导　　师： 李元

学科专业： 070103

授予学位： 硕士

作　　者： ;

机构地区： 广州大学

摘　　要： 传统金融理论认为市场中的投资者都是理性的，然而实证发现投资者心理、情绪的影响是不容忽视的．本文运用数理统计方法探讨了我国股票市场的投资者情绪效应，得到了相应的结论． 全文共分六章：第一章系统介绍了本文的研究背景、内容和意义． 第二章简要回顾了有关投资者情绪国内外的文献，了解其发展情况． 在第三章中，结合我国股市的实际情况，选取了六个情绪变量，结合lasso与主成分等统计方法，构造了一个情绪的复合指数．验证了其合理性． 第四章通过建立滞后回归模型分析了投资者情绪与市场收益的关系，发现在长期情绪与市场收益存在负向相关关系；市场收益率是投资者情绪的重要决定因素，并且具有预测未来投资者情绪的作用． 第五章探讨了投资者情绪与股票特征的关系，得到结论：1/)流通市值、市盈率较低，市净率、波动率、资产收益率、股利支付率较高的股票易受到投资者情绪的影响，并能预测这类股票的组合收益．股票的每股收益、机构持股比例、股龄、资产负债率、第一股东性质等特征与投资者情绪无显著关系．2/)投资者情绪对不同行业股收益也存在着显著影响，采掘业、传播与文化业、农林牧渔业、批发零售与贸易业、社会服务业、食品饮料业、石油业的股票易受情绪的波动而波动．3/)利用不同样本期对我国情绪效应进行分析时，发现在不同的时间段，会产生不同的情绪效应． Traditional financial theory states that market investors are rational. However,it is empirically evident that investor psychology and emotional impact are importantand cannot be neglected. Therefore, this study explores the effect of stock marketinvestor sentiment in China. This study comprises six Chapters. Chapter One gives an introduction to thewhole research by stating the research background, scope and significance of the re-search. Chapter Two is a literature review focusing on patterns of investor sentiment tohighlight and gauge the perception on the domestic and abroad development trend. Chapter Three indicates the research methodology adopted in the study basedon domestic stock situation. Six sentiment variables were chosen to construct a com-posite sentiment index based on traditional statistical methods such as LASSO andPrinciple Analysis. The justification for use of statistical tests is also elaborated. Chapter Four analyses the relationship between investor sentiment and marketreturn built on regression analysis. It reveals that there exists negative relationshipbetween investor sentiment and market return in the long term. It also shows thatstock market return is a vital determinant in predicting future investor sentiment. Chapter Five explores the relationship between investor sentiment and stockcharacteristics. It is concluded as follows: 1/) Stocks with lower float market capitalization and price earnings ratio, higherprice per book value, higher volatility, higher return on assets /(ROA/) and higher div-idend payout ratio are vulnerable to investor sentiment changes, while characteristicssuch as earnings per share of stock, proportion of institutional ownership, stock age,debt ratio, nature of the first stakeholders have no influence on investor sentiment. 2/) Industry share gains have significant effect on investor sentiment. Shares incertain industries which includes extractive industries, communication and culture, in-dustry, agriculture, forestry, animal husbandry and fishery, wholesale and retail trade,social services, food and beverage industry, oil industry are likely to be affected bysentiment fluctuations. 3/) Different stages would have different emotional effect from the sample anal-ysis of emotional effect in several periods. Chapter6is the conclusion of the study in this paper.

关 键 词： 投资者情绪 主成分分析 情绪 股票特征

分 类 号： [F224 F832.51]

领　　域： [经济管理] [经济管理]