摘要2009年10月，深圳证券交易所创业板开板，为具有高成长性和高风险性的企业提供了重要融资途径，也为风险投资和私募投资提供了更为灵活的退出机制。然而创业板开板三年以来却饱受“三高”现象的困扰，专家学者对其进行的实证研究也大多局限于标准金融理论。本文受行为金融学的启发，从投资者情绪方面入手，使用主成分分析法构造出综合情绪指数，再通过VAR模型和格兰杰因果检验，揭示投资者情绪与我国创业板市场收益率之间的互动关系，并试图发掘导致创业板金融异象的重要原因，同时给出相应的政策建议。65952

毕业论文关键词 ：创业板，投资者情绪，收益率 

      毕 业 论 文 外 文 摘 要

Title  : Empirical Study on Investor sentiment and Stock Return    Of China GEM                                  

Abstract

In 2009 October，the GEM(Growth Enterprise Market) of Mainland China was opened in Shenzhen Stock Exchange. It provides important financing channels for those enterprises with both high growth speed and high risk，as well as a more flexible exit mechanism for venture capital and private investment. However, not long before its third anniversary, the GEM has been confused by the phenomenon known as “three high” , namely: the high issue price, high price-earnings ratio, superb raise funds, and most of the studies on “three high” are restricted to the traditional finance theory. Inspired by the behavior finance theory, this paper starts with the investor sentiment, using principal component factor analysis to construct a composite index. Then we analyze the relationship between investor sentiment and stock market return rate through VAR model and Granger causality Tests. Based on the empirical study, we try to find the reasons of the anomalies and suggestions will be made to improve the China GEM.

Keywords：GEM    Investor Sentiment    Stock Return

目 次

1  引言 1

1.1 研究背景 1

1.2 研究意义及论文结构 1

1.3 论文创新点 2

2  文献回顾 2

3  中国创业板发展概况与统计分析 4

3.1 创业板发展概况 4

3.2 发行价统计 5

3.3 募集资金统计 6

3.4 市盈率统计 7

3.4.1 创业板企业发行市盈率统计 7

3.4.2创业板与国内其他资本市场市盈率走势比较 8

4  投资者情绪指标构建 8

4.1 变量选取 8

4.2 样本数据的来源与收集 9

4.3 投资者情绪代理变量数据处理 10

4.4 构建投资者情绪指标 10

4.4.1 变量平稳性检验 10

4.4.2 运用主成分分析法构建投资者情绪指标 11

5  投资者情绪与股市收益互动关系实证研究 13

5.1 描述性统计 13

5.2 运用VAR模型分析投资者情绪与创业板收益互动关系