中国期货市场个人投资者行为研究

发布时间：2018-01-08 07:01

本文关键词：中国期货市场个人投资者行为研究　出处：《西南财经大学》2013年博士论文　论文类型：学位论文

【摘要】：传统金融学的分析框架是建立在理性经济人假设的基础上的。事实上,大量的研究表明,现实中的投资者与传统金融模型假定的理性经济人之间存在着较大的差异,如他们更加倾向于持有非分散化的投资组合、交易得更加频繁以及投机色彩更为浓重等。正是因为这种现实与理论假设的不同促成了一个全新的学科——行为金融学的诞生。行为金融学将心理学尤其是行为科学的理论融入到金融学之中。它从微观个体行为以及产生这种行为的心理等动因来解释、研究和预测金融市场的发展。这一研究视角通过分析金融市场主体在市场行为中的偏差和反常,来寻求不同市场主体在不同环境下的经营理念及决策行为特征,力求建立一种能正确反映市场主体实际决策行为和市场运行状况的描述性模型。从这个角度说,行为金融学的研究重点就在于对投资者的行为模式进行系统和科学的分析。目前,已有的研究通过调查问卷、宏观代理变量以及可控的金融学实验等方法对投资者在金融市场上表现出的各种行为模式进行了研究。然而,由于这些研究均使用间接的方法来分析投资者的行为特征,并不能很好的反映投资者在面对市场信息和投资约束条件下的真实情况,因此存在一定的局限性。Lewellen, Lease and Schlarbaum (1977)第一次使用了来自于证券公司的个人投资者的详细操作记录对投资者的投资策略以及个体特征进行了分析,特别是Odean (1998)的研究,使学术界重新认识了交易数据的优越性。这一数据的使用在很大程度上克服了上述研究的局限性,从而为个人投资者的相关研究开辟了新的试验田。从总体上看,投资者真实交易记录相较之前研究中所使用的方法具有如下优势：第一,之前的研究中往往使用诸如交易量、小市值股票收益率、交单的大小(trade-size)以及市场高频交易数据等作为个人交易者行为特征的代理变量。显然,这些代理变量远不如投资者的详细操作记录那样能够真实准确的反映个人投资者在资产选择与配置过程中的行为模式,因此具有非常严重的度量误差(Measurement Error);第二,传统的金融实验虽然能够记录在仿真状态下受试者的行为特征,但是由于受试者清楚的知道,这只是一次模拟实验,任何交易行为都不会给自己带来真正的损失,同样也不可能从这种交易中真正获利。所以,在实验中观测到的个人投资者的交易行为并不能真实的反映投资者交易动机,从这个角度看,投资者的详细操作记录在真实反映个人投资者行为方面具有不可比拟的优势。进入到21世纪,由于数据获取上的困难被突破,使用我国股票市场投资者交易记录进行的相关分析如雨后春笋般的发展起来。但是,与在股票市场和基金市场上取得的众多研究成果相比,有关期货市场投资者行为的研究却乏善可陈。然而,我们认为,期货市场作为最重要的衍生产品市场,由于其在交易机制和市场微观结构上的特殊性,风险性较股票和基金市场更高。在这种情况下,研究我国期货市场投资者的决策模型和行为偏差,可以帮助监管部门和期货交易所制定更为有效的规则以更好的保护投资者的权益。基于这种考虑,本文使用我国一个大型期货公司提供的2007年1月到2012年6月间8742个投资者的完整交易记录,通过统计描述和计量分析,识别期货投资者的决策模式和行为偏差,并在此基础上提出了加强投资者保护的政策建议。本文第一部分对目前国内外使用投资者交易数据进行的相关研究进行了较为系统的梳理,并指出了进一步研究的方向。同时,鉴于本文侧重研究我国期货市场的投资者,因此,在第二部分,我们对与本研究相关的诸如市场交易者的构成以及交易制度和合约要件等我国期货市场的微观结构进行了介绍。在第三部分,我们从投资者特征和期货品种特征两个角度对本文使用的数据进行了介绍。根据已有的研究,我们在第四部分对我国期货市场投资者表现出的处置效应进行了分析,并研究了处置效应的影响因素及福利效应。第五部分侧重研究了我国期货市场投资者的框架效应及其决定因素,并分析了框架效应和处置效应之间的关系。本文在最后部分对上述的分析进行了总结,并以此为基础提出来进一步加强投资者保护的建议。本文的主要结论及贡献如下： 1、目前,在针对中国期货市场投资者行为的研究方面,已有的定量研究均通过宏观数据的分析反向的推演出个人投资者的决策模式,但是这种方法在数据的代表性上存在明显的不足。本文使用的是期货市场投资者的真实交易记录,能够代表投资者在真实交易环境下的真实意思表示,在数据的使用方面具有创新性。 2、我们对期货市场投资者交易记录进行的统计分析表明：我国期货市场上97%的投资者为个人投资者,平均年龄为38岁,而在期货市场上的平均生存时间为1年8个月,足见期货交易的高风险性。另外,投资者中已经开始有通过程序控制的高频交易者,而且有76%的投资者曾经无意的表现出同时持有同一期货品种多头和空头的自愿做市商行为。此外,在期货品种的转换率上,金融期货高于工业期货品种,而工业期货品种又高于农产品期货。上述的这些发现使得我们第一次比较细致的了解我国期货投资者的特征以及所持期货品种的特征,是我国期货市场投资者研究的有益补充。 3、我们还第一次对我国期货市场上的处置效应进行了分析。我们发现,我国期货市场投资者普遍表现出处置效应,其强度是我国股票市场投资者处置效应的一半。在众多可能的影响因素中,我们的分析表明,投资者的经验对处置效应具有显著的抑制作用,而且,我们发现,投资者过长时间的持有亏损的仓位,而过快的兑现利润的交易行为会显著的降低其获利能力,因此是投资者的行为偏差。 4、在期货市场投资者行为的研究方面,我们还率先对投资者的框架效应进行了分析。我们发现,在我国期货市场上,投资者普遍的表现出狭义框架效应。同时,投资者的经验有助于降低狭义框架效应的强度。更为重要的是,这种狭义框架效应是投资者处置效应的重要来源,这一发现,为我们正确的认识处置效应并有效的降低处置效应的负面影响具有重要意义。
[Abstract]:The analysis framework of traditional finance theory is based on rational economic man assumption. In fact, a large number of studies show that there are great differences between the assumption of rational economic person in reality and the traditional model of financial investors, as they are more likely to hold non diversification portfolios, trading more frequently and speculative color is more dense. It is because of the reality and the theoretical hypothesis of different contributed to a new discipline -- the birth of behavioral finance. Behavioral finance psychology especially the theory of behavioral science into finance. It is from the individual behavior and the behavior of the psychological motivation to explain study, and predict the development of financial markets. The study from the perspective of financial market analysis by the deviation in the market behavior and abnormal for different market players in different rings Business philosophy and decision behavior environment, strive to establish a can correctly reflect the behavior and operation of the market situation the main market actual decision descriptive model. From this point of view, focus on the research of behavioral finance is analyzed and system science on investor behavior patterns.
