基于异质投资者非理性心理的黄金期货价格研究

发布时间：2018-01-03 17:31

本文关键词：基于异质投资者非理性心理的黄金期货价格研究　出处：《青岛大学》2012年硕士论文　论文类型：学位论文

【摘要】：黄金具有三重属性：商品属性、货币属性和金融属性,黄金的三重属性决定了黄金期货既是一种商品期货,也是一种金融期货。近年来,黄金价格强劲上扬,至2011年9月黄金价格达到了迄今为止的最高价1895美元／盎司,形成单边上扬的形式。随着国际黄金价格的上涨,各国政府对黄金市场的关注提高。由于我国政府对期货市场稳定发展的重视,我国实务界和理论界对黄金市场的关注也逐渐提高。影响金价的因素很多,黄金的生产者和投资者都难以准确预测未来的金价走势。因而对各种影响黄金价格的因素进行研究具有重要意义。其中心理因素是不容忽视的影响因素。在黄金市场中,黄金期货占据举足轻重的地位,对黄金价格有发现功能,而期货市场又是心理因素直接发挥作用的场所,因而本文研究投资者非理性心理对黄金期货价格的影响。本文研究了投资者过度自信和锚定的两种非理性心理对黄金期货价格及其波动率和投资者效用的影响。将黄金期货市场的交易者分为投机者和套利者进行分析,构造了一个关于期货价格决定的市场均衡模型,分别分析了过度自信心理和锚定心理两种非理性心理对黄金期货市场上的投机者和套利者两大主体交易行为的影响。并分别导出两大主体在过度自信心理和锚定心理影响下的决策函数,然后根据市场出清得到市场出清时黄金期货的价格,并据此分析了过度自信心理和锚定心理对黄金期货价格及其波动率以及投资者效用的影响,得到了比前人更贴近现实的结论,前人的研究单纯的认为过度自信会发大交易量,而锚定心理会造成交易量的减少,由于本文的研究将投资者分为投机者和套利者,对于套利者的分析结论与前人是相吻合的,关于投机者,得到的结论则是：只有在投机者做多时,且市场上出现好消息和投机者做空且市场上出现坏消息时,投机者的过度自信程度越高,交易量才会越大；当黄金期货市场上出现的消息使得投机者正向调整期货合约价格的锚定值时,投机者的锚定心理会使得做空的交易量增加,做多的交易量减少；当黄金期货市场上出现的消息使得投机者负向调整期货价格的锚定值时,投机者的锚定心理会使得做多的交易量增加,做空的交易量减少。文章运用模拟的方法验证了结论。
[Abstract]:Gold has three attributes: commodity property, monetary attribute and financial attribute. The triple attribute of gold determines that gold futures is not only a commodity futures, but also a kind of financial futures. In recent years, gold price has risen strongly. By September 2011, gold had reached its highest price to date of $1, 895 per ounce, forming a unilateral upswing. With the rise of international gold prices. Due to the attention paid by our government to the stable development of the futures market, the attention of the practical and theoretical circles of our country to the gold market has gradually increased. There are many factors that affect gold prices. It is difficult for gold producers and investors to predict the future trend of gold price accurately. Therefore, it is of great significance to study various factors affecting gold price. Psychological factors are the influential factors which can not be ignored in gold. In the market. Gold futures play an important role in the discovery of gold prices, and the futures market is a place where psychological factors play a direct role. Therefore, this paper studies the influence of investors' irrational psychology on gold futures price. This paper studies the influence of two kinds of irrational psychology of investor overconfidence and anchoring on gold futures price, volatility and investor utility. The traders in gold futures market are divided into speculators and arbitrages. . A market equilibrium model for the determination of futures price is constructed. This paper analyzes the influence of two irrational psychology of overconfidence and anchoring on the trading behavior of speculators and arbitrages in the gold futures market. Decision function under psychological influence. Then according to the market clearing to get the price of gold futures, and based on the analysis of overconfidence and anchoring psychology on the price of gold futures and volatility, as well as the utility of investors. We get the conclusion that it is closer to the reality than the predecessors. The previous studies simply believe that overconfidence will lead to a large volume of trading, and anchoring psychology will lead to the reduction of trading volume. As investors are divided into speculators and arbitrages in this paper, the conclusion of the analysis of arbitrage is consistent with the previous ones, and the conclusion about speculators is that only when speculators are long. And when there is good news in the market and speculators short and bad news in the market, the higher the degree of overconfidence of speculators, the greater the transaction volume will be; When the news in the gold futures market makes the speculators adjust the anchor value of the futures contract price, the psychology of the speculators will increase the short trading volume and reduce the long trading volume. When the news in the gold futures market causes speculators to adjust the anchoring value of futures prices negatively, the psychology of speculators' anchoring will increase the volume of long trading. The trading volume of short-selling is reduced. The conclusion is verified by the method of simulation.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.94;F713.35;F224

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