中国商品期货市场对海外市场过度反应的实证研究

发布时间：2018-03-26 14:51

本文选题：过度反应　切入点：有色金属期货　出处：《上海交通大学》2013年硕士论文

【摘要】：本文研究了中国上海期货交易所的有色金属期货对伦敦金属交易所的过度反应，主要研究铜，铝，锌三个期货品种。我们首先分析了造成商品期货市场过度反应的心理学原因，机构投资者与个人投资者各自的认知偏差反应到了他们的投资决策中，从而造成了过度反应。另外，期货市场的一些固有交易机制更是加强了过度反应的程度。在实证部分，我们首先证明了伦敦市场的铜，铝和锌的价格变动，即收益率的确对上海市场存在引导作用。其次，我们进一步发现在引导的过程上海市场对伦敦的信息存在过度的反应。铜期货在早期对伦敦市场存在过度反应，，但是2007年后市场变得更为有效，这种现象不在存在。铝期货和锌期货均存在一定程度的过度反应，以此构造的投资策略能获得显著的正收益。
[Abstract]:In this paper, the overreaction of nonferrous metal futures in Shanghai Futures Exchange to London Metal Exchange is studied, and three futures varieties, copper, aluminum and zinc, are studied. We first analyze the psychological causes of overreaction in the commodity futures market. The cognitive bias of institutional investors and individual investors is reflected in their investment decisions, which results in overreaction. Some of the futures market's inherent trading mechanism is to strengthen the degree of overreaction. In the empirical part, we first prove that the price changes of copper, aluminum and zinc in the London market, that is, the yield does have a leading role in the Shanghai market. We further found that the Shanghai market overreacted to London's information in the guided process. Copper futures overreacted to the London market in the early stages, but after 2007 the market became more efficient. This phenomenon does not exist. Aluminum futures and zinc futures both have a certain degree of overreaction, thus the investment strategy can obtain a significant positive return.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

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