我国期货市场投资者过度自信的实证研究

发布时间：2018-03-19 00:07

本文选题：行为金融学　切入点：过度自信　出处：《北京工商大学》2012年硕士论文　论文类型：学位论文

【摘要】：金融市场中出现的用现代金融学理论无法解释的“异象”一直是学术界研究的热点问题，然而，行为金融学对于两大传统假设的挑战（人的行为假设和有效市场竞争）为学者研究金融市场投资行为提供一个新视角。在中国期货市场蓬勃发展的背景下，为挖掘市场中出现的“异象”，以使投资者进行更加有效的投资决策及期货市场持续稳定发展，，本文以行为金融学理论中的过度自信理论为基础，以比较投资者的交易次数为切入点，首先运用统计学方法按投资者的交易次数进行分组，其次根据分组分析所得结论，用统计学方法、R/S分析法、GARCH模型和流动性比率的方法对交易量、市场效率、波动性和市场流动性所产生的影响进行实证研究，得出以下主要结论：第一，投资者过度自信程度与交易次数呈倒“U”型曲线关系，并在此结论基础上，得出初入期货市场的投资者大部分都存在过度自信心理，只有小部分投资者过度自信心理不明显；并且在整个期货市场不景气的情况下，投资者可以通过减少过度自信心理使损失（盈利）控制在最小（大）范围内。第二，过度自信心理的形成具有时间性，并且在市场上升和下降趋势中，投资者过度自信具有不对称性。第三，过度自信对市场的影响表现为：使交易量增加，收益减少；使市场效率下降；使市场波动加大；对市场流动性的影响不明显。第四，某种程度的过度自信能够在市场中存活。最后，本文以实证结果为基础，从投资者自身能力的认识、专业知识和交易策略的提升、交易心态的培养及相关机构培训指导的角度提出对策建议。这对投资者树立理性投资理念，减少盲目投资，从实质上保证我国期货市场的稳定健康发展具有一定的指导意义。
[Abstract]:The "abnormal vision" which can not be explained by modern financial theory in financial market has been a hot topic in academic research, however, The challenge of behavioral finance to two traditional hypotheses (human behavior hypothesis and efficient market competition) provides a new perspective for scholars to study financial market investment behavior. In order to excavate the "abnormal vision" in the market, in order to make the investors make more effective investment decision and the futures market develop steadily, this paper bases on the theory of overconfidence in the behavioral finance theory. In order to compare the trading times of the investors, the paper first uses the statistical method to group the investors according to the number of trades, and then according to the conclusion of the grouping analysis, The GARCH model and liquidity ratio are used to study the effects of trading volume, market efficiency, volatility and market liquidity. The main conclusions are as follows:. First, the degree of investor overconfidence is inversely "U" curve with the number of trades, and on the basis of this conclusion, it is concluded that most investors entering the futures market have overconfidence psychology. Only a small number of investors are not overconfident; and when the futures market as a whole is depressed, investors can keep losses (profits) to a minimum by reducing overconfidence. Second, The formation of overconfidence psychology is time-dependent, and in the upward and downward trend of the market, investor overconfidence has asymmetry. Third, the influence of overconfidence on the market is as follows: increase the trading volume and decrease the return; Reduce the efficiency of the market; increase the volatility of the market; the impact on market liquidity is not obvious. 4th, some degree of overconfidence can survive in the market. Finally, on the basis of empirical results, this paper, from the understanding of investors' own ability, professional knowledge and trading strategy, The training of the trading mentality and the training guidance of related institutions have some guiding significance for investors to set up rational investment concept, reduce blind investment and ensure the stable and healthy development of China's futures market in essence.
【学位授予单位】：北京工商大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F724.5

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