正反馈交易、投资者情绪与股市异象

论文总字数：27485字

摘 要

股票市场上，大量难以用经典金融理论模型解释的股市异常一直在不断被揭示出来，其中，错误定价、收益率自相关、收益率尖峰厚尾分布、收益率季节影响存在显著差异等普遍现象尤其引人关注。

随着研究深入，学者们发现非理性交易者，也就是噪音交易者，尤其是正反馈交易者，对金融市场能够产生实质的影响，使得价格偏离基本面价值。在放松了理性人的假设之后，行为金融学对异象有了更好的解释，而各种非理性行为背后的认知偏差的体现，也就是投资者情绪也逐渐成为了研究的重点。

本文的研究将反馈交易行为与投资者情绪结合起来，探讨正反馈交易者的存在性，辨别股市异象，并且对反馈交易、投资者情绪和股市异象三者进行联合分析。实证研究的结果表明，反馈交易行为在市场上存在，并且正反馈交易占比仍旧更高。利用投资者情绪综合指标分析背后的原因时，发现并不能较好的解释现象存在，反馈交易的成因复杂多样，需要更深入的研究分析。而投资者情绪综合指标的一阶差分项与股市异象中的月历系数相关性更高，拟合更好。因此本文认为，情绪需要一期或更久的时间才能反映在行为和市场上，这对市场中的广大投资者们应用情绪指标数据，合理预期缓冲时间提供参考。

关键词：反馈交易；投资者情绪；股市异象

ABSTRACT

In the stock market, a large number of stock market anomalies that are difficult to be explained by classical financial theory models have been constantly revealed. Among them, the common phenomena, such as mispricing, autocorrelation, Peak fat-tail distribution, and seasonal difference, are of great concern.

Along with the further research, the scholars found that the irrational traders, namely, the noise traders, especially the positive feedback traders, could have a substantial influence on the financial market, causing the price to deviate from the fundamental value. After relaxing the assumption of rational people, Behavioral finance has a better explanation for the anomalies, and the cognitive biases behind the various irrational behaviors, namely investor sentiment, have gradually become the focus of research.

This paper combines feedback trading behavior with investor sentiment, discusses the existence of positive feedback traders, identifies stock market anomalies, and analyzes feedback trading, investor sentiment and stock market anomalies. The result of empirical study shows that feedback trading exists, and the proportion of positive feedback trading is still higher. When we analyze the reasons behind the investors' emotion index, we find that the phenomenon can not be well explained. The reasons of feedback trading are complex and diverse. However, the first-order differential item of the comprehensive index of investor sentiment has a higher correlation with the calendar effect in stock market anomalies and fits better. Therefore, this paper argues that it takes a period or longer for emotions to be reflected in the behavior and market, which provides a reference for investors in the market to apply the index data and set a reasonable buffer time for the expected reflection.

KEY WORDS: Feedback Trading; Investor Sentiment; Stock Market Anomalies

目 录

摘要 ……………………………………………………………………………………………Ⅰ

Abstract……………………………………………………………………………………… Ⅱ

第一章 绪论 1

1.1研究背景及意义 1

1.2研究现状 2

1.3研究方法 2

1.4研究目的和主要研究内容 2

第二章 文献综述 3

2.1反馈交易 3

2.2投资者情绪 5

2.3股市异象 6

第三章 变量定义及模型构建 7

3.1变量定义 7

3.1.1正反馈交易 7

3.1.2投资者情绪测度 7

3.1.3股市异象定义 8

3.2样本及说明说明 8

3.2.1数据来源 8

3.2.2数据分析 9

3.3模型构建 9

3.3.1正反馈交易存在性 9

3.3.2正反馈交易与投资者情绪 10

3.3.3投资者情绪与股市异象 10

3.3.4正反馈交易、投资者情绪与股市异象 11

第四章 实证研究 12

4.1正反馈交易存在性分析 12

4.2月历效应存在性分析 14

4.3反馈系数和投资者情绪关系 16

4.4投资者情绪和股市异象关系研究 19

4.5正反馈交易、投资者情绪和股市异象研究 20

第五章 结论和建议 21

参考文献 22

致 谢 24

第一章 绪论

1.1研究背景及意义

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