本文選題：外匯保證金 + 動(dòng)量效應(yīng)��； 參考：《天津財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：外匯保證金在全球范圍內(nèi)都是一種頂級(jí)投資產(chǎn)品,但在我國(guó)國(guó)內(nèi)外匯保證金仍處于非陽光化階段。目前,一方面隨著我國(guó)金融改革的推進(jìn),特別是匯率改革的不斷深入,人民幣資本項(xiàng)目自由兌換終將到來,另一方面我國(guó)個(gè)人外匯投資需求的不斷增大和國(guó)外外匯中介機(jī)構(gòu)對(duì)國(guó)內(nèi)市場(chǎng)的躍躍欲試,供需兩方面的因素導(dǎo)致外匯保證金勢(shì)必會(huì)重新解禁,并且會(huì)再次受到投資者的追捧而煥發(fā)新的活力。鑒于此種形勢(shì),對(duì)外匯保證金投資的投資策略進(jìn)行相應(yīng)研究以便為投資者提供行之有效的投資建議變的很有必要,同時(shí),根據(jù)外匯保證金價(jià)格變動(dòng)中的特點(diǎn)對(duì)我國(guó)進(jìn)行外匯保證金市場(chǎng)的建設(shè)和監(jiān)督管理進(jìn)行前瞻性的思索和研究也十分有意義。文中采用理論分析和實(shí)證分析相結(jié)合的方法來研究外匯保證金交易的動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng),首先在行為金融理論角度分析了投資過程中存在的動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng),揭示了兩種效應(yīng)存在的原因和運(yùn)行機(jī)理；其次,在理論分析的基礎(chǔ)上引入實(shí)證分析,通過對(duì)12種外幣匯率自2005年1月1日到2013年5月1日長(zhǎng)達(dá)101個(gè)月的月度數(shù)據(jù)進(jìn)行贏者——輸者組合策略的分析,進(jìn)一步的探索外匯保證金交易中存在的動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng)；然后,通過對(duì)數(shù)據(jù)的分析可以看到,在外匯保證金交易市場(chǎng)上確實(shí)存在動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng),而且動(dòng)量效應(yīng)要比反轉(zhuǎn)效應(yīng)更加廣泛且穩(wěn)定的存在于外匯保證金交易市場(chǎng)中；最后,通過理論和實(shí)證的分析可以看到,對(duì)外匯保證金的投資者而言,他們可以實(shí)施動(dòng)量策略來在外匯保證金投資中獲得超額收益,同時(shí),若我國(guó)開放外匯保證金業(yè)務(wù),則應(yīng)當(dāng)加強(qiáng)監(jiān)管,創(chuàng)造更加優(yōu)秀的平臺(tái)和規(guī)范化的信息傳遞機(jī)制,在為投資者帶來更廣闊便利的投資空間的同時(shí)又要以防止動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng)的負(fù)面影響給我國(guó)經(jīng)濟(jì)帶來沖擊。
[Abstract]:The foreign exchange security deposit is a top investment product all over the world , but in our country the foreign exchange security deposit is still in the non - Yangguang period . On the one hand , with the advance of our country ' s financial reform , especially the reform of the exchange rate , the foreign exchange security deposit will inevitably come to come . On the other hand , the foreign exchange security deposit will be renewed again by the investor ' s popularity . In the light of the characteristics of the foreign exchange margin price change , the momentum effect and the reversal effect of the foreign exchange margin trading are studied .
Secondly , on the basis of the theoretical analysis , the empirical analysis is introduced to further explore the momentum effect and reversal effect in foreign exchange margin trading through the analysis of 12 foreign currency exchange rates from Jan . 1 , 2005 to May 1 , 2013 .
Then , by analyzing the data , we can see that momentum effect and reversal effect exist in the foreign exchange margin trading market , and the momentum effect is more extensive and stable than the inversion effect in the foreign exchange margin trading market ;
Finally , through theoretical and empirical analysis , it can be seen that , for investors with foreign exchange margin , they can implement momentum strategy to obtain excess earnings in foreign exchange margin investment . At the same time , if our country opens its foreign exchange margin business , it should strengthen supervision , create more excellent platform and standardized information transmission mechanism , and bring more convenient investment space for investors , and can bring impact to our economy at the same time to prevent the negative impact of momentum effect and reverse effect .
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 王粟e，

本文編號(hào)：2090963