摘 要：传统金融学认为，投资者是理性的，投资者的情绪对股票收益是不具影响的，然而实际情况确并非如此。由于投资者进行投资决策时容易受到情绪、情感等因素的影响，常常因为非理性的投资行为导致股价的异常波动。因此，本文将展开投资者情绪对股票收益影响的研究，通过两者变化的相关性，解释我国股市异象，进一步促使投资者能够更为理性化的进行投资。本文通过选取《股市动态分析》发布的历年短中期好淡指数与上海证券交易所公布的相对应的上证综合指数进行综合分析，然后建立两者相关数据模型，最后确定投资者情绪与股票收益两者之间的关系。实证结果发现，投资者情绪的起伏变化与股票收益的变化大体一致，并且中期期投资者情绪对股票收益的作用影响相对于短期投资者情绪更为明显。92083

毕业论文关 键 词：投资者情绪,股票收益,好淡指数,上证综指

Abstract：The traditional finanace holds that all the investors are rational and their sentiments

are not influential to stock returns。 However, it’s actually not the case。 Effected by the moods, feelings and some other factors, when investors make investment decisions, the irrational investment decisions usually lead to abnormal fluctuations in share prices。 Hence, this paper will do a research on the effects of investor sentiments to stock returns。 According to the correlation of the change, the abnomal fluctuation in Chinese stock market will be explained, and then help the invstors to invset in a more rational way。 In this article, through selecting the stock market dynamic analysis of calendar year short mid-term good release light index and released by the Shanghai stock exchange comprehensive analysis corresponding to the Shanghai composite index,then set up the relevant data model, and finally determine the relationship between inveator sentiments and stock returns。 The result shows that the ups and downs of the invstor sentiments go almost the same with that of stock returns。 And it is more obvious for medium 

term investors than short term investors。 

Keywords:investor sentiments,stock returns,behavioral finance,shanghai composite index 

目 录

1引言 3

1。1研究背景 3

1。2研究意义 4

2相关理论 5

2。1传统金融学理论 5

2。2行为金融学理论 5

3投资者情绪定义与指标 6

3。1投资者情绪概念 6

3。2投资者情绪度量 6

4投资者情绪对上证股票收益率影响研究 7

4。1变量选择和描述 7

4。1。1投资者情绪指标的选择和介绍 7

4。1。2股票收益率度量指标的抉择和确定 7

4。2样本选择与数据来源 8

4。3实证研究结果与分析 8

4。3。1描述性统计 8

4。3。2数据的平稳性检验 11

4。4模型建立 11

4。4。1模型介绍 11

4。4。2模型和滞后阶数的确定 12

4。5实证结果与分析 12