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  • 學位論文

投資者情緒對中國大陸綜合A股之影響

Impact of investor sentiment on A-shares in Chinese Mainland

指導教授 : 謝文良

摘要


投資人情緒相關研究為行為財務學的主流之一。投資者非理性的交易、盲從等行為會使得市場價格偏離放大。本文以投資人情緒為主軸,參考Baker & Wurgler方法,採用主成分分析法(PCA)構造出綜合投資者情緒指數,並且構建排除宏觀因素影響的情緒指數,進行前後對比分析。 本文首先梳理了投資者情緒的發展與國內外文獻綜述,對投資者情緒進行了界定,明確為本文重點研究對象,從而引伸出投資者情緒是如何對股票市場進行影響。目前學術界更多的是研究投資者情緒在單一市場的影響,本文創新深化運用Fama & French的投資組合劃分方法,構建出25個投資組合,藉此構建引入投資者情緒的擴展四因子模型研究情緒對各組合的影響,而後再運用格蘭傑因果、脈衝分析等研究投資者情緒對整體市場進行分析。 拓展四因子迴歸研究結果顯示投資者情緒對於小型(市值由小到大排序前0-40%)的股票組合以及大型(後20%)股票具有正向顯著影響,其中對於小型股票組合的影響更為明顯。在牛熊市中也顯得頗有特色,其中投資者情緒牛市的影響比熊市要更為明顯,且其對價值型股票組合影響更大。在熊市中投資者情緒影響稍弱,但對小、大型股票組合仍有解釋力。 本文還進行了投資者情緒對整體市場的時序分析,研究結果表明投資者情緒與市場呈現互為統計因果關係,投資者情緒會造成股價在第2-4個月劇烈波動,而股價則會造成投資者情緒在第1個月高漲,會在後兩個月迅速回落。 綜上所述,本文明確投資者情緒在中國大陸市場呈現舉足輕重的影響,且在投資小型股與大型股時,投資者情緒可以作為一個因子納入考量,且應當注意其波動特性,從而進行擇時以達到獲得較佳預期報酬之目的。

並列摘要


Investor sentiment research is one of the mainstream of behavioral finance. The irrational trading and blind obedience of investors will enlarge the market price deviation. This paper takes investor sentiment as the main axis, refers to the Baker & Wurgler method, uses the principal component analysis (PCA) to construct a comprehensive investor sentiment index, and constructs the sentiment index excluding the influence of macro factors, and makes a comparative analysis before and after. Firstly, this paper combs the development of investor sentiment and review of literature at domestic and abroad, defines investor sentiment, which is the focus of this paper, so as to show how investor sentiment affects the stock market. At present, the academia is more about the impact of investor sentiment on the single market. In this paper, we use Fama & French's portfolio division method to build 25 portfolios, and then use Granger causality and impulse analysis to study the impact of investor sentiment on the whole market Analysis. The results of four factor regression show that investor sentiment has a significant positive impact on small size (top 0-40% of market capitalization) stock portfolio and big size (bottom 20%) stock portfolio, especially on small-scale stock portfolio. In the bull bear market, it also has its own characteristics, in which the influence of investor sentiment bull market is more obvious than the bear market, and it has a greater impact on the value stock portfolio. In a bear market, investor sentiment is slightly weak, but it still has explanatory power for small and large stock combinations. This paper also analyzes the time series analysis of investor sentiment on the whole market. The results show that investor sentiment and the market show a statistical causal relationship. Investor sentiment will cause the stock price to fluctuate violently in the second to fourth month, while the stock price will cause the investor sentiment to rise in the first month and fall back rapidly in the next two months. To sum up, this paper makes clear that investor sentiment plays an important role in China's mainland market, and when investing in small and big stocks, investor sentiment can be taken into account as a factor, and should pay attention to its volatility characteristics, so as to select the time to achieve better expected returns.

參考文獻


【1】蔡志刚,赖明明(2016), 「中國股市投資者情緒指數構建與有效性檢驗[J]」, 《金融发展研究》第7期,P24-30
【2】宮勖能(2019), 「我國股票市場價格偏離的誘因研究——基於投資者情緒和風險溢價[D]」,吉林大學
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