At present, the existing research by questionnaire, macro proxy variable and controllable finance experimental methods to study patterns of behavior of investors in the financial market. However, because these studies have used indirect method to analysis the behavior characteristics of investors, and can't reflect the real situation of the investors in the face of market information and investment constraints, so there are some limitations of the.Lewellen, Lease and Schlarbaum (1977) is used for the first time from the securities company's individual investors with operating records to analyze the investment strategy for investors and individual characteristics, especially the Odean (1998) of the study, the academic circles again understanding the advantages of transaction data. Using this data to overcome the limitations of the research to a great extent, so as to individual investors related The research opens up a new experimental field. On the whole, investors real transactions compared to the previous methods used in the study has the following advantages: first, previous studies often use such as trading volume, small cap stock returns, the size of P (trade-size) and market high-frequency data as a proxy for behavior etc. The personal characteristics of traders. Obviously, these variables is far better than investors with operating records that can accurately reflect the true individual investors in the asset allocation in the process of selection and patterns of behavior, so it has very serious measurement error (Measurement Error); second, although the traditional financial experimental behavior can be recorded in the simulation condition the subjects, but the subjects know, this is only a simulation experiment, any transaction will not bring real loss Lost, also can't really benefit from this transaction. Therefore, the transaction behavior observed in experiments of individual investors can not reflect the real investor trading motives, from this perspective, investors with operational records reflect the behavior of individual investors in real terms has incomparable advantages.
In twenty-first Century, due to the difficulty of data acquisition is a breakthrough, developed by correlation analysis of China's stock market investors trading records such as bamboo shoots after a spring rain like. However, compared with other research results obtained in the stock market and fund market, the research of the futures market investors' behavior is not good. However, we believe that the futures market is the most important of the derivatives market, because of its particularity in the trading mechanism and market microstructure, the risk of the stock market and funds is higher. In this case, the decision model and the behavior deviation of investors in China futures market, futures exchange can help regulators and develop more effective the rules in order to better protection of the rights and interests of investors. Based on this consideration, this paper use a large Futures Company in China from January 2007 to June 2012 to provide The complete transaction records of 8742 investors are identified. Through statistical description and quantitative analysis, we identify future investors' decision-making mode and behavior bias, and on this basis, we put forward policy recommendations to enhance investor protection.
