基于行为金融学的股指期货投资者行为研究

发布时间：2018-05-14 00:31

本文选题：沪深300指数期货 + 行为金融　；参考：《西南财经大学》2013年博士论文

【摘要】：传统的有效市场假说以经济人的理性预期作为微观基础,认为市场是被理性投资者所“控制”的,市场价格能够反映市场的有效性。但是,在全球金融市场迅猛发展,金融产品不断推陈出新,市场波动加快加大的同时,发生的很多金融“异象”却无法用传统的金融理论进行合理的解释,市场有效理论受到质疑。在此背景下,研究者逐渐意识到投资者其实是“正常人”而并非总是“理性人”,这也正是行为金融理论的假设前提。运用行为金融理论可以对不确定条件下投资者的认知、心理及行为偏差进行实证检验,对投资者交易过程、市场的异常波动和市场间的联动反应进行剖析,寻找市场投资者“非理性”的真实证据,分析其原因和影响。随着我国资本市场的不断发展,许多研究都表明我国市场的有效性水平较低,股票、期货市场投资者的“非理性”行为普遍存在,特别是发展才三年多的我国股指期货市场,投资者的投资理念及投资心理尚未成熟,投资者理性程度较低,这对我国金融市场的健康发展会造成非常不利的影响。在此情况下,采用实证方法,运用行为金融学理论研究我国股指期货市场投资者的实际投资行为,发现其行为模式和行为理性程度,对于探究我国股指期货市场价格的内在形成机制,提高市场有效性,促进市场健康发展具有非常重要的现实意义。因此,本文将我国股指期货投资者作为研究对象,以投资者行为作为关键词贯穿全文,研究了我国股指期货投资者心理偏差和行为偏差的存在性、市场表现和影响。我国股指期货投资者个体微观层面的非理性如何表现?投资者非理性的市场宏观层面如何反映?市场与市场信息的传递如何造成投资者的非理性?对于这一系列问题的研究,本文从股指期货投资者的处置效应、过度自信和过度反应这三个方面的实证研究展开讨论。全文从对市场有效性假说的讨论入手,对行为金融学关于行为人非理性的内在基础和外在表现进行了归纳和总结,在此基础上选择投资者处置效应、过度自信和过度反应这三个方面展开由微观主体到宏观市场层面的实证分析,最后得出结论和政策建议。文章计划分七个部分：第一章为绪论。首先,阐明了本文的选题背景和研究意义；其次,对本文的研究方法和主要研究内容进行了阐述；再次,指出本文研究的创新点与不足之处；最后,对本文的研究框架进行了梳理。第二章主要从心理学研究成果的角度对投资者“非理性”的内在基础—认知和心理偏差的形式和表现进行了归纳和总结。行为金融学对经典金融理论最重要的突破,就是不再将有关“理性人”的假说作为前提。行为金融学的研究对象从“理性人”转变为一个“正常人”,其信念的形成并不遵从贝叶斯理性,其选择偏好也并不一定满足期望效用最大化,而是存在着种种“非理性”的局限。本章从认知偏差和心理偏差的角度区分投资者的“非理性”对投资决策行为产生主要影响的认知偏差、过度自信、前景理论、后悔理论、心理账户、处置效应以及羊群效应等行为金融心理学进行了归纳和总结。投资者的认知和心理偏差会导致投资者行为的偏差,是市场非有效的重要原因,也是本文实证研究的主要内容。第三章主要从行为金融模型应用的角度对投资者“非理性”的外在表现—经典金融学难以合理解释的市场异象进行了分析和解释。在第二章对行为金融学的假设前提—“正常人”心理特征的研究基础上,对投资者的行为决策进行更为细致的刻画,对金融市场异象给出更为实际与合理的解释。首先,对投资者投资策略和交易行为的非理性进行了归纳和分析,对于这些现象的解释主要基于投资者认知能力的有限性、心理账户、过度自信、后悔厌恶等心理特征；其次,对投资者在资产定价方面的非理性表现进行了归纳和分析,投资者的保守心理、前景理论、代表性认知、模糊厌恶、过度自信等行为心理特征可以给予一定的解释；最后,讨论涉及IPO的行为金融应用,其中投资者过度自信、乐观的心理特征会影响到公司财务决策,而发行人和承销商可能利用市场的非理性,从理性的角度出发寻求利益最大化。第四章对我国股指期货投资者的处置效应行为偏差进行了实证检验。处置效应是投资者行为研究领域最著名的规律之一,它是指投资者总是倾向于出赢保亏,即过快地卖出赚钱的股票,过久地持有亏钱的股票。对投资者处置效应的研究是本文从交易者账户这样的微观层面对投资者行为偏差进行探究,这背后蕴含的是投资者面对确定收益与不确定损失时风险偏好的改变,是投资者后悔厌恶心理在起作用。本章对某期货公司2300个投资者交易账户样本分析后发现,我国股指期货市场投资者确实具有较为明显的处置效应行为偏差,并且个人投资者相对于机构投资者其处置效应的特征更显著；具有丰富经验的投资者展现出了较低的处置效应特征,这表明职业培训经验虽然不能完全消除投资者的行为偏差,但是确实可以在一定程度上降低行为偏差。这一点对于机构投资者和个人投资者都适用；机构投资者的处置效应对其投资盈利能力没有显著影响,但个人投资者的处置效应和投资业绩表现之间呈现显著的负相关关系,处置效应越大,投资业绩越差。