基于行为金融学的证券市场价格日内N形漫步研究

发布时间：2018-06-06 20:18

本文选题：行为金融学 + N形漫步　；参考：《中南大学》2012年博士论文

【摘要】：由于证券市场的稳定对国家经济发展至关重要,而市场的稳定跟市场参与者的金融行为息息相关.因此,透过对市场参与者金融行为的了解,有助于建构一个更稳定、更有效率、更透明及更公平的市场. 本研究利用2001年至2010年道琼指数,日经225指数,香港恒生指数,台湾股价加权指数,伦敦金融时报指数及上证指数的统计分析,归纳显示,依市场不同,分别有将近60%至90%的交易日里,市场日内价格是呈现N形漫步,并非随机漫步,针对此一现象,本研究试图解答几个问题： 1.形成N形漫步的可能金融行为是什么?其形成过程机理又是如何? 2.N形漫步是否反映着一种市场内部的稳定机制?不同的交易者结构是否会有不同的稳定性? 本文以台湾指数期货2007年至2009年的一分钟高频交易数据,对市场的N形漫步现象的价格行为特性加以分析,然后利用前景理论的框定效应,锚定效应和处置效应,结合预期落差反应作为交易者的金融行为的假设前提,来推论其行为与N形漫步的关系,并进行实证与模拟；另一方面,以”市场风险管理机制”的作用,以及”追求相对投资绩效”的动机,来解释N形漫步背后的机构交易者的金融行为,并解析其机理过程.并探讨机构交易者比重较大是否为市场带来更大的稳定性；同时,也基于N形漫步现象,建构若干交易策略,对其是否可获得超额报酬进行了实证. 研究结果显示N形漫步现象的形成,跟市场参与者的金融行为有密切关系.框定效应,锚定效应,处置效应及价格预期落差反应对N形漫步的形成有显着的作用；此外,机构交易者的市场风险管理机制及追求相对投资绩效的动机,也对N形漫步的形成有一定的强化作用；N形漫步也代表着一种市场内部的稳定机制,机构交易者的比重较大的市场,其市场日内的稳定性也较高. 本研究对市场日内N形漫步背后的金融行为提出新的观点,并对机构交易者的日内交易行为提出新的制约条件；同时,就市场日内稳定性提出新的观点：N形漫步是市场参与者的金融行为互动下的一种内部稳定作用的现象,机构交易者比重越大的市场,其日内稳定性越高。
[Abstract]:Because the stability of the securities market is very important to the national economic development, and the stability of the market is closely related to the financial behavior of the market participants. Therefore, an understanding of the financial behaviour of market participants will help to build a more stable, efficient, transparent and fair market. This study uses the Dow Jones Index, the Nikkei 225 Index, and the Hang Seng Index of Hong Kong from 2001 to 2010. The statistical analysis of the Taiwan Stock Price weighted Index, the London Financial Times Index and the Shanghai Stock Exchange Index shows that, depending on the market, there are nearly 60% to 90% of the trading days in which the market prices are N-shaped strolls, not random strolls. In view of this phenomenon, this study tries to answer several questions: 1. What is the possible financial behavior that forms the N-shaped stroll? What is the mechanism of the formation process? 2. Does the N-shape walk reflect a kind of stability mechanism within the market? Will different trader structures have different stability? this paper analyzes the price behavior characteristics of N-shaped walk in the market based on the one-minute high-frequency trading data of Taiwan index futures from 2007 to 2009. Then using the frame effect, anchoring effect and disposal effect of foreground theory, combining the expected drop reaction as the hypothesis premise of the trader's financial behavior, we infer the relationship between the behavior and N-shaped walk, and carry on the demonstration and simulation; on the other hand, Based on the function of "market risk management mechanism" and the motivation of "pursuing relative investment performance", this paper explains the financial behavior of institutional traders behind N-shaped stroll and analyzes its mechanism process. At the same time, based on the phenomenon of N-shaped walk, we construct some trading strategies, and discuss whether the larger proportion of institutional traders will bring greater stability to the market. The results show that the formation of N-shaped walk phenomenon is closely related to the financial behavior of market participants. Framing effect anchoring effect disposal effect and price expectation drop reaction have a significant effect on the formation of N-shaped stroll. In addition institutional traders' market risk management mechanism and the motivation to pursue relative investment performance. It also has a certain strengthening effect on the formation of N-shaped stroll. N-shaped stroll also represents a kind of stability mechanism within the market, a market with a large proportion of institutional traders. This study puts forward a new viewpoint on the financial behavior behind the N-shaped walk in the market day, and puts forward new constraints on the intraday trading behavior of institutional traders; at the same time, This paper puts forward a new viewpoint on intraday stability of the market. It is a phenomenon of internal stability under the interaction of financial behavior of market participants. The larger the proportion of institutional traders is, the higher the intraday stability is.
【学位授予单位】：中南大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F224;F830.91

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