外汇保证金交易的动量和反转效应研究

发布时间：2018-07-02 21:21

本文选题：外汇保证金 + 动量效应　；参考：《天津财经大学》2014年硕士论文

【摘要】：外汇保证金在全球范围内都是一种顶级投资产品,但在我国国内外汇保证金仍处于非阳光化阶段。目前,一方面随着我国金融改革的推进,特别是汇率改革的不断深入,人民币资本项目自由兑换终将到来,另一方面我国个人外汇投资需求的不断增大和国外外汇中介机构对国内市场的跃跃欲试,供需两方面的因素导致外汇保证金势必会重新解禁,并且会再次受到投资者的追捧而焕发新的活力。鉴于此种形势,对外汇保证金投资的投资策略进行相应研究以便为投资者提供行之有效的投资建议变的很有必要,同时,根据外汇保证金价格变动中的特点对我国进行外汇保证金市场的建设和监督管理进行前瞻性的思索和研究也十分有意义。文中采用理论分析和实证分析相结合的方法来研究外汇保证金交易的动量效应和反转效应,首先在行为金融理论角度分析了投资过程中存在的动量效应和反转效应,揭示了两种效应存在的原因和运行机理；其次,在理论分析的基础上引入实证分析,通过对12种外币汇率自2005年1月1日到2013年5月1日长达101个月的月度数据进行赢者——输者组合策略的分析,进一步的探索外汇保证金交易中存在的动量效应和反转效应；然后,通过对数据的分析可以看到,在外汇保证金交易市场上确实存在动量效应和反转效应,而且动量效应要比反转效应更加广泛且稳定的存在于外汇保证金交易市场中；最后,通过理论和实证的分析可以看到,对外汇保证金的投资者而言,他们可以实施动量策略来在外汇保证金投资中获得超额收益,同时,若我国开放外汇保证金业务,则应当加强监管,创造更加优秀的平台和规范化的信息传递机制,在为投资者带来更广阔便利的投资空间的同时又要以防止动量效应和反转效应的负面影响给我国经济带来冲击。
[Abstract]:The foreign exchange security deposit is a top investment product all over the world , but in our country the foreign exchange security deposit is still in the non - Yangguang period . On the one hand , with the advance of our country ' s financial reform , especially the reform of the exchange rate , the foreign exchange security deposit will inevitably come to come . On the other hand , the foreign exchange security deposit will be renewed again by the investor ' s popularity . In the light of the characteristics of the foreign exchange margin price change , the momentum effect and the reversal effect of the foreign exchange margin trading are studied .
Secondly , on the basis of the theoretical analysis , the empirical analysis is introduced to further explore the momentum effect and reversal effect in foreign exchange margin trading through the analysis of 12 foreign currency exchange rates from Jan . 1 , 2005 to May 1 , 2013 .
Then , by analyzing the data , we can see that momentum effect and reversal effect exist in the foreign exchange margin trading market , and the momentum effect is more extensive and stable than the inversion effect in the foreign exchange margin trading market ;
Finally , through theoretical and empirical analysis , it can be seen that , for investors with foreign exchange margin , they can implement momentum strategy to obtain excess earnings in foreign exchange margin investment . At the same time , if our country opens its foreign exchange margin business , it should strengthen supervision , create more excellent platform and standardized information transmission mechanism , and bring more convenient investment space for investors , and can bring impact to our economy at the same time to prevent the negative impact of momentum effect and reverse effect .
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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