The Relationship Study Of Investor Confidence And Stock Returns

Effective capital market theory is the cornerstone of the theory of traditional finance.It gradually weakened by the three assumptions:?The assumption that investors are rational,so investors can rationally assess the value of assets;?Even some investors are irrational,but their transaction is random,so it can eliminate the influence on the price of each other;?Even if investors irrational behavior is not random but correlated.The market can still use arbitrage mechanism make the price return to rational prices.Behavioral finance based on prospect theory,by studying a lot of psychology and behavioral science founding that investors are not rational.The actual investment decisions tend to systematically deviate from the optimal decision model of traditional finance set.This is a great impact on the effective capital market theory of traditional finance.First,take the real act of agency behavior.Different from the assumption of rationality,people in the real world are "limited rationality" and "naive investors"".In fact,many investors are affected by many irrelevant information when deciding their own needs for assets.Second,the irrational behavior of investors is not a random occurrence.Decisions made by non rational investors tend to move in the same direction,not necessarily offset each other.Third,arbitrage will be limited.The effectiveness of arbitrage depends on the existence of approximate alternative assets.Although financial derivatives,such as futures,options,can obtain approximate alternative assets,but many assets are not alternative assets.Then arbitrage can not maintain the price level.Its effectiveness is limited.Even if there is a complete alternative asset,arbitrage is also faced with the impact of future asset price uncertainty.Behavioral finance breaks through the limitation of traditional financial science that only focus on the optimal decision model,which can be based on a more realistic basis.However,there are still many problems in behavioral finance,so far there is no complete financial theory system.In addition,the uncertainty and uncertainty of psychological factors also increase the difficulty of the construction of behavioral finance theory system.Behavioral Finance on the impact of traditional finance is not trying to take its place,but to develop research ideas of Finance and provide more methods.In order to improve and revise the financial theory,making it more credible and effective.In the study of the impact of incomplete rational behavior of investors on the stock market returns.The psychology of overconfidence is the most important and the most thorough and thorough research.A large number of foreign theoretical studies have shown that investors in the stock market psychology is over confident.The overconfidence will be reflected in their investment behavior.In this paper,from the psychological perspective of self-confidence,to study the impact of incomplete investor behavior on China's stock market returns.The behavioral finance support,based on the research of scholars,selected on the Shanghai A shares weekly data as the sample data.The sample data are mainly derived from CSMAR.Data processing mode is the main EXCEL2007 and Stata11.0 green edition.In this paper,the theoretical analysis and empirical research methods are used to empirically analyze the impact of investor confidence on stock market returns.The full text is divided into the following six parts:The first part is introduction.It mainly includes the research background,purpose and significance of the research,research status at home and abroad,research ideas and research content,main research methods and innovations.The second part is the basic theory research.It mainly includes the herding effect,the income effect hypothesis,the five factor model,the rational hypothesis,the incomplete rational hypothesis and so on.The third part is the theoretical derivation and research hypothesis.It mainly uses the improved DSSW model to deduce the three hypotheses.Three hypotheses are as follows:(1)Effect between individual and institutional investors confidence is asymmetric.The influence of institutional investors confidence of individual investors greater confidence;(2)The current and lagged investor confidence will have significant impact on the return of the stock market and have positive effects;(3)The higher the degree of stock investors,the excess return change to the higher sensitivity of investor confidence.The fourth part is the research design.This paper mainly introduces the model to be used in the empirical research,including the hypothesis of 1 distribution lag model,the ordinary least squares regression model of hypothesis 2 and the hypothesis of the rolling regression model of 3.The fifth part is empirical study and result analysis.The empirical analysis is based on the collected data.According to the income growth effect hypothesis interaction as an investor confidence and a substitute variable rate revenue growth rate for the current transaction volume as explanatory variables;Explanatory variables for consideration of the cash dividend stock returns;The control variable is the closing price,the transaction amount,market capitalization,total market capitalization and trading days,trading the number of shares,the market premium,SMB,HML,RMW,CMA.Through descriptive statistical analysis,correlation analysis,multiple regression analysis and T test of the sample data,the conclusion is:(1)effects of individual investors and institutional investors confidence is asymmetric.The current institutional investors and lagging confidence to predict a person investor confidence,but can not predict.permiting herding in the market of our country;(2)In the whole sample and return current investors lagged confidence to significantly affect the stock market,but the analysis of subdivision sample results are different and the full sample analysis results are different;(3)Investor confidence and the sensitivity of the attention of investors there is a certain relationship.The investor confidence sensitivity is higher,the higher the degree of attention of investors.The sixth part is the conclusion and policy recommendations.The conclusion of this paper is mainly based on the corresponding policy recommendations,such as policy making policy tendency should guide the improvement of market structure as the goal,to guide the pension insurance funds,housing provident fund and other long-term funds into the market;Encouraging the development of institutional investors,institutional investors to participate in securities trading;Individual investors to standardize operation etc..