投资者信心与证券市场表现
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摘要
2008年初,我国股市在持续了两年大幅上涨之后进入了一个调整期。受到美国次贷危机的影响,沪深股市出现了大幅震荡,上证综指从6100点跌到1600点,绝大多数投资者处于亏损状态,投资者的信心严重受挫。我们知道,在股票市场上存在着“追涨杀跌”的现象,当股票价格上涨时,投资者会纷纷地进市;而当投资者对市场有着悲观的预期时,就会加剧股市的下跌,由此可见,我国证券市场上投资者的行为并不像标准金融理论所说的是完全理性的,投资者在进行投资时是在自身认知偏差的基础上根据周围市场环境及市场表现做出的。从次贷危机发生到现在,我国投资者对股市仍然缺乏信心使得我国股市依旧处在低迷的状态。因此关于投资者的信心与证券价格之间的关系的研究以及在此研究的基础上提出如何振奋投资者信心的对策,对现实证券市场健康稳定地发展有非常积极的指导意义。
本文首先介绍了证券市场中投资者信心的特征及其对证券市场的影响,分析了影响投资者信心的因素,综述了投资者信心的度量方法。在此基础上,选取了成交量、换手率、市盈率、广义货币供应量、新增贷款、IPO募集资金数以及IPO公司数七个能够刻画投资者信心的单项指标,运用突变理论构建了我国投资者综合信心指数。
文章实证部分首先分析了综合信心指数与沪市A股指数之间的关系。随后运用GARCH模型,分析了我国投资者信心波动性与沪市A股收益之间的关系。实证结果表明:从总体上看,投资者综合信心指数能较好的反映沪市A股指数的走势,只是在短期内其波动比沪市A股指数更剧烈。另外投资者信心的增加对股市收益有正的影响,同时投资者信心对股市收益存在波动溢出效应。
根据实证结果,文章最后指出:为了摆脱股市的低迷状态,我国现阶段应该把提高投资者信心放在首位,并给出了如何提高投资者信心的建议。首先政府以及监管部门要把提高投资者信心放在首位;其次投资者自身要树立信心,看到我国股市的长期投资价值,进行理性投资;最后由于我国现在对于直接刻画投资者信心的指标发展还不完善,提出我国应加快发布投资者信心指数。只有这样,才能保证我国股市良好健康地发展。
In early 2008, China stock market entered a period of adjustment after two years’sharp rising because of subprime mortgage crisis. The stock market of Shanghai and Shenzhen had price fluctuation sharply. The Shanghai Index fell from 6,100 points to 1,600 points. Most of investors lost lots of money. Investor confidence frustrated seriously. We know that there is a "chase Shade" phenomenon in the stock market. Investors buy into stock market actively when the stock is rising. If investors have pessimistic market expectations, the share price will decline seriously. This shows that the behavior of investors is not rational completely. Based on their cognitive biases and market environment, investors make their decisions. From the subprime crisis to the present, investors’lack of confidence caused the downturn of the stock market. Therefore, the research about investor confidence and the performance of security market is very meaningful. Based on the research, the author gives some suggestions to improve investor confidence. These suggestions can promote a healthy and stable development of security market.
This paper introduces the characteristics and influence of investor confidence, analyzes the influence factors to investor confidence, reviews the measure of investor confidence. Based on these, the author selects seven variables to describe investor confidence. They are volume, turnover rate, price-earnings ratio, broad money supply, new loans, fund- raising of IPO and the number of IPO companies. Using catastrophe theory, the author constructs investor composite confidence index.
In the empirical research, the author first analyzes the relationship between composite confidence index and Shanghai-A-share index. Using GRACH model, the author then analyzes the relationship between the volatility of investor confidence and Shanghai-A-share earnings. The empirical results show that investor composite confidence index preferably reflects the Shanghai-A-share index trend in overall. Only in the short term its’volatility was more intense than Shanghai-A-share index’s. In addition, the increase of investor confidence has a positive effect on market earnings, and the volatility of investor confidence has an overflow effect on market earnings.
