基于动量效应的商品期货交易策略研究

发布时间：2018-01-06 14:00

本文关键词：基于动量效应的商品期货交易策略研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文以行为金融学中的动量效应为出发点,来研究适用于我国商品期货市场的动量交易策略。通过对不同观察期和持有期的投资组合进行对比分析,选择出具有最大超额收益的动量交易策略。在研究传统动量策略的同时,本文也对以“周“为时间周期的价格动量策略进行了初步探讨。本文选择了从2008年1月4日到2013年2月8日的交易区间,在市场回报率方面选取了文华商品指数作为参考,选择的期货品种覆盖了农产品和工业品中成交量最大的品种。通过将传统的动量交易策略应用在商品期货市场中,发现随着观察期和持有期的延长(以周为时间单位),动量交易策略的收益逐渐降低,而观察期和持有期均为一周的动量交易策略取得了最高的周平均收益。分析结果显示当持有期超过16周以后,将会出现明显的反转效应。接下来又研究了另外一种动量策略—价格动量策略,以移动平均线为基础,当短期均线上穿长期均线时价格具有向上的动量,而当短期均线下穿长期均线时价格具有向下的动量。通过对历史数据的分析,这种价格动量策略也可以取得很高的周平均收益。本文对两种动量策略的收益特点和来源做了一个初步的分析,认为传统动量交易策略不能用相对于股票市场的风险补偿来进行解释,而且该策略的收益与文化商品指数的收益负相关。从多头收益和空头收益率走势来看可以用投资者反应不足或者反应过度来进行解释。价格动量策略的收益来源于大型商品牛熊市带来的大型趋势行情和季节性因素导致的板块趋势行情,工业品由于跟宏观经济联系紧密,价格波动的周期较长,经常会出现长达1年多的大型趋势,但是板块趋势行情就较少。农业品受天气情况和自然条件的约束,供给和需求在一年内会发生有规律的变化,因此3-4个月的板块趋势行情就较为常见,而更长期的大型趋势行情就较少。本文主要有三方面的创新之处：第一,相对于以往研究期货市场动量效应和动量策略的文章,本文有更为全面和更新的交易数据,使得对动量策略的分析更加贴近实际。第二,本文在研究传统动量策略的同时,也研究了价格动量策略,并将二者的结果进行对比分析。第三,通过实证分析的结果,证明了商品期货市场中存在的一些规律和现象。
[Abstract]:Based on the momentum effect in behavioral finance, this paper studies the momentum trading strategies suitable for China's commodity futures market, and makes a comparative analysis of the portfolio of different observation periods and holding periods. The momentum trading strategy with maximum excess return is selected. While studying the traditional momentum strategy, this paper also preliminarily discusses the price momentum strategy with "week" as the time period. This paper selects the trading range from January 4th 2008 to February 8th 2013, and selects the Wenhua commodity index as the reference in terms of market return. The selected futures cover the largest trading volume of agricultural products and industrial products. The traditional momentum trading strategy is applied to commodity futures market. It is found that with the prolongation of the observation period and the holding period (week as the unit of time), the profit of momentum trading strategy decreases gradually. The momentum trading strategy with both observation period and holding period obtained the highest weekly average return. The results showed that when the holding period exceeded 16 weeks. Then we study another momentum strategy, price momentum strategy, which is based on moving average, and the price has upward momentum when the short-term average goes through the long-term average. The price has the downward momentum when the short-term moving average goes through the long-term moving average, and through the analysis of the historical data, the price momentum strategy can also obtain a very high weekly average income. This paper makes a preliminary analysis of the income characteristics and sources of the two momentum strategies, and concludes that the traditional momentum trading strategy cannot be explained by the risk compensation relative to the stock market. Moreover, the return of this strategy is negatively correlated with that of the cultural commodity index. The trend of long and short returns can be explained by the underreaction or overreaction of investors. The source of the revenue of the price momentum strategy. In large commodity bull bear market bring large trend market and seasonal factors caused by the plate trend market. Industrial products are closely linked to the macro economy, the cycle of price fluctuations is longer, often for more than a year of large-scale trends, but the plate trend market is less. Agricultural products are constrained by weather conditions and natural conditions. Supply and demand change regularly over the course of a year, so trend trends are more common in three to four months and fewer in larger trends over the longer term. There are three main innovations in this paper: first, compared with the previous research on momentum effect and momentum strategy of futures market, this paper has more comprehensive and updated trading data. Make the analysis of momentum strategy closer to the reality. Second, this paper studies the traditional momentum strategy, but also studies the price momentum strategy, and compares the results of the two. Third. Based on the results of empirical analysis, some laws and phenomena in commodity futures market are proved.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F724.5

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