我国金属期货市场羊群行为的实证研究

发布时间：2018-05-10 13:53

本文选题：羊群行为 + 金属期货市场　；参考：《成都理工大学》2017年硕士论文

【摘要】：金融市场在随时不断的变化,虚拟程度也越来越高,衍生的产品也具有特殊性,与现实的实体经济实体化、真实性有着很大的区别,而人作为独立的个体,构成了金融市场不可或缺的部分,人的操作行为和心里特征时刻影响着金融市场的风云变化,人可能根据自己的心理变化而做出影响金融市场的行为,因此,金融市场具有不稳定性。而如今的信息随时随地都在变化,信息可以随时随地全世界传播,信息化的时代影响着世界经济的发展,虽然经济的全球化、信息化对于各国经济资源的整合和成本的降低起着不可磨灭的作用,但是正因为如此,开放的世界经济中资本的自由性流动使得金融市场的不稳定性越发突出。羊群行为在在中国金属期货市场中构成了一个不可忽视的部分,市场投资者由于多种原因在进行投资的过程中相互模仿彼此的行为,有些甚至不理性,盲目跟风从众,而这种模仿行为对于金属期货市场的变动具有很重大的影响,影响着金属期货市场的稳定性。所谓羊群行为,是指一种模仿的行动快速的在人与人之间扩散的跟风行为,本文采取文献与实证的研究方法对金属期货市场羊群行为的研究具有现实性。本文以选题的背景与意义为基础进行研究探讨,以我国金属期货市场为研究对象,采用2009年1月到2016年12月金属期货市场上的具有代表性的铜、铝、锌为样本数据,对羊群行为进行实证检验。(1)对以往的羊群行为实证研究方法进行优劣分析,并因此根据金属期货市场的特殊性需要,选择CSAD方法模型并对搜集的原始数据进行计算处理,具体分析金属期货市场羊群行为的存在性(2)根据市场平均收益率的正负分别对金属期货市场的羊群行为进行分析检验,探究金属期货市场的羊群效应是否存在对称性;(3)对7日银行间债券质押式回购利率进行引入,将金属期货市场划分为7日银行间债券质押式回购利率连续上调和下降两个市场,看7日银行间债券质押式回购利率因子对金属期货市场羊群行为的影响。(4)探究在Granger因果检验方法下在7日银行间债券质押式回购利率的影响下金属期货价格与羊群行为两者之间是否存在反馈强化作用。通过本文分析可得到(1)经实证证明羊群行为在中国金属期货市场总体市场是存在的。(2)在市场收益率大于零的时候,羊群行为在金属期货市场是存在的,而当市场收益率小于零的时候,于之相反,羊群行为在金属期货市场是不存在的,因此金属期货市场在市场收益率为大于零和小于零的两个阶段不存在对称性的羊群行为。(3)引进7日银行间债券质押式回购利率,将七年时间段的金属期货市场拆分成利率连续上调和下调两个阶段。研究结果发现在7日银行间债券质押式回购利率连续上调阶段,羊群行为是存在的,在7日银行间债券质押式回购利率下降阶段,不存在羊群行为。(4)运用Granger因果检测得出金属期货价格与羊群行为之间反馈强化关系:我们发现在整个研究时段的过程中经过格兰杰因果检验,可得到金属期货价格是金属期货市场形成羊群效应的Granger原因,在7日银行间债券质押式回购利率上涨的阶段里,经过实证可得到金属期货价格是金属期货市场形成羊群效应的Granger原因,而在7日银行间债券质押式回购利率下降的政策阶段里,金属期货价格与羊群效应互无因果关系,均接受对方不是其原因的原假设。结合我国金属期货具体的情况,本文从改善金属期货市场参与者结构、建立合理的价格波动机制、加强对信息的披露、增加金属期货品种等四个方面分别给了不同的可行性建议。对国外的投资机构有秩序、有目的加以引进,合理的培养机构投资者,对金属期货市场的信息披露进行监管,扩大监管范围,对交易品种信息的发布时间的及时性和全面性进行监管,强化政府的执行力度,避免因为信息的不及时、不全面而造成投资者的投资损失,同时加强行业间的监管,减少行业不公平竞争造成的投资者损失,交易所应时刻对自身采取自律监管。由此,改善金属期货市场的羊群行为,给投资者建立良好的市场环境和优良的投资机会,使得投资者可以采取良好且理性的投资策略,以此获取最大的效益,进而推进金属期货市场安全稳定的发展。
[Abstract]:The financial market is changing at any time, and the virtual degree is getting higher and higher. The derivative products are also special. There is a great difference between the real economy entity and reality. As an independent individual, the financial market is an indispensable part of the financial market. The operation behavior and the psychological characteristics of the human are always affecting the financial market. As the wind and cloud change, people may act on the financial market according to their own psychological changes. Therefore, the financial market is unstable. And the information is changing everywhere and anywhere, information can be spread all the time and anywhere. The information era affects the development of the world economy, although the economy is globalized and information is for each The integration of economic resources and the reduction of cost play an indelible role, but because of this, the free flow of capital in the open world economy makes the instability of the financial market more prominent. The herd behavior constitutes an unnegligible part in the Chinese metal futures market, and the market investors are due to a variety of original sources. In the process of investing in the process of imitation each other's behavior, some even irrational, blindly follow the crowd, and this imitative behavior has a great influence on the change of metal futures market, which affects the stability of the metal futures market. The so-called herding behavior is a kind of imitative action to spread quickly between people. This article is based on the background and significance of the topic, taking the metal futures market of our country as the research object and adopting the representative copper in the metal futures market from January 2009 to December 2016. Aluminum and zinc are the sample data, and the sheep herding behavior is empirically tested. (1) to analyze the previous empirical research methods of herding behavior, and to select the CSAD method model and calculate the original data according to the special needs of the metal futures market, and analyze the existence of the herd behavior in the metal futures market (2). According