投资者情绪与中国证券市场的实证研究
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摘要
传统金融学没能给出任何投资者情绪对证券市场的影响,但在行为金融学框架下,投资者情绪是决定证券价格和市场运行的重要因素之一,投资者情绪及其研究是行为金融学的重要组成部分。
开展投资者情绪的研究意义有四点:一是有助于理解金融市场上投资者的行为;二是有利于理解收益、波动性和交易量的互动机理;三是有助于揭示投资者对股票预测的偏差以及利用这些偏差获得超额收益的可能性;四是有助于把握投资者心理特征,为市场调控提供理论指导。
狭义上,投资者情绪是带有偏差的投资者预期,按照获取方式不同,论文首次将我国投资者情绪分为显性(直接)、隐性(间接)投资者情绪和投资者情绪代理变量三类,并对各类情绪进行了系统的归类和分析。
在对投资者情绪概念和量化方法研究的基础上,论文首次系统地研究了不同类型投资者显性情绪间的关系,显性情绪对市场主要特征的影响,显性情绪与CEFD、CEFR、创新高新低、消费者信心指数、企业及企业家景气指数及IPO行为等隐性投资者情绪之间关系,以及隐性投资者情绪的市场收益预测能力,发现显性和隐性情绪间相关性良好,而且隐性情绪具有市场收益预测能力。
通过显性投资者情绪形成机理、运行模式和框定依赖的分析,发现并非主要影响个人投资者和小股票,机构投资者也是“噪声交易者”,投资者情绪是证券价格的重要影响因素,投资者情绪是历史市场收益及其波动性、历史情绪水平和政策事件是决定投资者情绪的重要因素,投资者情绪与市场收益的关系是双向互动的。
论文全面研究了我国封闭式基金折价特征和形成机制,逐一检验了投资者情绪假说的每个方面,发现中国封闭式基金折价的原因是多方面的,具有鲜明的“中国特色”,但投资者情绪是封闭式基金折价的主要因素,最具解释力的因素。
论文分析了环境因素和人体生物钟等非经济因素对市场的影响,首次发现我国证券的市场收益存在天气效应、SAD效应和月运周期效应,日照、雨雪及SAD、月运周期等可以作为情绪代理变量,具有市场收益预测能力。
统计分析、回归分析、二元分布模型、格兰杰因果检验、协整分析和向量自回归模型等统计和计量经济学方法在论文中被广泛采用。
兼顾前沿性、系统性、市场性和监管导向性是论文的主要特点。
Althought the standard finance gives no role to investor sentiment, investor sentiments is animportant part and play a very important role in the developing behavior finance.
The meaning of investor sentiment research reads as follow: 1st, it can give hint tounderstanding investors' behavior;2nd, it is useful to learn the interaction of market returns,variability and trade volume;3rd, to which extant it is an opportunity to earn extra returns can bedeclosed;Fourth, it is helpful for the government to take policy and control the market.
In a narrow sense, investor sentiment can be sorted into three categories: direct, indirect anddeputy investor sentiment. Each kind of investor sentiment and its impact on market are analyzedby experimental method.In this paper, the concept and the quantization of investor sentiment isdiscussed thoroughly. Even more, the relationship between variables of direct, indirect and deputyinvestor sentiment, and the effect of each investor sentiment variables' on major characteristics ofdomestic market are worked over and summarized.
The main discovery of the thesis is: 1st, historical market returns is a important determinativefactor of investor sentiment;2nd, investor sentiment have some forecasting ability of marketreturns;3rd, not only individual investor and small stocks but also institutional investors areinfluenced by investor sentiment. Institutional investors also are “noise dealers ".4th, the directinvestor sentiment play an important role in the CEFD.
Under the frame of the behavior finance, the relation and inherent mechanism between suchfactors as environment (sunshine, rain and snow etc.) and human biological clock (such as SADand Lunar cycle phenomenon) and China's securities market returns are studied. The conclusion isthere is weather effect, SAD effect and lunar the cycle effect with market returns.maybe, it is thefrist one who found those effects.
