股价波动物质风险的投资者行为效应研究
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摘要
股票市场功能的发挥依赖股票价格这一市场信号的变动,并以此来引导并调节金融资源乃至经济社会资源的配置。随着经济金融化的不断发展,由金融资产价格风险波动所引起的经济波动便不断引起人们的普遍关注及研究兴趣。一方面由于中国股票市场是政府行为和政策推动下的制度变迁产物,因此中国股票市场存在着制度供给不足、制度安排缺陷以及市场投资者不成熟等诸多问题,这些导致了中国股市的市场价格波动频繁、波动幅度大；另一方面金融市场的实践不断证明股票价格风险波动不仅受到市场风险制约,而且随着资本市场和金融经济环境的变化,股价特质风险(idiosyncratic risk)通过影响股票截面资产收益而能够产生对总体股价波动水平的决定影响作用。本文的研究将从特质风险角度来研究股票价格风险波动的原因,并且利用投资者行为效应以及信息不确定性来分析股价特质风险的静态与动态变化,对其做出解释,从中得出特质风险所具有的特性规律。本文的具体研究内容包括：
本文首先系统的对股价风险波动、特质风险以及相关的投资者行为理论进行了国内外研究的文献综述,在此基础上提出了本文的研究思路、研究方法以及全文的写作结构及总体安排。
其次,文章阐述了股票价格的定价原理,股价风险波动和特质风险形成的影响。在CAPM定价模型的基础上,本文对非完全市场条件下的股票资产收益进行了模型分析。在股价特质风险的条件下,文章又对股价偏差及股价泡沫的相关投资者行为变化做出了理论分析。本文对投资者行为理论的研究基础是围绕着市场信息对投资者认知与投资心理、行为的影响而建立的。
第三,本文从动态与混合理性的角度,详细论述了投资者行为与股票价格风险波动的变动关系。在对特质风险与投资者行为理论分析的前提下,本文在这一部分中详细介绍并论述了本文实证分析所需用到的理论分析方法。这包括：(1)股价波动的波动效应因子分解分析方法；特质风险的投资者行为效应模型。(2)股价波动成分的分解与估计；特质风险经验性替代指标的计算方法。(3)股票资产行业内波动成分的计算方法。以及(4)三因素定价模型的构建和时变β系数的估计处理方法。
第四,本文参考并改进了CLMX(2001)的方法,计算获得了我国股票市场股票资产组合的各波动成分的时序数据。通过对各波动成分进行统计描述和对比分析,本文发现股价特质风险是各波动成分中波幅最大的风险变化因素,特质风险是股价风险波动(特别是非理性、异常波动)的主要风险来源。文章运用时间序列模型描述了市场风险和特质风险的波动变化规律；运用GARCH系列模型专门实证分析了特质风险的动态变化和波动效应。实证检验和分析的结果表明,股价特质风险受到了股市投机性交易行为的作用影响,在特质风险与投资者行为效应之间存在着真实的内在联系。
第五,本文运用因子分解的方法对我国股票市场的股价波动效应进行了分解分析,从股价波动的信息中分离出货币政策冲击效应、股价变动惯性效应、投资者行为效应以及随机动效应。借此对我国股票价格风险波动的非理性特征给予更合理的解释。文章利用SVAR模型实证模拟了股价市场波动与投资者行为效应的均衡、互动关系。同时本文根据特质风险与投资者行为效应间的数量关系,利用误差修正模型(VEC)实证分析了特质风险与投资者行为效应的短期互动及长期均衡关系。在特质风险行为效应的研究基础上,本文进一步推进了Dennis and Strickland(2004)的研究,文章运用Panel数据模型等方法对股票特质风险和系统风险的投资者行为效应做了多角度的差异分析。
最后,通过理论和实证分析,本文系统归纳和总结了全文的研究结论,文章从金融理论发展和资本市场建设实践的角度分别给出了本文的一些对策建议。希望本文的研究结论和对策建议能对加强股价风险波动的研究；改善资本市场投资环境建设,进行必要的制度创新；实现我国资本市场的功能完善与可持续发展均能起到积极的借鉴作用。
The functions of stock market work relying on the market signals from the stock price changes, to guide and regulate the financial, economic and social resources allocation being also need of these information. With the continuous development of economy financial, the risks of financial asset price volatility have absorbed widespread concerns and research interests for causing economy fluctuations. On one hand, being driven by the actions and policy changes of the governments, so Chinese stock markets are facing these issues such that being short in system supplies, institutional arrangement and full of immature market investors. All that led the market price to frequent and large fluctuations in Chinese stock markets; On the other hand, with the capital markets and financial environment changes, the financial markets continuously demonstrate the fact that the risk of stock price volatility not only constrained by market risk, but also determined by idiosyncratic risks which could affect the cross-section return of stock assets and thus would influence the overall volatility of stock prices. This paper had researched the reasons for risk of stock price volatility from taking a perspective of idiosyncratic risk, and had analyzed the static and dynamic changes of idiosyncratic risk by using the determinants of investor behavior effects and information uncertainty. In the research, the paper had a detailed explanation for idiosyncratic risk and obtained the characteristic law of idiosyncratic risk after dissertation. The specific contents of the paper include:
Firstly, the paper had a literature review for domestic and foreign researches in the fields of stock price volatility, idiosyncratic risk and investor behavior theory related. On the basis of literature surveys, the paper put forward its research thoughts, research methods, writing structure and overall arrangement for full paper.
