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  本文關(guān)鍵詞：基于ETF基金市場的投資者情緒研究　出處：《吉林大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： ETF基金市場 投資者情緒 波動(dòng)率指數(shù)

【摘要】：作為行為金融理論的前沿與熱點(diǎn),對(duì)投資者情緒進(jìn)行研究具有諸多意義:首先,投資者情緒作為行為金融理論對(duì)于經(jīng)典金融學(xué)的重要補(bǔ)充,其研究無疑會(huì)完善現(xiàn)有的金融體系;其次,投資者情緒的研究有助于揭示投資者非理性決策的內(nèi)在邏輯,進(jìn)而加深我們對(duì)于金融資產(chǎn)價(jià)格運(yùn)行規(guī)律的理解;最后,投資者情緒的研究有助于市場監(jiān)管方對(duì)投資者心理與市場動(dòng)態(tài)進(jìn)行有效地掌控,可以為相關(guān)政策的制定與實(shí)施提供重要的參考依據(jù)。本文以行為金融學(xué)已有的對(duì)投資者情緒的研究成果為出發(fā)點(diǎn),與之前研究的對(duì)象多為綜合性的股票市場不同,把目光轉(zhuǎn)向新興的ETF基金市場,將上證50ETF市場作為本文的研究對(duì)象。接著借鑒國外成熟市場波動(dòng)率指數(shù)(VIX)的編制方法,通過提取上證50ETF期權(quán)市場的交易信息,計(jì)算了我國期權(quán)市場的VIX指數(shù),并將其作為上證50ETF基金市場投資者情緒的代理指數(shù)。本文首先對(duì)構(gòu)建的VIX指數(shù)的統(tǒng)計(jì)特征及其與ETF市場走勢之間的關(guān)系進(jìn)行了研究,接著利用非對(duì)稱廣義異方差模型--EGARCH,研究了ETF市場價(jià)格與投資者情緒的互動(dòng)關(guān)系,同時(shí)對(duì)市場信息對(duì)于ETF價(jià)格波動(dòng)和投資者情緒波動(dòng)的不對(duì)稱沖擊進(jìn)行了考察,最后利用VAR模型與Granger因果關(guān)系檢驗(yàn)對(duì)ETF市場收益率與投資者情緒變化之間的關(guān)系進(jìn)行了研究。研究結(jié)果表明,VIX可以間接反映投資者情緒。ETF價(jià)格是投資者情緒顯著的正影響因子,反過來,投資者情緒也是ETF價(jià)格顯著的正影響因子。實(shí)證結(jié)果顯示,市場信息對(duì)投資者情緒的沖擊和對(duì)ETF價(jià)格的沖擊均為不對(duì)稱的。其中負(fù)面信息對(duì)投資者情緒波動(dòng)產(chǎn)生的沖擊,比相同程度的正面信息產(chǎn)生的沖擊要大;與之相反,正面信息對(duì)ETF價(jià)格波動(dòng)產(chǎn)生的沖擊,比相同程度的負(fù)面信息產(chǎn)生的沖擊要大。最后,Granger因果關(guān)系檢驗(yàn)表明,投資者情緒變化與ETF收益率互為Ganger因果。這說明,在ETF基金市場上,投資者的市場收益率有助于預(yù)測未來投資者的情緒變化,反過來投資者情緒的變化同樣有助于預(yù)測未來投資者的市場收益率。
[Abstract]:As the frontier and hot spot of behavioral finance theory, the research on investor sentiment has many meanings: first, investor sentiment is an important supplement of behavioral finance theory to classical finance. Its research will undoubtedly perfect the existing financial system; Secondly, the study of investor sentiment helps to reveal the internal logic of investors' irrational decision, and then deepen our understanding of the operating law of financial asset prices. Finally, the study of investor sentiment helps market regulators to effectively control investor psychology and market dynamics. It can provide an important reference for the formulation and implementation of relevant policies. This paper takes the existing research results of behavioral finance on investor sentiment as the starting point. Different from the previous research on the comprehensive stock market, the focus is on the emerging ETF fund market. Taking the Shanghai 50 ETF market as the research object of this paper. Then draw lessons from the foreign mature market volatility index (VIX) compilation method through extracting the trading information of Shanghai 50 ETF option market. The VIX index of Chinese option market is calculated. This paper first studies the statistical characteristics of the constructed VIX index and its relationship with the trend of the ETF market. Then, using the asymmetric generalized heteroscedasticity model (EGARCH), we study the interaction between ETF market price and investor sentiment. At the same time, the asymmetric impact of market information on ETF price volatility and investor sentiment volatility is investigated. Finally, using VAR model and Granger causality test, the relationship between ETF market yield and investor sentiment is studied. The results show that. VIX can indirectly reflect investor sentiment. ETF price is a significant positive influence factor of investor sentiment, in turn, investor sentiment is also a significant positive impact factor of ETF price. The empirical results show that. The impact of market information on investor sentiment and ETF price is asymmetric, and the impact of negative information on investor mood fluctuation is greater than that of positive information to the same extent. On the contrary, the impact of positive information on ETF price volatility is greater than that of the same degree of negative information. Finally, the Granger causality test shows that. Investor sentiment change and ETF yield are Ganger causality. This shows that in ETF fund market, investors' market yield can help predict future investor sentiment change. Changes in investor sentiment, in turn, also help predict future market yields for investors.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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