支点，通过主成分分析法将投资者情绪量化，以分析个人行为与金融市场表现之间的关系，再以单因素回归模型研究投资者情绪对股票市场收益率的影响。 经过实证分析后得出结论：（1）投资者情绪与上证指数走势高度相关；（2）投资者情绪对股票市场当期收益率与滞后期收益率都具有正向性的显著影响。最后，本文从研究结论出发，提出应对证券市场投资情绪变化的建议，以促进我国证券市场平稳有序运行。 关键词：行为金融学、股票市场、投资者情绪，主成分分析法，单因素回归模型 Investor sentiment on the stock market trend prediction research-empirical analysis based on Shanghai a-share data Abstract:During the more than 20 years of Chinas economic boom, the development of the financial system is changing with each passing day, and the securities market has made remarkable achievements in all aspects. The Shanghai Stock Exchange was established in 1990. Since its development, the stock market value has reached more than 4 trillion US dollars, ranking fourth in the world, and the Shenzhen Stock Exchange has also ranked among the top 20 in the world. However, compared with the markets of developed countries such as Europe and the United States, China s stock market still has short development time, and the market mechanism, regulatory system, laws and regulations are still not perfect. The operation of the securities market is greatly interfered by policies, and the investor structure It is extremely unreasonable. The investment ideas of many market participants are not mature enough. These factors have made Chinas securities market far from reaching the level of an effective market. Due to a series of imperfect problems in Chinas securities market, changes in the subjective sentiment of many investors in the market will cause the stock market price to deviate from its intrinsic value, and once the external shocks are synergistic with investor sentiment, it wil