Finally, the author points out that we should improve investor confidence and gives some recommendations to protect investor confidence based on the empirical results. First, government and regulatory authorities should give priority to improve investor confidence. Second, investors should establish confidence themselves. They should see long-term investment value of stock market of China. They should make investment rationally. Third, our country should issue investor confidence index rapidly so that we can ensure the healthy development of stock market.
本文首先介绍了证券市场中投资者信心的特征及其对证券市场的影响,分析了影响投资者信心的因素,综述了投资者信心的度量方法。在此基础上,选取了成交量、换手率、市盈率、广义货币供应量、新增贷款、IPO募集资金数以及IPO公司数七个能够刻画投资者信心的单项指标,运用突变理论构建了我国投资者综合信心指数。
文章实证部分首先分析了综合信心指数与沪市A股指数之间的关系。随后运用GARCH模型,分析了我国投资者信心波动性与沪市A股收益之间的关系。实证结果表明:从总体上看,投资者综合信心指数能较好的反映沪市A股指数的走势,只是在短期内其波动比沪市A股指数更剧烈。另外投资者信心的增加对股市收益有正的影响,同时投资者信心对股市收益存在波动溢出效应。
根据实证结果,文章最后指出:为了摆脱股市的低迷状态,我国现阶段应该把提高投资者信心放在首位,并给出了如何提高投资者信心的建议。首先政府以及监管部门要把提高投资者信心放在首位;其次投资者自身要树立信心,看到我国股市的长期投资价值,进行理性投资;最后由于我国现在对于直接刻画投资者信心的指标发展还不完善,提出我国应加快发布投资者信心指数。只有这样,才能保证我国股市良好健康地发展。
In early 2008, China stock market entered a period of adjustment after two years’sharp rising because of subprime mortgage crisis. The stock market of Shanghai and Shenzhen had price fluctuation sharply. The Shanghai Index fell from 6,100 points to 1,600 points. Most of investors lost lots of money. Investor confidence frustrated seriously. We know that there is a "chase Shade" phenomenon in the stock market. Investors buy into stock market actively when the stock is rising. If investors have pessimistic market expectations, the share price will decline seriously. This shows that the behavior of investors is not rational completely. Based on their cognitive biases and market environment, investors make their decisions. From the subprime crisis to the present, investors’lack of confidence caused the downturn of the stock market. Therefore, the research about investor confidence and the performance of security market is very meaningful. Based on the research, the author gives some suggestions to improve investor confidence. These suggestions can promote a healthy and stable development of security market.
This paper introduces the characteristics and influence of investor confidence, analyzes the influence factors to investor confidence, reviews the measure of investor confidence. Based on these, the author selects seven variables to describe investor confidence. They are volume, turnover rate, price-earnings ratio, broad money supply, new loans, fund- raising of IPO and the number of IPO companies. Using catastrophe theory, the author constructs investor composite confidence index.
In the empirical research, the author first analyzes the relationship between composite confidence index and Shanghai-A-share index. Using GRACH model, the author then analyzes the relationship between the volatility of investor confidence and Shanghai-A-share earnings. The empirical results show that investor composite confidence index preferably reflects the Shanghai-A-share index trend in overall. Only in the short term its’volatility was more intense than Shanghai-A-share index’s. In addition, the increase of investor confidence has a positive effect on market earnings, and the volatility of investor confidence has an overflow effect on market earnings.
Finally, the author points out that we should improve investor confidence and gives some recommendations to protect investor confidence based on the empirical results. First, government and regulatory authorities should give priority to improve investor confidence. Second, investors should establish confidence themselves. They should see long-term investment value of stock market of China. They should make investment rationally. Third, our country should issue investor confidence index rapidly so that we can ensure the healthy development of stock market.
引文
[1]陈收.行为金融——理论与实证[M].长沙:湖南大学出版社,2004.
[2]曹胤.我国投资者综合情绪指数研究[D].哈尔滨工业大学,2009:
[3]高铁梅,王金明,吴桂珍.计量经济分析方法与建模——Eviews应用及实例[M].北京:清华大学出版社,2006.
