本文選題：行為金融學(xué)　切入點(diǎn)：過度自信　出處：《北京工商大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：金融市場中出現(xiàn)的用現(xiàn)代金融學(xué)理論無法解釋的“異象”一直是學(xué)術(shù)界研究的熱點(diǎn)問題，然而，行為金融學(xué)對(duì)于兩大傳統(tǒng)假設(shè)的挑戰(zhàn)（人的行為假設(shè)和有效市場競爭）為學(xué)者研究金融市場投資行為提供一個(gè)新視角。在中國期貨市場蓬勃發(fā)展的背景下，為挖掘市場中出現(xiàn)的“異象”，以使投資者進(jìn)行更加有效的投資決策及期貨市場持續(xù)穩(wěn)定發(fā)展，，本文以行為金融學(xué)理論中的過度自信理論為基礎(chǔ)，以比較投資者的交易次數(shù)為切入點(diǎn)，首先運(yùn)用統(tǒng)計(jì)學(xué)方法按投資者的交易次數(shù)進(jìn)行分組，其次根據(jù)分組分析所得結(jié)論，用統(tǒng)計(jì)學(xué)方法、R/S分析法、GARCH模型和流動(dòng)性比率的方法對(duì)交易量、市場效率、波動(dòng)性和市場流動(dòng)性所產(chǎn)生的影響進(jìn)行實(shí)證研究，得出以下主要結(jié)論： 第一，投資者過度自信程度與交易次數(shù)呈倒“U”型曲線關(guān)系，并在此結(jié)論基礎(chǔ)上，得出初入期貨市場的投資者大部分都存在過度自信心理，只有小部分投資者過度自信心理不明顯；并且在整個(gè)期貨市場不景氣的情況下，投資者可以通過減少過度自信心理使損失（盈利）控制在最�。ù螅┓秶鷥�(nèi)。第二，過度自信心理的形成具有時(shí)間性，并且在市場上升和下降趨勢中，投資者過度自信具有不對(duì)稱性。第三，過度自信對(duì)市場的影響表現(xiàn)為：使交易量增加，收益減少；使市場效率下降；使市場波動(dòng)加大；對(duì)市場流動(dòng)性的影響不明顯。第四，某種程度的過度自信能夠在市場中存活。 最后，本文以實(shí)證結(jié)果為基礎(chǔ)，從投資者自身能力的認(rèn)識(shí)、專業(yè)知識(shí)和交易策略的提升、交易心態(tài)的培養(yǎng)及相關(guān)機(jī)構(gòu)培訓(xùn)指導(dǎo)的角度提出對(duì)策建議。這對(duì)投資者樹立理性投資理念，減少盲目投資，從實(shí)質(zhì)上保證我國期貨市場的穩(wěn)定健康發(fā)展具有一定的指導(dǎo)意義。
[Abstract]:The "abnormal vision" which can not be explained by modern financial theory in financial market has been a hot topic in academic research, however, The challenge of behavioral finance to two traditional hypotheses (human behavior hypothesis and efficient market competition) provides a new perspective for scholars to study financial market investment behavior. In order to excavate the "abnormal vision" in the market, in order to make the investors make more effective investment decision and the futures market develop steadily, this paper bases on the theory of overconfidence in the behavioral finance theory. In order to compare the trading times of the investors, the paper first uses the statistical method to group the investors according to the number of trades, and then according to the conclusion of the grouping analysis, The GARCH model and liquidity ratio are used to study the effects of trading volume, market efficiency, volatility and market liquidity. The main conclusions are as follows:. First, the degree of investor overconfidence is inversely "U" curve with the number of trades, and on the basis of this conclusion, it is concluded that most investors entering the futures market have overconfidence psychology. Only a small number of investors are not overconfident; and when the futures market as a whole is depressed, investors can keep losses (profits) to a minimum by reducing overconfidence. Second, The formation of overconfidence psychology is time-dependent, and in the upward and downward trend of the market, investor overconfidence has asymmetry. Third, the influence of overconfidence on the market is as follows: increase the trading volume and decrease the return; Reduce the efficiency of the market; increase the volatility of the market; the impact on market liquidity is not obvious. 4th, some degree of overconfidence can survive in the market. Finally, on the basis of empirical results, this paper, from the understanding of investors' own ability, professional knowledge and trading strategy, The training of the trading mentality and the training guidance of related institutions have some guiding significance for investors to set up rational investment concept, reduce blind investment and ensure the stable and healthy development of China's futures market in essence.
【學(xué)位授予單位】：北京工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F724.5

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