本文關鍵詞：中國期貨市場個人投資者行為研究　出處：《西南財經大學》2013年博士論文　論文類型：學位論文

  更多相關文章： 個人投資者 行為金融學 處置效應 框架效應 期貨市場

【摘要】：傳統(tǒng)金融學的分析框架是建立在理性經濟人假設的基礎上的。事實上,大量的研究表明,現(xiàn)實中的投資者與傳統(tǒng)金融模型假定的理性經濟人之間存在著較大的差異,如他們更加傾向于持有非分散化的投資組合、交易得更加頻繁以及投機色彩更為濃重等。正是因為這種現(xiàn)實與理論假設的不同促成了一個全新的學科——行為金融學的誕生。行為金融學將心理學尤其是行為科學的理論融入到金融學之中。它從微觀個體行為以及產生這種行為的心理等動因來解釋、研究和預測金融市場的發(fā)展。這一研究視角通過分析金融市場主體在市場行為中的偏差和反常,來尋求不同市場主體在不同環(huán)境下的經營理念及決策行為特征,力求建立一種能正確反映市場主體實際決策行為和市場運行狀況的描述性模型。從這個角度說,行為金融學的研究重點就在于對投資者的行為模式進行系統(tǒng)和科學的分析。 目前,已有的研究通過調查問卷、宏觀代理變量以及可控的金融學實驗等方法對投資者在金融市場上表現(xiàn)出的各種行為模式進行了研究。然而,由于這些研究均使用間接的方法來分析投資者的行為特征,并不能很好的反映投資者在面對市場信息和投資約束條件下的真實情況,因此存在一定的局限性。Lewellen, Lease and Schlarbaum (1977)第一次使用了來自于證券公司的個人投資者的詳細操作記錄對投資者的投資策略以及個體特征進行了分析,特別是Odean (1998)的研究,使學術界重新認識了交易數(shù)據(jù)的優(yōu)越性。這一數(shù)據(jù)的使用在很大程度上克服了上述研究的局限性,從而為個人投資者的相關研究開辟了新的試驗田。從總體上看,投資者真實交易記錄相較之前研究中所使用的方法具有如下優(yōu)勢：第一,之前的研究中往往使用諸如交易量、小市值股票收益率、交單的大小(trade-size)以及市場高頻交易數(shù)據(jù)等作為個人交易者行為特征的代理變量。顯然,這些代理變量遠不如投資者的詳細操作記錄那樣能夠真實準確的反映個人投資者在資產選擇與配置過程中的行為模式,因此具有非常嚴重的度量誤差(Measurement Error);第二,傳統(tǒng)的金融實驗雖然能夠記錄在仿真狀態(tài)下受試者的行為特征,但是由于受試者清楚的知道,這只是一次模擬實驗,任何交易行為都不會給自己帶來真正的損失,同樣也不可能從這種交易中真正獲利。所以,在實驗中觀測到的個人投資者的交易行為并不能真實的反映投資者交易動機,從這個角度看,投資者的詳細操作記錄在真實反映個人投資者行為方面具有不可比擬的優(yōu)勢。 進入到21世紀,由于數(shù)據(jù)獲取上的困難被突破,使用我國股票市場投資者交易記錄進行的相關分析如雨后春筍般的發(fā)展起來。但是,與在股票市場和基金市場上取得的眾多研究成果相比,有關期貨市場投資者行為的研究卻乏善可陳。然而,我們認為,期貨市場作為最重要的衍生產品市場,由于其在交易機制和市場微觀結構上的特殊性,風險性較股票和基金市場更高。在這種情況下,研究我國期貨市場投資者的決策模型和行為偏差,可以幫助監(jiān)管部門和期貨交易所制定更為有效的規(guī)則以更好的保護投資者的權益�；谶@種考慮,本文使用我國一個大型期貨公司提供的2007年1月到2012年6月間8742個投資者的完整交易記錄,通過統(tǒng)計描述和計量分析,識別期貨投資者的決策模式和行為偏差,并在此基礎上提出了加強投資者保護的政策建議。 本文第一部分對目前國內外使用投資者交易數(shù)據(jù)進行的相關研究進行了較為系統(tǒng)的梳理,并指出了進一步研究的方向。同時,鑒于本文側重研究我國期貨市場的投資者,因此,在第二部分,我們對與本研究相關的諸如市場交易者的構成以及交易制度和合約要件等我國期貨市場的微觀結構進行了介紹。在第三部分,我們從投資者特征和期貨品種特征兩個角度對本文使用的數(shù)據(jù)進行了介紹。根據(jù)已有的研究,我們在第四部分對我國期貨市場投資者表現(xiàn)出的處置效應進行了分析,并研究了處置效應的影響因素及福利效應。第五部分側重研究了我國期貨市場投資者的框架效應及其決定因素,并分析了框架效應和處置效應之間的關系。本文在最后部分對上述的分析進行了總結,并以此為基礎提出來進一步加強投資者保護的建議。 本文的主要結論及貢獻如下： 1、目前,在針對中國期貨市場投資者行為的研究方面,已有的定量研究均通過宏觀數(shù)據(jù)的分析反向的推演出個人投資者的決策模式,但是這種方法在數(shù)據(jù)的代表性上存在明顯的不足。