基于投资者非理性行为的国际碳期货市场价格研究

发布时间：2017-12-31 17:16

本文关键词：基于投资者非理性行为的国际碳期货市场价格研究　出处：《合肥工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：随着碳期货市场价格波动不断加剧,而完全理性人假说无法解释该现象,因此引入投资者非理性有利于更好地揭示碳期货市场价格波动的内在推动力,有利于促进碳期货市场更好发挥价格发现功能。文章从投资者非理性出发,首先检验了碳期货市场典型的非理性行为即投资者过度自信和羊群效应,然后基于检验结果构建了基于投资者非理性的碳期货定价模型。主要得出以下研究结果:(1)文章采用格兰杰因果关系检验方法检验得出国际碳期货市场投资者存在显著的过度自信。投资者过度自信导致投资者根据收益率信息进行决策,将较高的收益率归功于自身能力,加大投资力度,造成碳期货市场交易量的提升,进而导致价格波动;文章采用横截面绝对离差模型同时结合多元二次项回归模型检验得出碳期货市场中投资者具有较强的羊群效应,羊群效应导致投资者进行投资时往往根据其他众多投资者的投资行为进行决策,且随着碳期货市场的不断成熟,羊群效应更加严重。同时在碳期货市场价格上涨时期,羊群效应要强于下跌时期;(2)文章考虑投资者过度自信、投资者同质性、风险厌恶等因素,构建投资者过度自信影响碳期货定价的数理模型,从理论和数值模拟角度分析发现:?投资者过度自信影响了碳期货预期价格,放大了碳期货价格的波动;?投资者的风险防范意识越强,对于稳定碳期货市场价格具有重要作用;?碳期货市场保证金制度对碳期货市场价格波动具有重要影响,但交易费用对碳期货价格波动的影响并不明显。在碳期货市场中,保证金制度发挥了其调节投机行为的作用;(3)羊群效应是影响碳期货价格的重要影响因素之一,文章构建的羊群效应影响碳期货价格预测模型,其预测精度也明显高于未考虑羊群效应的价格预测模型;(4)投资者过度自信和羊群效应对碳期货价格具有同向的作用,且羊群效应较过度自信对碳期货价格的影响程度更强。而预测模型结果显示,考虑投资者过度自信和羊群效应共同作用的碳期货价格模型的预测精度得以较大程度的提升。
[Abstract]:With the market price of carbon Futures Volatility increased, while the hypothesis completely rational people can not explain this phenomenon, therefore the introduction of non rational investors to better reveal the intrinsic impetus of the carbon futures market price fluctuations, is conducive to the promotion of better carbon futures market price discovery function. This article from the irrational investors of the first test of the carbon futures market the typical irrational behavior of investor overconfidence and herding, and test results to construct a non carbon futures pricing model based on the rational investors. Based on the main results of the study are as follows: (1) the Grainger causality test method to test the international carbon futures market investors overconfidence significantly. Investor overconfidence cause investors according to returns the information to make decisions, the higher rate of return due to its ability to increase investment, build Carbon futures market trading volume increased, resulting in the price fluctuation; using cross-sectional absolute deviation model combined with multivariate regression model to examine two items that investors in the futures market with carbon herding strong article, herding caused investors to invest decision-making often according to the investment behavior of other investors, and with carbon the futures market continues to mature, herding is more serious. At the same time in a period of rising carbon prices of the futures market, herding is stronger than the period of decline; (2) considering the overconfidence of investors, investors homogeneity, risk aversion and other factors, the construction of overconfidence effect mathematical model of carbon futures pricing, from theory and numerical simulation analysis? Investor overconfidence affect carbon futures expected price, enlarge the carbon futures price volatility; risk investors? The more awareness, has an important role for the stability of carbon futures market prices;? Carbon futures market margin system has an important impact on the market price of carbon Futures Volatility, but the effect of transaction cost on carbon futures price volatility is not obvious. In the carbon futures market, margin system to play its role in regulating speculation; (3) the sheep the effect is one of the most important factors affecting carbon futures prices, the herding effect of carbon futures price forecasting model is established in this paper, the prediction accuracy was significantly higher than that without considering the prediction model of herding prices; (4) investor overconfidence and herding has the same effect on the carbon futures prices, and herding is overconfidence the carbon futures price has a stronger impact. The predictive model results show that the prediction of carbon futures price model of interaction of overconfidence and herding considerations The precision is improved to a great extent.

【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F713.35;F764.1

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