Secondly, the paper described the principle of stock pricing, stock price volatility and influences taken from idiosyncratic risk. Basing on CAPM model, the paper had made a model analysis of stock return on condition of incomplete markets. Under the conditions of idiosyncratic risk, the paper further had taken theoretical analysis of investor behavior in related to stock price deviation and stock price bubble. In the studies of the paper, the theoretical study basis of investor behavior was established upon the impact on investor perspective, psychology and behavior initialed from market information.
Thirdly, assuming the dynamic and mixed rational investment attitude, the paper gave a detailed discussion on the relationships between investor behavior and stock price volatility changes. Under the premise of theoretical analysis of idiosyncratic risk and investor behavior, the paper set forth the empirical analysis methods used in this paper. Those include:(1) Factor decomposition analysis of stock price volatility effects; Investor behavior effects model of idiosyncratic risk. (2) Decomposing of stock price volatility and estimating of various volatility components; Calculating of empirical proxy for idiosyncratic risk. (3) The calculating method of stock price volatility components within an industry. (4) Setting up three-factor pricing model and processing approach of estimating time-varyingβcoefficient.
Fourthly, referring and improving the method of CLMX (2001), the paper decomposed stock portfolio price volatility components and acquired data for those time series variables. Through statistical description and comparative analysis, the paper found that idiosyncratic risk is the biggest risk component in stock price volatility variables, idiosyncratic risk is the main risk source of stock price fluctuations (in particular, irrational and abnormal fluctuations). The paper described the risk characteristics of market volatility and idiosyncratic risk with using the time series models; and empirically analyzed the dynamic changes and volatility effects of idiosyncratic risk with GARCH models. The results of empirical tests and analysis showed that idiosyncratic risk is being affected by stock market speculating trades, and there is a real internal relationship between them.
Fifthly, this paper applied the method of factor decomposition to analyze stock price volatility effects, to decompose monetary policy effects, cluster effect of stock price volatility, investor behavior effects and random effects from the information of stock price volatilities. Based on the results, the paper had given a more reasonable explanation for irrational features of price volatility in Chinese stock market. In use of SVAR model, the paper empirically simulated the equilibrium and interactive relationship between market volatility and investor behavior effects. At the same time, on the basis of quantitative relationship between idiosyncratic risk and investor behavior effects, the paper gave an empirical analysis of short-term interaction and long-term equilibrium relationships between the two types of variables by using error correction model (VEC). On researching investor behavior effects model of idiosyncratic risk, the paper furthered Dennis and Strickland (2004)'s study. With employing Panel data models, a multi-angle of difference analysis was executed on investor behavior effects belong to idiosyncratic risk and systematic risk in the stock price volatility.
