分位数回归视角下我国商品期货市场羊群效应实证分析

发布时间：2018-01-01 16:46

本文关键词：分位数回归视角下我国商品期货市场羊群效应实证分析　出处：《浙江工商大学》2014年硕士论文　论文类型：学位论文

【摘要】：在理性的资本资产定价模型CAPM (Capital Asset Pricing Model)理论支持下,CCK模型(Chang、Cheng和Khorana(2000)提出)通过横截面绝对偏离度CSAD(Cross-sectional Absolute Deviation)和资产组合收益率的线性关系来检测羊群效应是否存在。基于此模型,众多学者对股票市场进行了研究,发现了不同程度的羊群效应,并且国内的羊群效应尤为明显。目前,国内外对期货市场羊群效应的研究相对较少,仅有的一些文献,也只是对个别品种的研究。本文从检测我国商品期货市场整体羊群效应角度出发,先利用C(x模型对期货市场进行最小二乘回归作为分位数结果的对比,得出我国商品期货市场整体没有羊群效应。由于传统的最小二乘回归只考虑条件均值的回归,无法探测到尾部信息,为了更加全面地检测羊群效应对我国商品期货市场的影响,需要利用分位数对模型进一步回归,结果仍然没有发现羊群效应。考虑到板块之间的特征差异,现实中羊群效应更可能发生在局部,因此本文进一步把整个市场分成若干板块进行实证。最小二乘回归得出金属板块和油脂板块有微弱的羊群效应,分位数回归得出在横截面离散度CSAD的低分位点有较为剧烈的羊群效应。另外,在最小二乘回归结果下没有羊群效应的板块,通过分位数回归,在低分位点也发现了微弱的羊群效应。这体现了分位数的优越性,它能更加全面地检测局部信息,合理利用这些不同的分位数区间结论的差异性,投资者可以得出更好的投资组合,增加了期货市场的有效性。
[Abstract]:In the capital asset pricing model CAPM (Capital Asset Pricing Model rational) theory support, CCK model (Chang, Cheng and Khorana (2000) proposed by CSAD) CSAD (Cross-sectional Absolute Deviation) and the linear relationship of portfolio returns to detect whether there is herding effect. Based on this model, many scholars the research on the stock market, found the herding effect in different degree, and the domestic herd effect is particularly obvious. At present, the domestic and foreign research on the herding effect of futures market is relatively small, only some of the literature, but also research on individual species. This article from the whole herd effect detection of China's commodity futures market perspective. By using the C X model (least squares regression for comparison, quantile results of the futures market from China's commodity futures market as a whole is not due to herding. The traditional least squares regression regression only considers the conditional mean, cannot detect the tail information, in order to comprehensively detect herding of commodity futures market in China, need to use quantile regression model to further results, still did not find herding. Considering the differences between the characteristics of the plate, the herding effect is more likely to occur in reality in part, this paper further put the whole market into several empirical plates. Least squares regression that metal plate and oil plate with herding weak, low quantile quantile regression obtained in CSAD dispersion cross section are herding more intense. In addition, no herding in the least squares regression results under the plate. Quantile regression, herding weak is also found in the lower quantiles. This reflects the superiority of the quantile, it can be more fully Local information can be detected locally, and the difference between the different quantile intervals can be rationally utilized. Investors can draw a better portfolio and increase the effectiveness of futures market.

【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5;F224

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