In this paper, many mathematic and econometric method are used, some of themare statistical analysis, regressive analysis, Grainger analysis, vector auto regression Logit modeland co-integration analysis etc.
The overall characteristic of the thesis are inventive, systematic, market oriented and suitablefor market supervision.
开展投资者情绪的研究意义有四点:一是有助于理解金融市场上投资者的行为;二是有利于理解收益、波动性和交易量的互动机理;三是有助于揭示投资者对股票预测的偏差以及利用这些偏差获得超额收益的可能性;四是有助于把握投资者心理特征,为市场调控提供理论指导。
狭义上,投资者情绪是带有偏差的投资者预期,按照获取方式不同,论文首次将我国投资者情绪分为显性(直接)、隐性(间接)投资者情绪和投资者情绪代理变量三类,并对各类情绪进行了系统的归类和分析。
在对投资者情绪概念和量化方法研究的基础上,论文首次系统地研究了不同类型投资者显性情绪间的关系,显性情绪对市场主要特征的影响,显性情绪与CEFD、CEFR、创新高新低、消费者信心指数、企业及企业家景气指数及IPO行为等隐性投资者情绪之间关系,以及隐性投资者情绪的市场收益预测能力,发现显性和隐性情绪间相关性良好,而且隐性情绪具有市场收益预测能力。
通过显性投资者情绪形成机理、运行模式和框定依赖的分析,发现并非主要影响个人投资者和小股票,机构投资者也是“噪声交易者”,投资者情绪是证券价格的重要影响因素,投资者情绪是历史市场收益及其波动性、历史情绪水平和政策事件是决定投资者情绪的重要因素,投资者情绪与市场收益的关系是双向互动的。
论文全面研究了我国封闭式基金折价特征和形成机制,逐一检验了投资者情绪假说的每个方面,发现中国封闭式基金折价的原因是多方面的,具有鲜明的“中国特色”,但投资者情绪是封闭式基金折价的主要因素,最具解释力的因素。
论文分析了环境因素和人体生物钟等非经济因素对市场的影响,首次发现我国证券的市场收益存在天气效应、SAD效应和月运周期效应,日照、雨雪及SAD、月运周期等可以作为情绪代理变量,具有市场收益预测能力。
统计分析、回归分析、二元分布模型、格兰杰因果检验、协整分析和向量自回归模型等统计和计量经济学方法在论文中被广泛采用。
兼顾前沿性、系统性、市场性和监管导向性是论文的主要特点。
Althought the standard finance gives no role to investor sentiment, investor sentiments is animportant part and play a very important role in the developing behavior finance.
The meaning of investor sentiment research reads as follow: 1st, it can give hint tounderstanding investors' behavior;2nd, it is useful to learn the interaction of market returns,variability and trade volume;3rd, to which extant it is an opportunity to earn extra returns can bedeclosed;Fourth, it is helpful for the government to take policy and control the market.
In a narrow sense, investor sentiment can be sorted into three categories: direct, indirect anddeputy investor sentiment. Each kind of investor sentiment and its impact on market are analyzedby experimental method.In this paper, the concept and the quantization of investor sentiment isdiscussed thoroughly. Even more, the relationship between variables of direct, indirect and deputyinvestor sentiment, and the effect of each investor sentiment variables' on major characteristics ofdomestic market are worked over and summarized.
The main discovery of the thesis is: 1st, historical market returns is a important determinativefactor of investor sentiment;2nd, investor sentiment have some forecasting ability of marketreturns;3rd, not only individual investor and small stocks but also institutional investors areinfluenced by investor sentiment. Institutional investors also are “noise dealers ".4th, the directinvestor sentiment play an important role in the CEFD.
Under the frame of the behavior finance, the relation and inherent mechanism between suchfactors as environment (sunshine, rain and snow etc.) and human biological clock (such as SADand Lunar cycle phenomenon) and China's securities market returns are studied. The conclusion isthere is weather effect, SAD effect and lunar the cycle effect with market returns.maybe, it is thefrist one who found those effects.