[4]李心丹.行为金融学——理论与中国的证据[M].上海:三联书店,2003.
[5]李心丹,王龚宁,傅浩.中国个体投资者交易行为的实证研究[J].经济研究,2002(11):54-63.
[6]李心丹.行为金融理论:研究体系及展望[J].金融研究,2005(01).
[7]林百宏.中国投资者情绪指数的度量及其对股市收益的影响分析[D].厦门大学,2008:
[8]林树,汤振宇,俞乔.行为金融学研究中的心理学方法[J].首届“行为金融学与资本市场学术研讨会”论文集,南京,2003:57-61.
[9]刘博,皮天雷.惯性策略和反转策略:来自中国沪深A股市场的新证据[J].金融研究,2007(8):154-166.
[10][美]安德瑞.史莱佛.赵英军泽.并非有效的市场——行为金融学导论[M].北京:中国人民大学出版社.
[11]彭星辉,汪晓虹.上海股民的投资行为与个性特征研究[J].心理科学,1995(18):94-98.
[12]饶育蕾,刘达锋.行为金融学[M].上海:上海财经大学出版社,2003.
[13]沈艺峰,吴世农.我国证券市场过度反应了吗?[J].经济研究,1999(2):21-26.
[14]宋军,吴冲锋.从有效市场假设到行为金融理论[J].世界经济,2001(10):74-80.
[15]史金艳,刘芳芳.投资者情绪与股价波动溢出效应研究[J].工业技术经济,2010(2):154-158.
[16]谭加洲.行为金融与投资者信心[D].青岛大学,2005:
[17]王朝晖,李心丹.我国投资者情绪波动性与股市收益[J].宁波大学学报,2008(21):89-98.
[18]王毅.中国证券市场广义信心指数研究[J].金融在线,2010:50-51.
[19]王永宏,赵学军.中国股市“惯性策略”和“反转策略”的实证研究[J].经济研究,2001(6):56-62.
[20]易丹辉主编.数据分析与Eviews应用[M].北京:中国统计出版社,2002.
[21]易阳平.行为金融理论述评[J].外国经济与管理,2002(2):18-22.
[22]周战强,李德峰.个人投资者的行为金融学分析[J].中央财经大学学报,2006(02).
[23]赵宇龙.会计盈余披露的信息含量[J].经济研究,1998(7).
[24]章融,金雪军.现代金融理论与行为金融比较研究[J].财经论丛,2002(6):41-46.
[25]Barberis, Nicholas, Andrei Shleifer, and Robert Vishny. A Model of Investor Sentiment [J]. Journal of Financial Economics,1998(49):307-343.
[26]Brown, G.W., Volatility, Sentiment and Noise Traders. Financial Analysts Journal,1999,55 (2),82-90.
[27]Barberies, Shleifer and Visney. A Model of investor Sentiment[J]. Journal of Financial Economies,1998.
[28]Barber, B.M., Odean, T. Boys will be boys: gender, overconfidence, and common stock investment[J]. Quarterly Journal of Economies,2001(116):261-292.
[29]Debondt, D. and R.H.Thaler. Does the Stock Market Over-react[J]. Journal of Finance,1985(40):793-805.
[30]Bengtsson C., Persson M., Willenhag P.. Gender and overconfidence[J]. Economics Letters,2005(vol 86-2):199-203.
[31]Daniel, Kent D., David Hirshleifer and Avanidhar Subrahmanyam. Investor psychology and security market under and over reactions[J]. Journal of Finance,1998(53):1839-1886.
[32]Fama, Eugene F. and French K.R. The Equity Premium[J]. Journal of Finance,2000,57,(2):637-659.
[33]Fisher, Kenneth L., Meir Statman. Investor Sentiment and Stock Returns[J]. Financial Analysts Journal,2000(4):16-23.
[34]G. W. Brown, M. T. Cliff. Investor Sentiment and Asset Valuation[J]. Journal of Business, 2005,78(27):405-440.