本文使用的是期貨市場投資者的真實交易記錄,能夠代表投資者在真實交易環(huán)境下的真實意思表示,在數(shù)據(jù)的使用方面具有創(chuàng)新性。 2、我們對期貨市場投資者交易記錄進行的統(tǒng)計分析表明：我國期貨市場上97%的投資者為個人投資者,平均年齡為38歲,而在期貨市場上的平均生存時間為1年8個月,足見期貨交易的高風險性。另外,投資者中已經開始有通過程序控制的高頻交易者,而且有76%的投資者曾經無意的表現(xiàn)出同時持有同一期貨品種多頭和空頭的自愿做市商行為。此外,在期貨品種的轉換率上,金融期貨高于工業(yè)期貨品種,而工業(yè)期貨品種又高于農產品期貨。上述的這些發(fā)現(xiàn)使得我們第一次比較細致的了解我國期貨投資者的特征以及所持期貨品種的特征,是我國期貨市場投資者研究的有益補充。 3、我們還第一次對我國期貨市場上的處置效應進行了分析。我們發(fā)現(xiàn),我國期貨市場投資者普遍表現(xiàn)出處置效應,其強度是我國股票市場投資者處置效應的一半。在眾多可能的影響因素中,我們的分析表明,投資者的經驗對處置效應具有顯著的抑制作用,而且,我們發(fā)現(xiàn),投資者過長時間的持有虧損的倉位,而過快的兌現(xiàn)利潤的交易行為會顯著的降低其獲利能力,因此是投資者的行為偏差。 4、在期貨市場投資者行為的研究方面,我們還率先對投資者的框架效應進行了分析。我們發(fā)現(xiàn),在我國期貨市場上,投資者普遍的表現(xiàn)出狹義框架效應。同時,投資者的經驗有助于降低狹義框架效應的強度。更為重要的是,這種狹義框架效應是投資者處置效應的重要來源,這一發(fā)現(xiàn),為我們正確的認識處置效應并有效的降低處置效應的負面影響具有重要意義。
[Abstract]:The analysis framework of traditional finance theory is based on rational economic man assumption. In fact, a large number of studies show that there are great differences between the assumption of rational economic person in reality and the traditional model of financial investors, as they are more likely to hold non diversification portfolios, trading more frequently and speculative color is more dense. It is because of the reality and the theoretical hypothesis of different contributed to a new discipline -- the birth of behavioral finance. Behavioral finance psychology especially the theory of behavioral science into finance. It is from the individual behavior and the behavior of the psychological motivation to explain study, and predict the development of financial markets. The study from the perspective of financial market analysis by the deviation in the market behavior and abnormal for different market players in different rings Business philosophy and decision behavior environment, strive to establish a can correctly reflect the behavior and operation of the market situation the main market actual decision descriptive model. From this point of view, focus on the research of behavioral finance is analyzed and system science on investor behavior patterns.
