本文關(guān)鍵詞：基于異質(zhì)投資者非理性心理的黃金期貨價(jià)格研究　出處：《青島大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 黃金期貨 期貨定價(jià) 過(guò)度自信 錨定

【摘要】：黃金具有三重屬性：商品屬性、貨幣屬性和金融屬性,黃金的三重屬性決定了黃金期貨既是一種商品期貨,也是一種金融期貨。近年來(lái),黃金價(jià)格強(qiáng)勁上揚(yáng),至2011年9月黃金價(jià)格達(dá)到了迄今為止的最高價(jià)1895美元／盎司,形成單邊上揚(yáng)的形式。隨著國(guó)際黃金價(jià)格的上漲,各國(guó)政府對(duì)黃金市場(chǎng)的關(guān)注提高。由于我國(guó)政府對(duì)期貨市場(chǎng)穩(wěn)定發(fā)展的重視,我國(guó)實(shí)務(wù)界和理論界對(duì)黃金市場(chǎng)的關(guān)注也逐漸提高。 影響金價(jià)的因素很多,黃金的生產(chǎn)者和投資者都難以準(zhǔn)確預(yù)測(cè)未來(lái)的金價(jià)走勢(shì)。因而對(duì)各種影響黃金價(jià)格的因素進(jìn)行研究具有重要意義。其中心理因素是不容忽視的影響因素。在黃金市場(chǎng)中,黃金期貨占據(jù)舉足輕重的地位,對(duì)黃金價(jià)格有發(fā)現(xiàn)功能,而期貨市場(chǎng)又是心理因素直接發(fā)揮作用的場(chǎng)所,因而本文研究投資者非理性心理對(duì)黃金期貨價(jià)格的影響。 本文研究了投資者過(guò)度自信和錨定的兩種非理性心理對(duì)黃金期貨價(jià)格及其波動(dòng)率和投資者效用的影響。將黃金期貨市場(chǎng)的交易者分為投機(jī)者和套利者進(jìn)行分析,構(gòu)造了一個(gè)關(guān)于期貨價(jià)格決定的市場(chǎng)均衡模型,分別分析了過(guò)度自信心理和錨定心理兩種非理性心理對(duì)黃金期貨市場(chǎng)上的投機(jī)者和套利者兩大主體交易行為的影響。并分別導(dǎo)出兩大主體在過(guò)度自信心理和錨定心理影響下的決策函數(shù),然后根據(jù)市場(chǎng)出清得到市場(chǎng)出清時(shí)黃金期貨的價(jià)格,并據(jù)此分析了過(guò)度自信心理和錨定心理對(duì)黃金期貨價(jià)格及其波動(dòng)率以及投資者效用的影響,得到了比前人更貼近現(xiàn)實(shí)的結(jié)論,前人的研究單純的認(rèn)為過(guò)度自信會(huì)發(fā)大交易量,而錨定心理會(huì)造成交易量的減少,由于本文的研究將投資者分為投機(jī)者和套利者,對(duì)于套利者的分析結(jié)論與前人是相吻合的,關(guān)于投機(jī)者,得到的結(jié)論則是：只有在投機(jī)者做多時(shí),且市場(chǎng)上出現(xiàn)好消息和投機(jī)者做空且市場(chǎng)上出現(xiàn)壞消息時(shí),投機(jī)者的過(guò)度自信程度越高,交易量才會(huì)越大；當(dāng)黃金期貨市場(chǎng)上出現(xiàn)的消息使得投機(jī)者正向調(diào)整期貨合約價(jià)格的錨定值時(shí),投機(jī)者的錨定心理會(huì)使得做空的交易量增加,做多的交易量減少；當(dāng)黃金期貨市場(chǎng)上出現(xiàn)的消息使得投機(jī)者負(fù)向調(diào)整期貨價(jià)格的錨定值時(shí),投機(jī)者的錨定心理會(huì)使得做多的交易量增加,做空的交易量減少。文章運(yùn)用模擬的方法驗(yàn)證了結(jié)論。
[Abstract]:Gold has three attributes: commodity property, monetary attribute and financial attribute. The triple attribute of gold determines that gold futures is not only a commodity futures, but also a kind of financial futures. In recent years, gold price has risen strongly. By September 2011, gold had reached its highest price to date of $1, 895 per ounce, forming a unilateral upswing. With the rise of international gold prices. Due to the attention paid by our government to the stable development of the futures market, the attention of the practical and theoretical circles of our country to the gold market has gradually increased. There are many factors that affect gold prices. It is difficult for gold producers and investors to predict the future trend of gold price accurately. Therefore, it is of great significance to study various factors affecting gold price. Psychological factors are the influential factors which can not be ignored in gold. In the market. Gold futures play an important role in the discovery of gold prices, and the futures market is a place where psychological factors play a direct role. Therefore, this paper studies the influence of investors' irrational psychology on gold futures price. This paper studies the influence of two kinds of irrational psychology of investor overconfidence and anchoring on gold futures price, volatility and investor utility. The traders in gold futures market are divided into speculators and arbitrages. . A market equilibrium model for the determination of futures price is constructed. This paper analyzes the influence of two irrational psychology of overconfidence and anchoring on the trading behavior of speculators and arbitrages in the gold futures market. Decision function under psychological influence. Then according to the market clearing to get the price of gold futures, and based on the analysis of overconfidence and anchoring psychology on the price of gold futures and volatility, as well as the utility of investors. We get the conclusion that it is closer to the reality than the predecessors. The previous studies simply believe that overconfidence will lead to a large volume of trading, and anchoring psychology will lead to the reduction of trading volume. As investors are divided into speculators and arbitrages in this paper, the conclusion of the analysis of arbitrage is consistent with the previous ones, and the conclusion about speculators is that only when speculators are long. And when there is good news in the market and speculators short and bad news in the market, the higher the degree of overconfidence of speculators, the greater the transaction volume will be; When the news in the gold futures market makes the speculators adjust the anchor value of the futures contract price, the psychology of the speculators will increase the short trading volume and reduce the long trading volume. When the news in the gold futures market causes speculators to adjust the anchoring value of futures prices negatively, the psychology of speculators' anchoring will increase the volume of long trading. The trading volume of short-selling is reduced. The conclusion is verified by the method of simulation.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.94;F713.35;F224

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