[35]Hong, H.& J.Stein. A unified theory and under-reaction, momentum trading and overreaction in asset markets[J]. Journal of Finance,1999(6):2143～2184.
[36]Kahneman D. and Tversky A.. Prospect Theory: An Analysis of Decision under Risk[J]. Eeonometric,1973(47):263-291.
[37]Lee, Charles M., Andrei Shleifer, Richard H. Thale. Investor Sentiment and the Closed-End Fund Puzzle[J]. Journal of Finance,1991(1):75-109.
[38]M. Baker, J.C. Stein. Market Liquidity as a Sentiment Indicator[J]. Journal of Financial Markets, 2004,7(3):271-299.
[39]Miller, Edward M., Risk. Uncertainty and Divergence of Opinion[J]. Journal of Finance,1997(09):1151-1168.
[40]Mark Grinblatt, Matti Keloharju. The Investment Behavior and Performance of Various Investor Types: a Study of Finland’s Unique Data Set[J]. Journal of Financial Economics,2000(55):43-67.
[41]Nicholas Barberis, Ming Huang. Mental Accounting, Loss Aversion and Individual Stock Returns[J]. Journal of Finance,2001(56):1247-1295.
[42]Shleifer A.. Inefficient Market: An introduction to Behavioral Finance[M]. New York: Oxford University Press.
[43]Statman M.. Behavioral Finance: Past Battles and Future Engagements[J]. Financial Analysts Journal,2003,55(6).
[44]Terrance Odean. Are Investors Reluctant to Realize Their Losses?[J]. Journal of Finance,1998(53):1775-1798.
[45]Thaler Richard. Mental Accounting Matter[J]. Journal of Behavioral Decision Marking,1998(12):183-206.
[46]Tony Brabazon. A new sunrise or a false dawn?[J]. Working paper, Behavioral Finance,2005.
[47]Van Den Steen E.. Rational Over-optimism (and Other Biases)[J]. American Economic Review,2004(94),1141-1151.
[2]曹胤.我国投资者综合情绪指数研究[D].哈尔滨工业大学,2009:
[3]高铁梅,王金明,吴桂珍.计量经济分析方法与建模——Eviews应用及实例[M].北京:清华大学出版社,2006.
[4]李心丹.行为金融学——理论与中国的证据[M].上海:三联书店,2003.
[5]李心丹,王龚宁,傅浩.中国个体投资者交易行为的实证研究[J].经济研究,2002(11):54-63.
[6]李心丹.行为金融理论:研究体系及展望[J].金融研究,2005(01).
[7]林百宏.中国投资者情绪指数的度量及其对股市收益的影响分析[D].厦门大学,2008:
[8]林树,汤振宇,俞乔.行为金融学研究中的心理学方法[J].首届“行为金融学与资本市场学术研讨会”论文集,南京,2003:57-61.
[9]刘博,皮天雷.惯性策略和反转策略:来自中国沪深A股市场的新证据[J].金融研究,2007(8):154-166.
[10][美]安德瑞.史莱佛.赵英军泽.并非有效的市场——行为金融学导论[M].北京:中国人民大学出版社.
[11]彭星辉,汪晓虹.上海股民的投资行为与个性特征研究[J].心理科学,1995(18):94-98.
[12]饶育蕾,刘达锋.行为金融学[M].上海:上海财经大学出版社,2003.
[13]沈艺峰,吴世农.我国证券市场过度反应了吗?[J].经济研究,1999(2):21-26.
[14]宋军,吴冲锋.从有效市场假设到行为金融理论[J].世界经济,2001(10):74-80.
[15]史金艳,刘芳芳.投资者情绪与股价波动溢出效应研究[J].工业技术经济,2010(2):154-158.
[16]谭加洲.行为金融与投资者信心[D].青岛大学,2005:
[17]王朝晖,李心丹.我国投资者情绪波动性与股市收益[J].宁波大学学报,2008(21):89-98.
[18]王毅.中国证券市场广义信心指数研究[J].金融在线,2010:50-51.
[19]王永宏,赵学军.中国股市“惯性策略”和“反转策略”的实证研究[J].经济研究,2001(6):56-62.
