基于行为金融学的股票市场投资者行为研究

【作者】 李静；

【导师】 张汉亚；

【作者基本信息】 中国社会科学院研究生院 ， 国民经济学， 2012， 博士

【摘要】 行为金融学是近年来国际金融学界的热点问题，它借鉴了心理学、行为学、社会学研究成果，系统地研究了投资者在非理性假设下的投资决策行为，及其对资产定价的影响。本文以行为金融学为基础，以股票市场投资者为研究对象，结合我国股市的实际，全面探讨了投资者情绪对股市收益、波动性的影响、封闭式基金折价现象和“政策市”对投资者行为的影响，以及一些适用行为金融学的投资策略。首先，本文采用了《股市动态分析》杂志发布的“好淡指数”来构造投资者情绪度量指标（包括短期指标和中期指标），建立VAR模型，对中国股票市场收益、波动性与投资者情绪之间的关系进行实证研究。本文通过格兰杰因果检验证实了短期、中期投资者情绪是影响A股大、中、小盘收益率变化的格兰德原因。在统计结果概率不严格的情形下，投资者中期情绪能够影响未来股市收益率变化，也具有一定的预测价值；而投资者短期情绪对股市收益预期具有一定的反向指标意义。其次，本文比较系统地分析了我国“政策市”形成的原因，主要从股市成交量和交易频率两方面实证分析了政策性因素对我国个人投资者行为的影响。实证结果表明，无论是“利好”政策还是“利空”政策，对投资者的交易频率和成交量都有显著的影响，可以直接影响投资者的交投活跃程度及出入市的意愿。我国投资者对于政策性因素的反应呈现“政策依赖性偏差”，即“过度贪婪”和“过度恐惧”等非理性情绪交替出现。第三，本文研究了我国封闭式基金“折价之谜”，分析机构投资者的非理性行为对股票市场投资的影响。实证研究发现，利用LST的投资者情绪及“噪音交易者”理论，能够对封闭式基金折价问题做出合理解释。我国封闭式基金折价联动和高度相关性现象，反映了“噪声交易者”情绪非理性的变化。不过，近年来我国封闭式基金的折价与股指之间的相关性在统计上逐渐减弱，利用传统封闭式基金折价指标进行市场预测的效果不理想。原因在于，随着开放式基金的迅猛发展，目前可交易的封基品种越来越少，因此存在被市场边缘化的倾向。本文的研究将有助于市场投资者认清自己，纠正或减少非理性行为，为投资者运用行为金融理论，选择投资策略，获取市场超额收益提供可供借鉴的参考意义。更多还原

【Abstract】 Behavioral finance has become a hot spot issue in the field of international finance in recentyears. It draws on the research findings of psychology, behavioral science, and social studies, andsystematically studies investors’ investment decision acts under non-rational assumptions as wellas their impact on asset pricing.The thesis, which finds its footing in the study of finance, takes stock market investors asobjects of study, and keeps its relevance in the realities of the Chinese stock market, makes acomprehensive exploration into investors’ sentiment influences on stock market returns andfluctuations, the discount of close-ended funds, the impact of "policy market" on investorbehaviours, and some investment strategies in the application of behavioral finance.Firstly, the thesis uses the "Good Light Index" published by the magazine Dynamic Analysisof Stock Market to create the Investor Emotion Measuring Indicator (including short-term andmedium-term indicators), and construct a VAR model for the purpose of making an empiricalstudy of the relationship between the Chinese stock market’s returns, volatility and investorsentiment.Through Granger causality test, it established the fact that short-term and medium-terminvestor sentiments are the Grand reasons affecting the changes in the large, medium andsmall-cap stocks in the A-share stock market.Without a strict statistics probability, medium-term investor sentiment can affect the changesin the future yields of the stock market, and has its certain predictive values, while short-terminvestor sentiment can play the role of a contrarian indicator with regards to expectations for stockmarket returns.Secondly, the thesis made a relatively systematic analysis of the reasons behind the formationof China’s "policy market", and conducted an empirical analysis of the influence of policy factorson individual investor behaviours in China, mainly from the perspective of trading volume andtrading frequency. Empirical results show that the policies, no matter "good" or "bad", all bearnotable influences on investors’ trading frequency and trading volume, and have a direct impact oninvestors’ trading activity and willingness to buy or sell.Chinese investors have responded to the policy factors with "policy-dependent deviation",namely, the alternate occurrence of non-rational sentiments such as "excessive greed" and"excessive fear".Thirdly, the thesis studied the "mystery of the discount" of Chinese close-end funds andanalyzed the influence of institutional investors’ non-rational behaviour on stock marketinvestment. Empirical study shows that a reasonable explanation of the discount of close-endfunds could be made by using the LST theory of investor sentiment and "noise traders".The close-end fund discount linkage and high correlation have reflected the non-rationalchanges in the sentiment of a "noise trader". However, in recent years, with the gradual weakeningin statistics of the correlation between close-end fund discount and stock index, it is no longerideal to make market predictions by using traditional close-end fund discount indicators. It is dueto a tendency of close-end funds being marginalized by the market, resulting from the rapiddevelopment of open-end funds and the subsequent decrease in the number of tradable close-endfunds. The thesis will help investors identify themselves, correct or reduce the irrational behaviour,and provide references for investors to utilize the theories of behavioral finance, chooseinvestment strategy and gain surplus returns.更多还原