In this paper, many mathematic and econometric method are used, some of themare statistical analysis, regressive analysis, Grainger analysis, vector auto regression Logit modeland co-integration analysis etc.
The overall characteristic of the thesis are inventive, systematic, market oriented and suitablefor market supervision.
引文
[1]Michael Dowling, Brian M.Lucey, Weather, biorhythms and stock returns: some preliminary Irish evidence, Working Paper of University of Notre Dame
[2]Michael Dowling, Brian M.Lucey, The role of feelings in investor decision-making, Angel Pardo, Enric Valor
[3] Bagozzi, the role of emotions in marketing, Journal of the academy of marketing science, 1999, 27:184-206
[4] Bless, the impact of moods on the use of general knowledge structures, European reviews of social psychology, 1996, 7:63-93
[5] Isen, Affect, accessibility of material in memory and behavior: a cognitive loop?, Journal of personality and social psychology, 1978,36:1-12
[6]Bless, Schwarz, Kemmelmeier, mood, misattribution, and judgments of well being: informative and directive functions of affective states, Journal of personality and social psychology, 1983,45:513-523
[7]Mehra, Sah, Mood, projection bias and equity market volatility, Journal of economic dynamics and control, 2002, 26: 869-887
[8]Saunders, stock prices and the Wall Street weather, American Economic Review, 1993, 83(5):1337-1345
[9]Trombley, Mark, Stock price and Wall Street weather: additional evidence, Quarterly Journal of business and economics, 1997, 36:11-21
[10]Kramer, R. Runde, Stocks and the weather: an exercise in data Ming or yet another capital market anomaly? Empirical Economics, 1997, (22):637-641
[11]William N.Goetzmann, Ning Zhu, Rain or shine: where is the weather effect? Yale ICF Working Paper No.02-27
[12]David Hirshleifer, Tyler Shumay, Good Day Sunshine: Stock Returns and the Weather, Journal of Finance, 2003, 3:1109-1032
[13]Kahneman D. A. Tversky,Prospect Theory: An Analysis of Decision under Risk,Econometica, 1979,47 ⑵:263-291
[14]Barberis N., A. Shleifer, R. Vishny,A Model of Investor Sentiment, NBER Working Paper,1997,No.5926.
[15]Johnson, Tversky. Affect, generalization, and the perception of risk, Journal of Personality and Social Psychology, 1983, (45): 1-12
[16]Mark,Kamstra, Lisa Kramer, Maurice Levi,Winter blues: A SAD Stock Market Cycle, American Economic Review, 2003, (93):324-343
[17]Ian Garrett, Mark Kamstra, Lisa Kramer.,A SAD Day for behavioral finance? Winter blues and time variation in price of risk, Working paper NBER, 2003
[18]Michael Dowling, Brian M.Lucey.The role of feelings in investor decision making,Working paper, NBER, 2002
[19]Kathy Yuan, Lu Zhen, QiaoQiao Zhu. Are investor Moonstruck? Lunar Phases and Stock Returns, Working paper, University of Michigan business school, 2002
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[21]Hirshleifer, David, Investor psychology and asset pricing,Journal of Finance, 2001, (56):1533-1597
[22]Krivelyova, Robotti. Playing the filed: geomagnetic storms and international stock market, working paper, Bosten College, 2003
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[26]Trueman B, analysts forecasts and herding behavior, Review of Financial Studies,1994,7⑴:97-124
[27]John R G., Herding among investment newsletters: the theory and evidence, Journal of finance,1999,54 ⑴:237-268
[28]Welch,I.,herding among security analysts, Journal of financial economics,2000,58⑶:369-396
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[31]A. Pardo, E. Valor, Spanish Stock Returns: Where is the Weather Effect? , financial analysts' Journal, 2003, 9 ⑴:1
[32]Ljungqvist, Nanda, hot markets, investor sentiment and IPO pricing, financial analysts' Journal, 2004,7 ⑵:32-34
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[34]Claker, Roger G., Meir statman, bullish or bearish, financial analysts' Journal, 1998, 54(6): 63-72
[35]Elton, Ej. Gruber, Busse, do investors care about sentiment?, Journal of business, 1998, 71(4):477-500
[36]Solt, Michael, Meir statman, how useful is the sentiment index? Financial analysts' Journal, 1988, 44(5): 45-55
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[39]Hanley, Kathleen W., Charles m.c.lee, and Paul J.seguin, The marketing of closed-end fund IPOs: evidence from transactions data. Journal of financial intermediation, 1999, 48(5):684-697
[40]Brown Gregory. Volatility, Sentiment and noise traders, financial analyst Journal, 1999, 2:82-90.