At present, the existing research by questionnaire, macro proxy variable and controllable finance experimental methods to study patterns of behavior of investors in the financial market. However, because these studies have used indirect method to analysis the behavior characteristics of investors, and can't reflect the real situation of the investors in the face of market information and investment constraints, so there are some limitations of the.Lewellen, Lease and Schlarbaum (1977) is used for the first time from the securities company's individual investors with operating records to analyze the investment strategy for investors and individual characteristics, especially the Odean (1998) of the study, the academic circles again understanding the advantages of transaction data. Using this data to overcome the limitations of the research to a great extent, so as to individual investors related The research opens up a new experimental field. On the whole, investors real transactions compared to the previous methods used in the study has the following advantages: first, previous studies often use such as trading volume, small cap stock returns, the size of P (trade-size) and market high-frequency data as a proxy for behavior etc. The personal characteristics of traders. Obviously, these variables is far better than investors with operating records that can accurately reflect the true individual investors in the asset allocation in the process of selection and patterns of behavior, so it has very serious measurement error (Measurement Error); second, although the traditional financial experimental behavior can be recorded in the simulation condition the subjects, but the subjects know, this is only a simulation experiment, any transaction will not bring real loss Lost, also can't really benefit from this transaction. Therefore, the transaction behavior observed in experiments of individual investors can not reflect the real investor trading motives, from this perspective, investors with operational records reflect the behavior of individual investors in real terms has incomparable advantages.
In twenty-first Century, due to the difficulty of data acquisition is a breakthrough, developed by correlation analysis of China's stock market investors trading records such as bamboo shoots after a spring rain like. However, compared with other research results obtained in the stock market and fund market, the research of the futures market investors' behavior is not good. However, we believe that the futures market is the most important of the derivatives market, because of its particularity in the trading mechanism and market microstructure, the risk of the stock market and funds is higher. In this case, the decision model and the behavior deviation of investors in China futures market, futures exchange can help regulators and develop more effective the rules in order to better protection of the rights and interests of investors. Based on this consideration, this paper use a large Futures Company in China from January 2007 to June 2012 to provide The complete transaction records of 8742 investors are identified. Through statistical description and quantitative analysis, we identify future investors' decision-making mode and behavior bias, and on this basis, we put forward policy recommendations to enhance investor protection.
In the first part of this paper related research at home and abroad with investors transaction data were systematically combing, and pointed out the direction for further research. At the same time, in view of this paper focuses on the research of China's futures market investors, therefore, in the second part, the microstructure of us associated with this research such as market traders and the transaction system and the contract elements of China's futures market are introduced. In the third part, we from two angles of features and characteristics of futures investors using the data are introduced in this paper. Based on existing research, we in the fourth part of the investors in China's futures market shows are analyzed, and Study on the influence of disposition effect factors and welfare effects. The fifth part focuses on the framework of China's futures market investors and determinants The relationship between framing effect and disposition effect is also analyzed. In the last part, the above analysis is summarized, and on this basis, suggestions for further strengthening investor protection are put forward.
The main conclusions and contributions of this paper are as follows:
1, at present, in the research on investor behavior China futures market, have all of the quantitative research through the analysis of the macro data reverse inference decision-making model for individual investors, but this method has obvious shortcomings in the representation of the data. This paper use the futures market investors real transaction records, on behalf of investors the true meaning in the real trading environment that is innovative in the use of the data.
2, statistics of our futures market investors trading records analysis shows that China's futures market 97% of the investors for individual investors, the average age is 38, and the average survival time in the futures market for 1 years and 8 months, which shows the high risk of futures trading. In addition, investors have begun to have through the high-frequency traders program control, and 76% of investors was accidentally showed while holding the same futures bulls and bears the voluntary market maker behavior. In addition, the conversion rate of futures, financial futures higher than industrial futures, and futures industry is higher than the agricultural futures. These findings make we first compare the detailed understanding of the characteristics of China's futures and futures investors holding characteristics, is a useful complement to investors on China's futures market.
3, we are also the first of China's futures market on the disposal effect are analyzed. We found that investors in China futures market generally show the disposition effect, its strength is half of the investors in the stock market of China. Among the many factors that influence the possible, our analysis shows that investors experience for disposal the effect of inhibitory effect was also, we found that investors in long time have a losing trade, but excessive cash transaction profit will significantly reduce its profitability, therefore is investor behavior deviation.
4, in the study of the behavior of investors in the futures market, we also took the lead in the framing effect of investors are analyzed. We found that in our futures market, investors generally exhibit narrow framing effect. At the same time, investor experience helps to reduce the effects of narrow framework strength. More importantly, this narrow framing effect is an important source of investor's disposition effect, this discovery, for our correct understanding of the disposition effect and effectively reduce the negative influence of disposition effect has important significance.

【學位授予單位】：西南財經大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F724.5

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