In the first part of this paper related research at home and abroad with investors transaction data were systematically combing, and pointed out the direction for further research. At the same time, in view of this paper focuses on the research of China's futures market investors, therefore, in the second part, the microstructure of us associated with this research such as market traders and the transaction system and the contract elements of China's futures market are introduced. In the third part, we from two angles of features and characteristics of futures investors using the data are introduced in this paper. Based on existing research, we in the fourth part of the investors in China's futures market shows are analyzed, and Study on the influence of disposition effect factors and welfare effects. The fifth part focuses on the framework of China's futures market investors and determinants The relationship between framing effect and disposition effect is also analyzed. In the last part, the above analysis is summarized, and on this basis, suggestions for further strengthening investor protection are put forward.
The main conclusions and contributions of this paper are as follows:
1, at present, in the research on investor behavior China futures market, have all of the quantitative research through the analysis of the macro data reverse inference decision-making model for individual investors, but this method has obvious shortcomings in the representation of the data. This paper use the futures market investors real transaction records, on behalf of investors the true meaning in the real trading environment that is innovative in the use of the data.
2, statistics of our futures market investors trading records analysis shows that China's futures market 97% of the investors for individual investors, the average age is 38, and the average survival time in the futures market for 1 years and 8 months, which shows the high risk of futures trading. In addition, investors have begun to have through the high-frequency traders program control, and 76% of investors was accidentally showed while holding the same futures bulls and bears the voluntary market maker behavior. In addition, the conversion rate of futures, financial futures higher than industrial futures, and futures industry is higher than the agricultural futures. These findings make we first compare the detailed understanding of the characteristics of China's futures and futures investors holding characteristics, is a useful complement to investors on China's futures market.
3, we are also the first of China's futures market on the disposal effect are analyzed. We found that investors in China futures market generally show the disposition effect, its strength is half of the investors in the stock market of China. Among the many factors that influence the possible, our analysis shows that investors experience for disposal the effect of inhibitory effect was also, we found that investors in long time have a losing trade, but excessive cash transaction profit will significantly reduce its profitability, therefore is investor behavior deviation.
4, in the study of the behavior of investors in the futures market, we also took the lead in the framing effect of investors are analyzed. We found that in our futures market, investors generally exhibit narrow framing effect. At the same time, investor experience helps to reduce the effects of narrow framework strength. More importantly, this narrow framing effect is an important source of investor's disposition effect, this discovery, for our correct understanding of the disposition effect and effectively reduce the negative influence of disposition effect has important significance.

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F724.5

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