Font Size: a A A

Research On Mutual Relationship Between Investor Sentiment And Securities Market Price

Posted on:2010-06-13Degree:DoctorType:Dissertation
Country:ChinaCandidate:Q H YuFull Text:PDF
GTID:1119360302971788Subject:Technical Economics and Management
Abstract/Summary:PDF Full Text Request
With the huge dispute of"abnormal phenomena"and others issues from the standard financial theory, behavior finance has become a new subject as a branch of finance theory and develop promptly. Moreover, behavior finance has become a hot point of finance theory. In a way, if the standard financial theory describes that"ought to"how behavior's, then behavior finance discusses that investor"reality"is upper be how behavior's. However, in the field of behavior finance, some scholars think that bounded rationality of investors affects whose decision-making, and the others scholars point out that investor sentiment can affect frequently choices of investors. Therefore, the author thinks that further studies of behavior finance theory firstly ought to resolve the problem of bounded rationality and sentiment of investors how to affect decision-making of investors. This dissertation chooses bounded rationality and sentiment as the topic. There is another cause that the behavior problem of primary participators becomes most important problem in securities market. Farther, investor's behavior in participators is the most important. So, the study of bounded rationality and sentiment as fundamental factors impact on investor's behavior has important value on theory and practice.With the beginning of hypothesis of heterogeneity and bounded rationality, this dissertation builds a sentiment model of bounded rational investors. Then the empirical research contains two aspects: between investor sentiment and the composite index of Shanghai Stock Exchange and between investor sentiment and market return of Shanghai Stock Exchange. The main contributions of the research are as follows.â‘ This dissertation introduces briefly fundamental theories and methods in chapter 2. The fundamental theories contain behavior economics and behavior finance etc. Then the research concentrates on discussing the development of behavior finance theory and their relevance commentary. The fundamental method contains evolutionary game method, and reviewing this method.â‘¡Based on the hypothesis of heterogeneous and bounded rationality, this dissertation discusses the evolutionary problem of noise traders in long run through classics hawk-dove model in evolutionary game theory. Furthermore, this thesis builds the sentiment model of bounded rationality investors and studies the relationship between the sentiment of noises trader and the market returns of risk assets. â‘¢This thesis regards the Bull/Bear Index in Stock Market Trend Analysis Weekly as investor sentiment index. Differently, and has divided a sample time into two stages between rising and descending time. Moreover, this dissertation makes an empirical analysis on relationship between investor's sentiment and the composite index of Shanghai Stock Exchange using cointegration test and Granger causality based on ECM. The empirical result of this section verifies the conclusion from theoretic analysis in last chapter.â‘£Because the two time series of investor's sentiment variety and market returns of Shanghai Stock Exchange are both stable time series, this thesis builds the vector autoregression model based on the two time series. Then we research the Granger causal relationship between investor's sentiment variety and market returns of Shanghai Stock Exchange, and further test the relationship with the tradition analysis method of regression.The main features and innovations are as follows.â‘ Firstly, this dissertation defines a new concept on bounded rationality with the view of fundamental uncertainty in securities market. We think that investor sentiment brings on bounded rationality, and is restricted. This dissertation makes a point based on the relationship between investor sentiment and bounded rationality.â‘¡This dissertation builds the sentiment model of bounded rationality investors. Based on the classical model of DSSW, the type of noise traders is further divided into bounded rationality investors and irrationality investors. This dissertation extends the DSSW model, and attempts to build a theoretic model. Under a certain extent, this dissertation makes up the problem of model lacking in existing researches.â‘¢Different from existing researches, this dissertation selects the sample beginning the phase of reform in stock right splitting in 2005, and contains a"bull market"in 2005 till 2007 and a"bear market"in 2007 till 2008. Through dividing into two stages, we compares with characters and effects of investors sentiment. This sample of this dissertation is down to date. With the characters from study data, we study the mutual relationship between investor sentiment and the composite index or market return.
Keywords/Search Tags:behavior finance, bounded rationality, investor sentiment, evolutionary game theory
PDF Full Text Request
Related items