發(fā)布時(shí)間：2018-06-23 14:44

  本文選題：行為金融 + 中國(guó)股市��； 參考：《上海交通大學(xué)》2013年碩士論文

【摘要】：隨著金融市場(chǎng)的發(fā)展，出現(xiàn)了很多用傳統(tǒng)金融理論無(wú)法解釋的異�，F(xiàn)象。在此背景下，國(guó)外學(xué)者將心理學(xué)的研究成果引入金融學(xué)的研究，發(fā)展成行為金融學(xué)，作為傳統(tǒng)金融理論的補(bǔ)充和發(fā)展。在本文研究過(guò)程中，筆者根據(jù)國(guó)內(nèi)外行為金融研究成果，以相關(guān)書(shū)面資料為理論基礎(chǔ)，結(jié)合中國(guó)股市實(shí)際，用實(shí)證的方法支持了行為金融理論的部分觀點(diǎn)。 文章緒論說(shuō)明了本文的研究意義和創(chuàng)新點(diǎn)。行為金融理論被引入中國(guó)后，許多國(guó)內(nèi)學(xué)者也展開(kāi)了相關(guān)研究，并將其應(yīng)用于中國(guó)股市。筆者從行為金融的視角來(lái)對(duì)中國(guó)股市現(xiàn)實(shí)狀況進(jìn)行分析和解釋?zhuān)�希望�?duì)自身投資實(shí)踐起到指導(dǎo)作用。本文以中國(guó)股市為研究對(duì)象，采用了股權(quán)分制改革基本結(jié)束后的新時(shí)期，即從2007到2013年目前的最新數(shù)據(jù)。由此得出的研究結(jié)論，對(duì)于如今的中國(guó)股票市場(chǎng)有更深的現(xiàn)實(shí)意義。針對(duì)中國(guó)股市的板塊效應(yīng)，在研究中專(zhuān)門(mén)選取了個(gè)別板塊作為研究對(duì)象，這在具體的投資操作中有較強(qiáng)實(shí)際意義。 在理論方面，，本文首先簡(jiǎn)介了傳統(tǒng)金融理論，列舉了和傳統(tǒng)金融理論相背的股市異象，作為行為金融理論的產(chǎn)生背景。另外介紹了行為金融理論的發(fā)展過(guò)程和近年的研究動(dòng)向。接下來(lái)介紹了行為金融理論的主要內(nèi)容，例如前景理論、認(rèn)知偏差、羊群效應(yīng)等。最后，從中國(guó)股市的實(shí)際情況入手，應(yīng)用行為金融理論解釋了一個(gè)非理性現(xiàn)象案例。 在實(shí)證方面，筆者在借鑒前人的思想方法的基礎(chǔ)上，采取了獨(dú)自構(gòu)思的具體方案，對(duì)中國(guó)股市異�，F(xiàn)象進(jìn)行了行為金融研究。這是本文的核心部分，進(jìn)行了三個(gè)小項(xiàng)目的實(shí)證。通過(guò)構(gòu)造創(chuàng)業(yè)板贏家組合和輸家組合，考察了動(dòng)量效應(yīng)，結(jié)論是創(chuàng)業(yè)板的動(dòng)量效應(yīng)存在。通過(guò)本月日均交易量和上月日均收益率的相關(guān)性，考察了過(guò)度自信，結(jié)論是過(guò)度自信和交易量存在正向的相關(guān)關(guān)系。通過(guò)旅游板塊個(gè)股二月份的超額收益率，考察了二月份的日歷效應(yīng)，結(jié)論是與市場(chǎng)比較，旅游板塊的2月份日歷效應(yīng)相對(duì)突出。 文章最后，提出了筆者自身的觀點(diǎn)和結(jié)論。認(rèn)為中國(guó)股市基本為弱勢(shì)有效市場(chǎng)。在此背景下,行為金融理論有廣泛的運(yùn)用前景。據(jù)此，筆者提出相應(yīng)的投資策略。即采用量化投資策略；或者可選取特定板塊，采取動(dòng)量交易和利用日歷效應(yīng)等策略。如果應(yīng)用得當(dāng),這些策略可獲得超越市場(chǎng)平均水平的超額收益。同時(shí)，對(duì)這些策略的局限性做了說(shuō)明。筆者希望通過(guò)以上研究，能有助于完善自身的投資策略，為實(shí)際工作提供借鑒參考。
[Abstract]:With the development of financial market, many abnormal phenomena can not be explained by traditional financial theory. Under this background, foreign scholars introduce the research results of psychology into the research of finance, and develop into behavioral finance, which is the supplement and development of the traditional financial theory. In the course of this study, based on the research results of behavioral finance at home and abroad, based on the relevant written data, combined with the reality of China's stock market, the author uses empirical methods to support some of the views of behavioral finance theory. The introduction explains the significance and innovation of this paper. After the introduction of behavioral finance theory into China, many domestic scholars have also carried out relevant research and applied it to Chinese stock market. From the perspective of behavioral finance, the author analyzes and explains the reality of China's stock market, hoping to play a guiding role in its own investment practice. This paper takes the Chinese stock market as the research object and adopts the latest data from 2007 to 2013 in the new period after the reform of the split share system. The conclusion of this study has a deeper practical significance for China's stock market today. In view of the plate effect of Chinese stock market, we select individual plate as the research object, which has strong practical significance in the concrete investment operation. In theory, this paper first introduces the traditional financial theory, enumerates the stock market anomalies contrary to the traditional financial theory, as the background of behavioral finance theory. In addition, it introduces the development process of behavioral finance theory and the research trend in recent years. Then it introduces the main contents of behavioral finance theory, such as prospect theory, cognitive bias, herding effect and so on. Finally, from the actual situation of Chinese stock market, this paper explains a case of irrational phenomenon by using behavioral finance theory. In the empirical aspect, on the basis of referring to the previous thought and method, the author has taken the concrete plan that the individual conceive, has carried on the behavior finance research to the abnormal phenomenon of the stock market of China. This is the core part of this paper, carried out three small projects of empirical. The momentum effect is investigated by constructing the winner combination and the loser combination of the gem. The conclusion is that the momentum effect exists in the gem. Based on the correlation between the average daily trading volume and the average yield of last month, overconfidence is investigated. The conclusion is that there is a positive correlation between overconfidence and trading volume. This paper examines the calendar effect in February through the excess returns of individual stocks in the tourism sector in February. The conclusion is that the calendar effect in February is relatively prominent in the tourism sector compared with the market. Finally, the author puts forward his own views and conclusions. Think Chinese stock market is weak effective market basically. In this context, behavioral finance theory has a broad application prospects. Accordingly, the author puts forward the corresponding investment strategy. That is to say, we can use quantitative investment strategy, or we can select specific plate, adopt momentum trading and use calendar effect. If properly applied, these strategies can yield excess returns above the market average. At the same time, the limitations of these strategies are explained. The author hopes that the above research can be helpful to improve his investment strategy and provide reference for practical work.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51

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