[41]Brown G. W., Cliff, M.T, investor sentiment and asset valuation,Journal of business,2005, 76⑶:301-317
[42]Chen, N., Kan, R., Miller, M., Are the discounts on closed-end funds a sentiment index? Journal of finance, 1993, 48,795-800
[43]Daniel, K., Hirshleifer, D., Subrahmanyam, A., investor psychology and security market under and overreactions, Journal of finance 1998, 53:1839-1886
[44]Hirshleifer, D., investor psychology and asset pricing,Journal of finance 2001, 56:1533-1598
[46]Neal R., Wheatley, S.M., Do. Measures of investor sentiment predict returns? Journal of financial and quantitative analysis 1998, 33:523-547
[47]Otoo, M.W., 1999. Consumer Sentiment .and .the stock market, working paper, Federal Reserve board of governors, 2004
[48]Baker, Malcolm, Jeermy Stein, market liquidity as a sentiment indicator, NBER working paper, 2002, No.8816
[49]Baker, Malcolm, Jeffrey Wurgler, the equity share in new issues and aggregate stock returns, Journal of Finance 2000, 55:2219-57
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[52]Brown, Gregory W., Michael T.cliff, investor sentiment and the near-term stock market, Working paper, University of North Carolina, 2001
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[2]Michael Dowling, Brian M.Lucey, The role of feelings in investor decision-making, Angel Pardo, Enric Valor
[3] Bagozzi, the role of emotions in marketing, Journal of the academy of marketing science, 1999, 27:184-206
[4] Bless, the impact of moods on the use of general knowledge structures, European reviews of social psychology, 1996, 7:63-93
[5] Isen, Affect, accessibility of material in memory and behavior: a cognitive loop?, Journal of personality and social psychology, 1978,36:1-12
[6]Bless, Schwarz, Kemmelmeier, mood, misattribution, and judgments of well being: informative and directive functions of affective states, Journal of personality and social psychology, 1983,45:513-523
[7]Mehra, Sah, Mood, projection bias and equity market volatility, Journal of economic dynamics and control, 2002, 26: 869-887
[8]Saunders, stock prices and the Wall Street weather, American Economic Review, 1993, 83(5):1337-1345
[9]Trombley, Mark, Stock price and Wall Street weather: additional evidence, Quarterly Journal of business and economics, 1997, 36:11-21
[10]Kramer, R. Runde, Stocks and the weather: an exercise in data Ming or yet another capital market anomaly? Empirical Economics, 1997, (22):637-641
[11]William N.Goetzmann, Ning Zhu, Rain or shine: where is the weather effect? Yale ICF Working Paper No.02-27
[12]David Hirshleifer, Tyler Shumay, Good Day Sunshine: Stock Returns and the Weather, Journal of Finance, 2003, 3:1109-1032
[13]Kahneman D. A. Tversky,Prospect Theory: An Analysis of Decision under Risk,Econometica, 1979,47 ⑵:263-291
[14]Barberis N., A. Shleifer, R. Vishny,A Model of Investor Sentiment, NBER Working Paper,1997,No.5926.
