商品期货市场动量效应和正反馈交易的实证研究

发布时间：2017-12-31 04:15

本文关键词：商品期货市场动量效应和正反馈交易的实证研究　出处：《云南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文研究的重点是动量效应与正反馈交易。两个概念均是证券市场上的特殊现象，他们与有效市场假说相悖，均无法用有效市场假说理论来解释。动量效应最开始指——证券的业绩无论好坏都会持续下去。随着研究的发展,后指股票的价格运动趋势也会持续下去，再后来扩展到了股票的账面收益、净资产、行业利润、成交量等指标的延续。正反馈交易则指交易者根据证券价格短期表现进行交易，，在价格上涨时做多，在价格下跌时做空，即“追涨杀跌”。在本文中通过分析，将两个概念等同，并且沿用到中国商品期货市场。本文对两个概念分别进行了实证检验，通过对比，两者的结论得到相互验证。动量效应通过Debondt和Thaler的实证检验方法，选择时间周期2007年6月1日至2012年6月1日，样本为上海商品交易所交易的沪铜、橡胶、燃油、沪铝；在大连商品交易所交易的豆一、豆二、玉米、豆粕、豆油；在郑州商品交易所交易的郑棉、白糖、PTA。得出中国期货市场中，胜者组合，在某些比较短的周期内存在动量效应，比如观察期和持有期分别为（1,4），（2,1），（4,1）等；而对于败者组合，存在反转效应比如（2,1），（2,4），（4,1）等；对于动量交易组合，动量交易组合超额收益率显著大于零的组合仅仅有（1,4）一组。对我国商品期货市场上的正反馈实证检验，主要对沪铜、橡胶、白糖、玉米进行了周收益率的自相关检验。样本空间是2007.6.1-2012.6.1。从沪铜的自相关检验和橡胶的上涨阶段检验结果可以看出，我国期货市场中存在正反馈投机者。当交易品种（例如沪铜、橡胶等）伴随着大成交量大幅波动时，大量非理性投资者不顾交易品种的真实价格，非理性的追涨杀跌，导致品种更剧烈的波动。正反馈交易者这样的行为加剧了市场的波动，减弱了期货市场发现价格和套期保值的能力，降低了市场的有效性。本文最后结合实证结果，对中国商品期货市场上存在的问题和投资者结构进行了分析，对商品期货市场提出改进意见。另外本文将动量交易策略运用于商品期货市场，也为机构投资者进入市场提供一种投资参考。
[Abstract]:This paper focuses on momentum effect and positive feedback trading. The two concepts are special phenomena in the stock market and they are contrary to the efficient market hypothesis. Momentum effect initially means that the performance of securities will continue, regardless of whether good or bad. With the development of research, the trend of stock price movement will continue. Then it extends to the continuation of book gains, net assets, industry profits, turnover and other indicators of stocks. Positive feedback trading refers to traders trading according to the short-term performance of securities prices, long when prices rise. In this paper, the two concepts are identical, and they are used in China's commodity futures market. In this paper, the two concepts are empirically tested, and the two conclusions are verified by comparison. Momentum effect is tested by Debondt and Thaler. Selected time period from June 1st 2007 to June 1st 2012, samples are Shanghai Copper, Rubber, fuel, Shanghai Aluminum traded on the Shanghai Mercantile Exchange; In the Dalian Commodity Exchange, the trading of one, two beans, corn, soybean meal, soybean oil; Zheng Mian, Sugar PTA. in Zhengzhou Commodity Exchange, it is concluded that in China's futures market, there is momentum effect in some relatively short periods, such as observation period and holding period respectively. (4) 4 ~ (1) ~ (2) ~ (1) ~ (1) ~ (4) ~ (1)); For the loser combination, there are reverse effects, such as the inversion effect of the two groups, for example, the second one is the first one, the other is the second one, and the other is the same as the one in the other. For the momentum trading portfolio, the excess return of momentum trading portfolio is significantly greater than zero. Positive feedback empirical test on China's commodity futures market, mainly on Shanghai copper, rubber, sugar. The sample space is 2007.6.1-2012.6.1.The results of self-correlation test of Shanghai copper and rubber rising stage can be seen. There are positive feedback speculators in China's futures market. When trading varieties (such as Shanghai copper rubber and so on) fluctuate with large volume a large number of irrational investors ignore the real price of trading varieties. Irrational pursuit leads to more intense volatility of varieties. Positive feedback traders' behavior exacerbates market volatility and weakens the ability of futures markets to detect prices and hedge. It reduces the efficiency of the market. At the end of this paper, we analyze the existing problems and investor structure in China's commodity futures market based on the empirical results. In addition, this paper applies momentum trading strategy to commodity futures market and provides an investment reference for institutional investors to enter the market.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

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