我国投资者情绪度量及其对股票收益影响分析.docxVIP

河北金融学院2018届本科毕业论文 PAGE 17 PAGE II 毕业论文中文摘要 我国投资者情绪度量及其对股票收益影响分析 --基于A股市场的分析 摘要： 我国股市经历了多次牛熊交替，投资者的情绪起到了关键的推动作用。股市行情利好时，投资者情绪高涨，非理性投资者进入市场进行投机，股市行情也水涨船高；而在投资者感受到利空的情绪时，非理性投资者则会套现退出，导致恐慌情绪蔓延。由此可见，我国的股票市场并不符合传统金融学理论所适用的市场环境，因此，本文从投资者情绪的测度和有效性分析入手，结合相应的指标分析来探讨投资者情绪对中国股票市场的影响，研究投资者情绪和股票收益的关系，以及投资者情绪对股票收益率和波动率的影响。在理论分析提出研究假设的基础上，对投资者的情绪进行定量和定性分析，并且，选择中国股票市场数据作为研究对象验证相应的假设，得到投资者情绪对股票市场收益、波动、及收益-波动关系的影响，以及其滞后指标间的相关影响。希望通过本文的研究结论为丰富和完善现有的行为金融理论提供一定的借鉴和参考，对监管部门完善相关交易制度和监管细则、促进股市健康发展以及指导投资者实践活动具有重要的参考价值。 关键词：A股市场 投资者情绪 收益率 波动率 收益-波动关系 毕业论文外文摘要 Title Investor Sentiment Measurement and Its Effect on Stock Returns--based on A-share Market Abstract Chinas stock market has experienced many times of bull and bear alternation, and the investors emotion has played a key role. When the stock market is good, investor sentiment is high, irrational investors enter the market for speculation, and the stock market is also rising. However, when investors feel bad emotions, irrational investors will cash in and withdraw, leading to the spread of panic. Thus, Chinas stock market does not meet the traditional finance theory in the market environment, therefore, this paper starts from the measurement of investor sentiment and effectiveness analysis, combined with the corresponding index analysis to investigate the impact of investor sentiment on the stock market Chinese, research on the relationship between investor sentiment and stock returns, and investor sentiment on stock returns volatility effect. In the theoretical analysis based on the research hypothesis, the investor sentiment analysis, quantitative and qualitative and, as the research object to validate the corresponding hypothesis selection data China stock market, get the influence of investor sentiment on stock market returns, volatility and return volatility relationship, and the effect of lag correlation between indicators. Hope that through the research conclusion of this paper is to enrich and improve the exist