to the positive or negative of the average rate of return of the market, the sheep herding behavior in metal futures market is analyzed and tested to find out whether the herd effect in the metal futures market is symmetrical. (3) the introduction of the 7 day inter-bank bond repo rate is divided into the 7 day interbank bond repo rate continuously up-regulated. And drop two markets to see the effect of the 7 day interbank bond repo rate on the herd behavior in the metal futures market. (4) to explore whether there is a feedback strengthening effect between the metal futures price and herd behavior under the influence of the Granger causality test under the influence of the 7 day interbank bond repo rate on the 7 day interbank bond repo. The analysis can be obtained (1) it is proved that herd behavior exists in the overall market of Chinese metal futures market. (2) when the market return is greater than zero, the herd behavior exists in the metal futures market, and when the market return is less than zero, the sheep group behavior is not exist in the metal futures market, so the metal is not in the metal futures market. The futures market does not have symmetrical herding behavior in the two stages of the market yield of more than zero and less than zero. (3) the introduction of the 7 day interbank bond repo rate, the metal futures market of the seven year period is divided into two stages of the rate of continuous rise and downregulation of the interest rate. The results of the study found that the pledge repurchase profit of interbank bonds in the 7 day was found. The rate of herd behavior exists in the continuous up-regulation stage, and there is no herding behavior in the stage of the 7 day interbank bond repo rate decline. (4) Granger causality detection is used to obtain a feedback strengthening relationship between metal futures price and herd behavior: we find that the Grainger causality test can be obtained during the whole study period. The metal futures price is the Granger cause of the herd effect in the metal futures market. In the 7 day period of the rise of the interbank bond repo rate, it can be found that the metal futures price is the Granger cause of the herd effect in the metal futures market and the policy stage of the decline of the interbank bond repo rate in the 7 day. There are no causal relationship between the metal futures price and the herd effect, and they all accept the original hypothesis that the other is not the reason. Based on the specific situation of China's metal futures, this paper gives the four aspects of improving the structure of the metal futures market participants, establishing a reasonable price fluctuation mechanism, strengthening the disclosure of information and increasing the variety of metal futures, respectively. There are different feasible proposals. The foreign investment institutions have order, have the aim to introduce, cultivate the institutional investors rationally, supervise the information disclosure of the metal futures market, expand the scope of supervision, supervise the timeliness and comprehensiveness of the release time of the transaction variety information, strengthen the government's execution and avoid the information. When it is not timely and incomplete, it causes the investment loss of investors, at the same time, to strengthen the supervision between industries and reduce the losses caused by unfair competition in the industry, the exchange should take self regulatory supervision at all times. Thus, it will improve the herd behavior of the metal futures market and establish a good market environment and good investment opportunities for the investors. Investors can take a good and rational investment strategy to maximize the benefits, and then push forward the safety and stability of the metal futures market.

【学位授予单位】：成都理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F764.2

【参考文献】