我国期货市场日内价格行为与过度反应的实证研究

发布时间：2018-04-28 16:15

本文选题：过度反应 + 期货市场日内价格　；参考：《南京财经大学》2013年硕士论文

【摘要】：行为金融学是建立在市场参与者并不总是理性的基础上，他们在“有限理性、有限自制”的原则下进行投资决策。正是投资者并不总是理性，其决策就会受到心理认知偏差、市场上其他因素的影响，这种行为偏差就会导致投资者对于市场信息过度反应，引起价格偏离其基本价值，从而出现过度反应现象。目前国内的研究主要集中于股票市场，得出我国证券市场存在过度反应现象，而很少研究期货市场。但我们知道期货市场与股票市场作为金融市场的一部分，二者之间存在紧密的联系。随着股市的大幅波动，我国期货市场交易活跃、交易量大幅上升、日内价格波动大，这背后的动因值得我们思考：如果期货市场日内价格波动是对市场信息冲击（股票市场价格波动）的正确反应，那么期货市场日内价格波动是期货市场发展和完善的结果；如果期货市场日内价格波动主要是由非理性因素引起的，那么需要采取相应的措施来规范期货市场的发展。考虑到期货市场与股票市场的共同点，可以推测期货市场也可能存在过度反应现象。本文首先对国内外过度反应的研究文献进行了评述，然后分析股票市场与期货市场之间价格的内在联系，再从行为金融视角分析了个人投资者、机构投资者、期货市场监管者可能产生过度反应的心理与行为偏差，理论分析了我国期货市场存在过度反应的可能性；进一步实证检验了我国期货市场是否存在过度反应现象,得出如下结论：（1）我国期货市场日内价格对于股票市场隔夜收益波动存在过度反应现象，过度反应存在规模效应，即股票市场隔夜收益波动越大，期货市场当天日内价格反转程度越大。同时沪铜、沪铝期货合约不存在市场成熟效应，而天然橡胶期货合约存在市场成熟效应。（2）期货市场存在投资者情绪平稳效应，，即过度反应现象在交易日为星期一有显著性减弱或者不存在，此结论可认为我国期货市场过度反应现象是一种行为现象，由投资者的行为偏差造成的，同时交易者行为模型也可解释过度反应存在的原因。市场成熟与投资者情绪平稳效应的存在减弱了过度反应的程度。（3）利用过度反应现象，设计反转交易策略在期货市场上进行交易时可以获得正的收益，并且股票市场隔夜收益波动越大，在期货市场上采用反转交易策略所得收益越大，此结论可以为投资者的投资策略提供借鉴。
[Abstract]:Behavioral finance is based on the fact that market participants are not always rational. They make investment decisions under the principle of "limited rationality, limited self-control". Just because investors are not always rational, their decisions will be influenced by psychological cognitive bias and other factors in the market. This kind of behavior deviation will lead investors to overreact to market information and cause prices to deviate from their basic value. As a result, overreaction occurs. At present, the domestic research is mainly focused on the stock market. It is concluded that there is overreaction in the stock market in our country, but there is little research on the futures market. But we know that the futures market and the stock market as part of the financial market, there is a close relationship between the two. With the sharp fluctuations in the stock market, the futures market in our country is trading actively, the volume of trading volume has risen substantially, and the intraday prices have fluctuated greatly. The motivation behind this is worth considering: if intraday price fluctuation in futures market is the correct response to market information shock (stock market price fluctuation), intraday price fluctuation in futures market is the result of futures market development and improvement; If intraday price fluctuation in futures market is mainly caused by irrational factors, it is necessary to take corresponding measures to standardize the development of futures market. Considering the similarities between the futures market and the stock market, we can speculate that the futures market may also overreact. This paper first reviews the literature on overreaction at home and abroad, then analyzes the price relationship between stock market and futures market, and then analyzes individual investors and institutional investors from the perspective of behavioral finance. This paper analyzes the possibility of overreaction in China's futures market, and further tests whether there is overreaction in China's futures market. The following conclusions are drawn: 1) the intraday price of futures market in our country is overreacting to the volatility of overnight return in stock market, and the overreaction exists scale effect, that is, the greater the volatility of overnight return in stock market, the greater the degree of intraday price reversal in futures market. At the same time, Shanghai copper and Shanghai aluminum futures contracts have no market maturity effect, while natural rubber futures contracts have market maturity effect. 2) there is a stable effect of investor sentiment in the futures market, that is, the phenomenon of overreaction weakens significantly or does not exist on Monday on the trading day. This conclusion can be concluded that the phenomenon of overreaction in futures market of our country is a kind of behavior phenomenon. At the same time, the behavior model of traders can also explain the existence of overreaction. The degree of overreaction is weakened by the existence of market maturity and investor mood stabilization effect. 3) using the phenomenon of overreaction, we can get positive return when designing reverse trading strategy to trade in futures market, and the bigger the volatility of stock market overnight, the greater the income of using reverse trading strategy in futures market. This conclusion can provide reference for investors'investment strategy.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5;F224

【参考文献】