第五章从市场交易量的角度对我国股指期货市场投资者过度自信的心理偏差进行了实证分析。在金融市场上“交易量之谜”(Volume Puzzle)-一直以来就是引起广大研究者关注的现象,过多的交易量反映出市场整体的、系统性的行为偏差,很多研究表明这可能与投资者过度自信的心理偏差有着密切关联。本章采用股指期货连续合约五分钟数据,时间跨度为2010年4月16日至2012年4月27日。通过对市场收益率和市场交易活动日数据,使用阀值VAR找到了一些我国股指期货市场上过度自信与交易量相关的证据,证明过去市场回报对投资者交易行为(以交易量度量)确有影响。这是本文从整个市场层面对投资者行为偏差的考察。第六章从国内外市场联动的角度对我国股指期货投资者过度反应的行为偏差进行实证研究。采用多种方法研究我国股指期货市场是否对美国股指期货市场存在过度反应。研究发现,首先,我国投资者对于好的或者坏的美国隔夜表现是不对称的,也就说明过度反应确实存在,并且对坏消息的反应更强烈一些,存在非对称效应；其次,标准普尔500指数期货比较显著的构成了沪深300指数期货的Granger原因；再次,信息是从标准普尔500指数期货市场传向沪深300指数期货市场的；最后,沪深300指数股指期货和标准普尔500指数期货之间存在双向动态影响。第七章在全文研究基础上得出结论,并提出政策建议。首先,在理论分析和实证检验的基础上,得出我国股指期货市场投资者行为研究结论。我国股指期货市场具有非有效市场特征。个人投资者的非理性特征更显著。处置效应、过度自信和过度反应等投资者行为特征对股指期货市场产生显著影响。股指期货投资者行为表现出“有限理性”。其次,对我国股指期货市场健康发展,进一步增强市场的有效性提出政策建议。本文可能的创新点有：(1)以行为金融学为理论基础,充分利用数理统计和计量经济分析方法,对投资者行为的实证研究具有由微观到宏观的层次性。(2)注重对不同类型投资者行为特征的区别研究。(3)利用股指期货市场投资者交易账户数据来验证中国股指期货市场的投资者行为偏差与认知偏差。(4)首次以我国股指期货市场投资者行为为研究对象,深入探讨股指期货市场非有效性的内涵和本质。本文可能的不足有：(1)没有结合问卷调查的形式来对投资者的投资心理进行直接验证。(2)没有对股指期货市场投资者行为进行种类更多,范围更广的研究。(3)对于投资者行为研究在理论上的创新性不足。
[Abstract]:The traditional effective market hypothesis takes the rational expectation of the economic man as the microcosmic basis, and thinks that the market is "controlled" by rational investors, and the market price can reflect the effectiveness of the market. However, in the rapid development of the global financial market, the financial products are constantly emerging, the market fluctuation is speeding up and many financial "financial". In this context, the researchers gradually realize that investors are actually "normal people" rather than always "rational people" in this context. This is also the hypothesis of behavioral financial theory. The cognitive, psychological and behavioral deviations of the investors are tested empirically, and the investors' transaction process, the abnormal fluctuation of the market and the linkage reaction between the markets are analyzed, and the real evidence of the "irrational" of the market investors is sought, and the reasons and effects are analyzed.