Finally, at the end of theoretical and empirical analysis, the paper summarized the conclusions for research results, and gave some suggestions for the developments of financial theory and practices of developing Chinese capital markets. The research conclusions and suggestions were aimed at providing a positive reference for improvement in studies of stock price volatilities; bettering the investment environments of Chinese capital markets; carrying out necessary institutional innovations; and achievement for maturity and sustainable development of Chinese capital markets.
本文首先系统的对股价风险波动、特质风险以及相关的投资者行为理论进行了国内外研究的文献综述,在此基础上提出了本文的研究思路、研究方法以及全文的写作结构及总体安排。
其次,文章阐述了股票价格的定价原理,股价风险波动和特质风险形成的影响。在CAPM定价模型的基础上,本文对非完全市场条件下的股票资产收益进行了模型分析。在股价特质风险的条件下,文章又对股价偏差及股价泡沫的相关投资者行为变化做出了理论分析。本文对投资者行为理论的研究基础是围绕着市场信息对投资者认知与投资心理、行为的影响而建立的。
第三,本文从动态与混合理性的角度,详细论述了投资者行为与股票价格风险波动的变动关系。在对特质风险与投资者行为理论分析的前提下,本文在这一部分中详细介绍并论述了本文实证分析所需用到的理论分析方法。这包括：(1)股价波动的波动效应因子分解分析方法；特质风险的投资者行为效应模型。(2)股价波动成分的分解与估计；特质风险经验性替代指标的计算方法。(3)股票资产行业内波动成分的计算方法。以及(4)三因素定价模型的构建和时变β系数的估计处理方法。
第四,本文参考并改进了CLMX(2001)的方法,计算获得了我国股票市场股票资产组合的各波动成分的时序数据。通过对各波动成分进行统计描述和对比分析,本文发现股价特质风险是各波动成分中波幅最大的风险变化因素,特质风险是股价风险波动(特别是非理性、异常波动)的主要风险来源。文章运用时间序列模型描述了市场风险和特质风险的波动变化规律；运用GARCH系列模型专门实证分析了特质风险的动态变化和波动效应。实证检验和分析的结果表明,股价特质风险受到了股市投机性交易行为的作用影响,在特质风险与投资者行为效应之间存在着真实的内在联系。
第五,本文运用因子分解的方法对我国股票市场的股价波动效应进行了分解分析,从股价波动的信息中分离出货币政策冲击效应、股价变动惯性效应、投资者行为效应以及随机动效应。借此对我国股票价格风险波动的非理性特征给予更合理的解释。文章利用SVAR模型实证模拟了股价市场波动与投资者行为效应的均衡、互动关系。同时本文根据特质风险与投资者行为效应间的数量关系,利用误差修正模型(VEC)实证分析了特质风险与投资者行为效应的短期互动及长期均衡关系。在特质风险行为效应的研究基础上,本文进一步推进了Dennis and Strickland(2004)的研究,文章运用Panel数据模型等方法对股票特质风险和系统风险的投资者行为效应做了多角度的差异分析。
最后,通过理论和实证分析,本文系统归纳和总结了全文的研究结论,文章从金融理论发展和资本市场建设实践的角度分别给出了本文的一些对策建议。希望本文的研究结论和对策建议能对加强股价风险波动的研究；改善资本市场投资环境建设,进行必要的制度创新；实现我国资本市场的功能完善与可持续发展均能起到积极的借鉴作用。
The functions of stock market work relying on the market signals from the stock price changes, to guide and regulate the financial, economic and social resources allocation being also need of these information. With the continuous development of economy financial, the risks of financial asset price volatility have absorbed widespread concerns and research interests for causing economy fluctuations. On one hand, being driven by the actions and policy changes of the governments, so Chinese stock markets are facing these issues such that being short in system supplies, institutional arrangement and full of immature market investors. All that led the market price to frequent and large fluctuations in Chinese stock markets; On the other hand, with the capital markets and financial environment changes, the financial markets continuously demonstrate the fact that the risk of stock price volatility not only constrained by market risk, but also determined by idiosyncratic risks which could affect the cross-section return of stock assets and thus would influence the overall volatility of stock prices. This paper had researched the reasons for risk of stock price volatility from taking a perspective of idiosyncratic risk, and had analyzed the static and dynamic changes of idiosyncratic risk by using the determinants of investor behavior effects and information uncertainty. In the research, the paper had a detailed explanation for idiosyncratic risk and obtained the characteristic law of idiosyncratic risk after dissertation. The specific contents of the paper include:
Firstly, the paper had a literature review for domestic and foreign researches in the fields of stock price volatility, idiosyncratic risk and investor behavior theory related. On the basis of literature surveys, the paper put forward its research thoughts, research methods, writing structure and overall arrangement for full paper.