[20]易丹辉主编.数据分析与Eviews应用[M].北京:中国统计出版社,2002.
[21]易阳平.行为金融理论述评[J].外国经济与管理,2002(2):18-22.
[22]周战强,李德峰.个人投资者的行为金融学分析[J].中央财经大学学报,2006(02).
[23]赵宇龙.会计盈余披露的信息含量[J].经济研究,1998(7).
[24]章融,金雪军.现代金融理论与行为金融比较研究[J].财经论丛,2002(6):41-46.
[25]Barberis, Nicholas, Andrei Shleifer, and Robert Vishny. A Model of Investor Sentiment [J]. Journal of Financial Economics,1998(49):307-343.
[26]Brown, G.W., Volatility, Sentiment and Noise Traders. Financial Analysts Journal,1999,55 (2),82-90.
[27]Barberies, Shleifer and Visney. A Model of investor Sentiment[J]. Journal of Financial Economies,1998.
[28]Barber, B.M., Odean, T. Boys will be boys: gender, overconfidence, and common stock investment[J]. Quarterly Journal of Economies,2001(116):261-292.
[29]Debondt, D. and R.H.Thaler. Does the Stock Market Over-react[J]. Journal of Finance,1985(40):793-805.
[30]Bengtsson C., Persson M., Willenhag P.. Gender and overconfidence[J]. Economics Letters,2005(vol 86-2):199-203.
[31]Daniel, Kent D., David Hirshleifer and Avanidhar Subrahmanyam. Investor psychology and security market under and over reactions[J]. Journal of Finance,1998(53):1839-1886.
[32]Fama, Eugene F. and French K.R. The Equity Premium[J]. Journal of Finance,2000,57,(2):637-659.
[33]Fisher, Kenneth L., Meir Statman. Investor Sentiment and Stock Returns[J]. Financial Analysts Journal,2000(4):16-23.
[34]G. W. Brown, M. T. Cliff. Investor Sentiment and Asset Valuation[J]. Journal of Business, 2005,78(27):405-440.
[35]Hong, H.& J.Stein. A unified theory and under-reaction, momentum trading and overreaction in asset markets[J]. Journal of Finance,1999(6):2143～2184.
[36]Kahneman D. and Tversky A.. Prospect Theory: An Analysis of Decision under Risk[J]. Eeonometric,1973(47):263-291.
[37]Lee, Charles M., Andrei Shleifer, Richard H. Thale. Investor Sentiment and the Closed-End Fund Puzzle[J]. Journal of Finance,1991(1):75-109.
[38]M. Baker, J.C. Stein. Market Liquidity as a Sentiment Indicator[J]. Journal of Financial Markets, 2004,7(3):271-299.
[39]Miller, Edward M., Risk. Uncertainty and Divergence of Opinion[J]. Journal of Finance,1997(09):1151-1168.
[40]Mark Grinblatt, Matti Keloharju. The Investment Behavior and Performance of Various Investor Types: a Study of Finland’s Unique Data Set[J]. Journal of Financial Economics,2000(55):43-67.
[41]Nicholas Barberis, Ming Huang. Mental Accounting, Loss Aversion and Individual Stock Returns[J]. Journal of Finance,2001(56):1247-1295.
[42]Shleifer A.. Inefficient Market: An introduction to Behavioral Finance[M]. New York: Oxford University Press.
[43]Statman M.. Behavioral Finance: Past Battles and Future Engagements[J]. Financial Analysts Journal,2003,55(6).
[44]Terrance Odean. Are Investors Reluctant to Realize Their Losses?[J]. Journal of Finance,1998(53):1775-1798.
[45]Thaler Richard. Mental Accounting Matter[J]. Journal of Behavioral Decision Marking,1998(12):183-206.
[46]Tony Brabazon. A new sunrise or a false dawn?[J]. Working paper, Behavioral Finance,2005.
[47]Van Den Steen E.. Rational Over-optimism (and Other Biases)[J]. American Economic Review,2004(94),1141-1151.