With the continuous development of China's capital market, many studies have shown that the efficiency of our market is low. The irrational behavior of the stock and futures market investors is common, especially in the stock index futures market, which has developed for more than three years. The investment idea and investment psychology of the investors are not mature, and the investor's rational degree is low. This will have a very negative impact on the healthy development of China's financial market. In this case, the empirical method is used to study the actual investment behavior of the investors in the stock index futures market by behavioral finance theory, and find the behavior pattern and the degree of behavior rationality, and explore the internal formation mechanism of the price of the stock index futures market in our country. It is of great practical significance to improve market efficiency and promote the healthy development of the market.
Therefore, this paper takes the stock index futures investors as the research object, and takes the investor behavior as the key word through the full text, and studies the existence, the market performance and the influence of the stock index futures investors' psychological deviation and behavior deviation in our country. How does the market macro level reflect? How does the transfer of market and market information cause investor irrationality? For the study of this series of issues, this paper discusses the three aspects of the empirical study on the disposal effect, overconfidence and overreaction of stock index futures investors.
Starting with the discussion of the hypothesis of market effectiveness, the paper sums up and summarizes the internal and external manifestations of Behavioral Finance on the irrationality of behavior. On this basis, we choose the three aspects of investors' disposal effect, overconfidence and overreaction. Conclusions and policy recommendations. The article is divided into seven parts.
The first chapter is the introduction. First, it clarifies the background and significance of this topic; secondly, it expounds the research methods and main research contents of this article; thirdly, it points out the innovation points and shortcomings of this study; finally, it combs the research framework of this paper.
The second chapter generalizes and summarizes the form and performance of the intrinsic basis of the investor's "irrational", cognitive and psychological deviation from the perspective of psychological research. The most important breakthrough of behavioral finance to classic financial theory is that the hypothesis of "rational man" is no longer a prerequisite. From the "rational person" to a "normal person", the formation of its belief does not follow the Bayesian rationality, and its choice preference does not necessarily satisfy the maximization of the expected utility, but there are various "irrational" limitations. This chapter distinguishes the investor's "irrational" to the investment decision line from the perspective of cognitive and psychological deviations. The cognitive deviations, overconfidence, overconfidence, prospect theory, regret theory, psychological account, disposal effect and herd effect are summarized and summarized. The investor's cognitive and psychological deviations will lead to the deviations of investors' behavior, which are important reasons for the non effective market and also the main reason for the empirical study. Content.
The third chapter mainly analyzes and explains the external performance of the investor "irrational" from the perspective of the application of behavioral finance model, which is difficult to explain in the classical finance. In the second chapter, on the basis of the study of the hypothetical premise of the behavioral finance, the psychological characteristics of the "normal person", the investor's behavior decision is carried out more. For the meticulous portrayal, it gives a more practical and reasonable explanation of the financial market anomalies. First, the irrational investment strategy and the irrational behavior of the investors are summarized and analyzed. The explanation of these phenomena is mainly based on the psychological characteristics of the investors' cognitive ability, psychological account, overconfidence, regret aversion, and so on. Secondly, The investors' irrational performance in asset pricing is summed up and analyzed. The behavioral psychological characteristics of investors' conservative psychology, prospect theory, representative cognition, fuzzy aversion, overconfidence and other behavioral psychological characteristics can be explained. Finally, the behavioral finance of IPO is discussed, among which investors are overconfident and optimistic psychological characteristics will be found. It affects the company's financial decisions, and issuers and Underwriters may take advantage of the market's irrationality to seek maximum profits from a rational perspective.