Secondly, the paper described the principle of stock pricing, stock price volatility and influences taken from idiosyncratic risk. Basing on CAPM model, the paper had made a model analysis of stock return on condition of incomplete markets. Under the conditions of idiosyncratic risk, the paper further had taken theoretical analysis of investor behavior in related to stock price deviation and stock price bubble. In the studies of the paper, the theoretical study basis of investor behavior was established upon the impact on investor perspective, psychology and behavior initialed from market information.
Thirdly, assuming the dynamic and mixed rational investment attitude, the paper gave a detailed discussion on the relationships between investor behavior and stock price volatility changes. Under the premise of theoretical analysis of idiosyncratic risk and investor behavior, the paper set forth the empirical analysis methods used in this paper. Those include:(1) Factor decomposition analysis of stock price volatility effects; Investor behavior effects model of idiosyncratic risk. (2) Decomposing of stock price volatility and estimating of various volatility components; Calculating of empirical proxy for idiosyncratic risk. (3) The calculating method of stock price volatility components within an industry. (4) Setting up three-factor pricing model and processing approach of estimating time-varyingβcoefficient.
Fourthly, referring and improving the method of CLMX (2001), the paper decomposed stock portfolio price volatility components and acquired data for those time series variables. Through statistical description and comparative analysis, the paper found that idiosyncratic risk is the biggest risk component in stock price volatility variables, idiosyncratic risk is the main risk source of stock price fluctuations (in particular, irrational and abnormal fluctuations). The paper described the risk characteristics of market volatility and idiosyncratic risk with using the time series models; and empirically analyzed the dynamic changes and volatility effects of idiosyncratic risk with GARCH models. The results of empirical tests and analysis showed that idiosyncratic risk is being affected by stock market speculating trades, and there is a real internal relationship between them.
Fifthly, this paper applied the method of factor decomposition to analyze stock price volatility effects, to decompose monetary policy effects, cluster effect of stock price volatility, investor behavior effects and random effects from the information of stock price volatilities. Based on the results, the paper had given a more reasonable explanation for irrational features of price volatility in Chinese stock market. In use of SVAR model, the paper empirically simulated the equilibrium and interactive relationship between market volatility and investor behavior effects. At the same time, on the basis of quantitative relationship between idiosyncratic risk and investor behavior effects, the paper gave an empirical analysis of short-term interaction and long-term equilibrium relationships between the two types of variables by using error correction model (VEC). On researching investor behavior effects model of idiosyncratic risk, the paper furthered Dennis and Strickland (2004)'s study. With employing Panel data models, a multi-angle of difference analysis was executed on investor behavior effects belong to idiosyncratic risk and systematic risk in the stock price volatility.
Finally, at the end of theoretical and empirical analysis, the paper summarized the conclusions for research results, and gave some suggestions for the developments of financial theory and practices of developing Chinese capital markets. The research conclusions and suggestions were aimed at providing a positive reference for improvement in studies of stock price volatilities; bettering the investment environments of Chinese capital markets; carrying out necessary institutional innovations; and achievement for maturity and sustainable development of Chinese capital markets.
引文
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