[15]Johnson, Tversky. Affect, generalization, and the perception of risk, Journal of Personality and Social Psychology, 1983, (45): 1-12
[16]Mark,Kamstra, Lisa Kramer, Maurice Levi,Winter blues: A SAD Stock Market Cycle, American Economic Review, 2003, (93):324-343
[17]Ian Garrett, Mark Kamstra, Lisa Kramer.,A SAD Day for behavioral finance? Winter blues and time variation in price of risk, Working paper NBER, 2003
[18]Michael Dowling, Brian M.Lucey.The role of feelings in investor decision making,Working paper, NBER, 2002
[19]Kathy Yuan, Lu Zhen, QiaoQiao Zhu. Are investor Moonstruck? Lunar Phases and Stock Returns, Working paper, University of Michigan business school, 2002
[20]Ilia D.Dichev, Troy D.Janes. Lunar cycle effects in stock returns, Journal of private equity, 2003, (16):8-22
[21]Hirshleifer, David, Investor psychology and asset pricing,Journal of Finance, 2001, (56):1533-1597
[22]Krivelyova, Robotti. Playing the filed: geomagnetic storms and international stock market, working paper, Bosten College, 2003
[23]Brauer,Greggory A,investor sentiment and the close-end fund puzzle: A7 percent solution, Journal of financial services research,1993,1(7):199-216
[24]Lee,Charles,Andrei Shleifer, Richard Thaler,investor sentiment and the close-end fund puzzle,Journal of finance,1991,⑴:75-109
[25]Womack,do brokerage analysts' recommendation have investment value? Journal of finance,1996,51:137-167
[26]Trueman B, analysts forecasts and herding behavior, Review of Financial Studies,1994,7⑴:97-124
[27]John R G., Herding among investment newsletters: the theory and evidence, Journal of finance,1999,54 ⑴:237-268
[28]Welch,I.,herding among security analysts, Journal of financial economics,2000,58⑶:369-396
[29]Daniel Indro, Chinese close-end funds discount, Journal of Behavioral Finance, 2004, 5⑵:105-115
[30]Daniel Indro, Investor sentiment and mutual fund flow, Journal of financial economics,2004, 7⑴:414-435
[31]A. Pardo, E. Valor, Spanish Stock Returns: Where is the Weather Effect? , financial analysts' Journal, 2003, 9 ⑴:1
[32]Ljungqvist, Nanda, hot markets, investor sentiment and IPO pricing, financial analysts' Journal, 2004,7 ⑵:32-34
[33]Brown, Greory W., volatility, sentiment, and nosier traders, financial analysts' Journal, 1999, 55 ⑵:82-90
[34]Claker, Roger G., Meir statman, bullish or bearish, financial analysts' Journal, 1998, 54(6): 63-72
[35]Elton, Ej. Gruber, Busse, do investors care about sentiment?, Journal of business, 1998, 71(4):477-500
[36]Solt, Michael, Meir statman, how useful is the sentiment index? Financial analysts' Journal, 1988, 44(5): 45-55
[37]Kennrth L. Fisher, Meir statman, investor sentiment and stock returns, financial analysts' Journal, 2002, 16-23
[38]Abraham, Abraham, Don élan, Alan J.marcus, does sentiment explain closed-end fund discounts? Evidence from bond funds” Financial review, 1993, 28, (4):607-616
[39]Hanley, Kathleen W., Charles m.c.lee, and Paul J.seguin, The marketing of closed-end fund IPOs: evidence from transactions data. Journal of financial intermediation, 1999, 48(5):684-697
[40]Brown Gregory. Volatility, Sentiment and noise traders, financial analyst Journal, 1999, 2:82-90.
[41]Brown G. W., Cliff, M.T, investor sentiment and asset valuation,Journal of business,2005, 76⑶:301-317
[42]Chen, N., Kan, R., Miller, M., Are the discounts on closed-end funds a sentiment index? Journal of finance, 1993, 48,795-800
[43]Daniel, K., Hirshleifer, D., Subrahmanyam, A., investor psychology and security market under and overreactions, Journal of finance 1998, 53:1839-1886
[44]Hirshleifer, D., investor psychology and asset pricing,Journal of finance 2001, 56:1533-1598
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