本文選題：外匯保證金 + 動量效應��； 參考：《天津財經(jīng)大學》2014年碩士論文

【摘要】：外匯保證金在全球范圍內都是一種頂級投資產(chǎn)品,但在我國國內外匯保證金仍處于非陽光化階段。目前,一方面隨著我國金融改革的推進,特別是匯率改革的不斷深入,人民幣資本項目自由兌換終將到來,另一方面我國個人外匯投資需求的不斷增大和國外外匯中介機構對國內市場的躍躍欲試,供需兩方面的因素導致外匯保證金勢必會重新解禁,并且會再次受到投資者的追捧而煥發(fā)新的活力。鑒于此種形勢,對外匯保證金投資的投資策略進行相應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,根據(jù)外匯保證金價格變動中的特點對我國進行外匯保證金市場的建設和監(jiān)督管理進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證分析相結合的方法來研究外匯保證金交易的動量效應和反轉效應,首先在行為金融理論角度分析了投資過程中存在的動量效應和反轉效應,揭示了兩種效應存在的原因和運行機理；其次,在理論分析的基礎上引入實證分析,通過對12種外幣匯率自2005年1月1日到2013年5月1日長達101個月的月度數(shù)據(jù)進行贏者——輸者組合策略的分析,進一步的探索外匯保證金交易中存在的動量效應和反轉效應；然后,通過對數(shù)據(jù)的分析可以看到,在外匯保證金交易市場上確實存在動量效應和反轉效應,而且動量效應要比反轉效應更加廣泛且穩(wěn)定的存在于外匯保證金交易市場中；最后,通過理論和實證的分析可以看到,對外匯保證金的投資者而言,他們可以實施動量策略來在外匯保證金投資中獲得超額收益,同時,若我國開放外匯保證金業(yè)務,則應當加強監(jiān)管,創(chuàng)造更加優(yōu)秀的平臺和規(guī)范化的信息傳遞機制,在為投資者帶來更廣闊便利的投資空間的同時又要以防止動量效應和反轉效應的負面影響給我國經(jīng)濟帶來沖擊。
[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 .
【學位授予單位】：天津財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.6

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