The fourth chapter makes an empirical test on the disposition effect deviation of the stock index futures investors in China. The disposal effect is one of the most famous laws in the field of investor behavior research. It refers to the investors who always tend to win the profit and loss, that is to say, to sell the profitable stock too quickly, and to hold the stock with the loss for a long time. This article explores the investor behavior deviation from the microscopic layer of the trader's account, which is behind the change of the investor's risk preference when facing the fixed income and the uncertain loss. It is the investor's regret and disgust psychology. This chapter finds out in this chapter, after the analysis of the sample of 2300 investors in a Futures Company, China The stock index futures market investors do have more obvious dispose behavior deviations, and the characteristics of individual investors' disposition effect relative to institutional investors are more significant; the investors with rich experience show a lower disposition effect, which indicates that the professional training experience can not completely eliminate the investor's behavior. Deviations, but do reduce behavioral deviations to a certain extent. This is applicable to both institutional investors and individual investors; the disposal effect of institutional investors has no significant impact on their investment profitability, but there is a significant negative correlation between the disposition effect of individual investors and the performance of investment performance. The bigger the investment, the worse the performance.
The fifth chapter makes an empirical analysis on the psychological deviation of the investors' overconfidence in the stock index futures market from the perspective of market trading. The "Volume Puzzle" in the financial market has always been a phenomenon that has attracted the attention of the vast number of researchers, and the excessive volume of transactions reflects the overall market and systematic behavioral deviation, Many studies have shown that this may be closely related to psychological deviations from investors' overconfidence. This chapter uses five minutes of stock index futures contracts from April 16, 2010 to April 27, 2012. Through the market returns and market trading day data, some stock index futures markets in China are found using the threshold value VAR. The evidence of overconfidence related to the volume of trading shows that past market returns have an impact on investors' trading behavior (with the volume of transactions). This is an investigation of the investor behavior deviation from the whole market level.
The sixth chapter makes an empirical study on the behavior deviation of the overreaction of stock index futures investors in China from the angle of market linkage at home and abroad. The study shows whether there is an overreaction to the stock index futures market in China's stock index futures market by using a variety of methods. Asymmetric, it also shows that over reaction does exist, and the response to bad news is more intense, and there is an asymmetric effect. Secondly, the standard & Poor's 500 index futures make a significant Granger reason for the Shanghai and Shenzhen 300 index futures; again, the information is transmitted from the standard price 500 index futures market to the Shanghai and Shenzhen 300 index futures market. Finally, there is a two-way dynamic impact between the Shanghai and Shenzhen 300 index stock index futures and the standard & Poor's 500 index futures.
The seventh chapter draws conclusions on the basis of the full text research and puts forward policy suggestions. First, on the basis of theoretical analysis and empirical test, the conclusion of investor behavior in stock index futures market in China is drawn. The stock index futures market in China has non effective market characteristics. The irrational characteristics of individual investors are more significant. The characteristics of overreaction and other investor behavior have a significant impact on the stock index futures market. The stock index futures investor behavior shows "limited rationality". Secondly, it puts forward policy suggestions on the healthy development of the stock index futures market in China and the further enhancement of the market effectiveness.
The possible innovation points of this paper are as follows: (1) taking behavioral finance as the theoretical basis, making full use of mathematical statistics and econometric analysis methods, the empirical study of investor behavior is from microcosmic to macro level. (2) pay attention to the difference study of the behavior characteristics of different types of investors. (3) use the stock index futures market investor's trading account. The data is used to verify the investor behavior deviation and cognitive deviation in the stock index futures market of China. (4) the research object of the stock index futures market investor behavior in China is the first time to explore the connotation and essence of the non effectiveness of the stock index futures market.
The possible shortcomings of this paper are as follows: (1) there is no direct verification of investors' investment psychology in the form of questionnaire survey. (2) there is no more variety and wider scope of investor behavior in stock index futures market. (3) the innovation of investor behavior research is insufficient in theory.

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F724.5

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