本文選題：羊群行為 + 金屬期貨市場(chǎng)��； 參考：《成都理工大學(xué)》2017年碩士論文

【摘要】：金融市場(chǎng)在隨時(shí)不斷的變化,虛擬程度也越來(lái)越高,衍生的產(chǎn)品也具有特殊性,與現(xiàn)實(shí)的實(shí)體經(jīng)濟(jì)實(shí)體化、真實(shí)性有著很大的區(qū)別,而人作為獨(dú)立的個(gè)體,構(gòu)成了金融市場(chǎng)不可或缺的部分,人的操作行為和心里特征時(shí)刻影響著金融市場(chǎng)的風(fēng)云變化,人可能根據(jù)自己的心理變化而做出影響金融市場(chǎng)的行為,因此,金融市場(chǎng)具有不穩(wěn)定性。而如今的信息隨時(shí)隨地都在變化,信息可以隨時(shí)隨地全世界傳播,信息化的時(shí)代影響著世界經(jīng)濟(jì)的發(fā)展,雖然經(jīng)濟(jì)的全球化、信息化對(duì)于各國(guó)經(jīng)濟(jì)資源的整合和成本的降低起著不可磨滅的作用,但是正因?yàn)槿绱?開放的世界經(jīng)濟(jì)中資本的自由性流動(dòng)使得金融市場(chǎng)的不穩(wěn)定性越發(fā)突出。羊群行為在在中國(guó)金屬期貨市場(chǎng)中構(gòu)成了一個(gè)不可忽視的部分,市場(chǎng)投資者由于多種原因在進(jìn)行投資的過(guò)程中相互模仿彼此的行為,有些甚至不理性,盲目跟風(fēng)從眾,而這種模仿行為對(duì)于金屬期貨市場(chǎng)的變動(dòng)具有很重大的影響,影響著金屬期貨市場(chǎng)的穩(wěn)定性。所謂羊群行為,是指一種模仿的行動(dòng)快速的在人與人之間擴(kuò)散的跟風(fēng)行為,本文采取文獻(xiàn)與實(shí)證的研究方法對(duì)金屬期貨市場(chǎng)羊群行為的研究具有現(xiàn)實(shí)性。本文以選題的背景與意義為基礎(chǔ)進(jìn)行研究探討,以我國(guó)金屬期貨市場(chǎng)為研究對(duì)象,采用2009年1月到2016年12月金屬期貨市場(chǎng)上的具有代表性的銅、鋁、鋅為樣本數(shù)據(jù),對(duì)羊群行為進(jìn)行實(shí)證檢驗(yàn)。(1)對(duì)以往的羊群行為實(shí)證研究方法進(jìn)行優(yōu)劣分析,并因此根據(jù)金屬期貨市場(chǎng)的特殊性需要,選擇CSAD方法模型并對(duì)搜集的原始數(shù)據(jù)進(jìn)行計(jì)算處理,具體分析金屬期貨市場(chǎng)羊群行為的存在性(2)根據(jù)市場(chǎng)平均收益率的正負(fù)分別對(duì)金屬期貨市場(chǎng)的羊群行為進(jìn)行分析檢驗(yàn),探究金屬期貨市場(chǎng)的羊群效應(yīng)是否存在對(duì)稱性;(3)對(duì)7日銀行間債券質(zhì)押式回購(gòu)利率進(jìn)行引入,將金屬期貨市場(chǎng)劃分為7日銀行間債券質(zhì)押式回購(gòu)利率連續(xù)上調(diào)和下降兩個(gè)市場(chǎng),看7日銀行間債券質(zhì)押式回購(gòu)利率因子對(duì)金屬期貨市場(chǎng)羊群行為的影響。(4)探究在Granger因果檢驗(yàn)方法下在7日銀行間債券質(zhì)押式回購(gòu)利率的影響下金屬期貨價(jià)格與羊群行為兩者之間是否存在反饋強(qiáng)化作用。通過(guò)本文分析可得到(1)經(jīng)實(shí)證證明羊群行為在中國(guó)金屬期貨市場(chǎng)總體市場(chǎng)是存在的。(2)在市場(chǎng)收益率大于零的時(shí)候,羊群行為在金屬期貨市場(chǎng)是存在的,而當(dāng)市場(chǎng)收益率小于零的時(shí)候,于之相反,羊群行為在金屬期貨市場(chǎng)是不存在的,因此金屬期貨市場(chǎng)在市場(chǎng)收益率為大于零和小于零的兩個(gè)階段不存在對(duì)稱性的羊群行為。(3)引進(jìn)7日銀行間債券質(zhì)押式回購(gòu)利率,將七年時(shí)間段的金屬期貨市場(chǎng)拆分成利率連續(xù)上調(diào)和下調(diào)兩個(gè)階段。研究結(jié)果發(fā)現(xiàn)在7日銀行間債券質(zhì)押式回購(gòu)利率連續(xù)上調(diào)階段,羊群行為是存在的,在7日銀行間債券質(zhì)押式回購(gòu)利率下降階段,不存在羊群行為。(4)運(yùn)用Granger因果檢測(cè)得出金屬期貨價(jià)格與羊群行為之間反饋強(qiáng)化關(guān)系:我們發(fā)現(xiàn)在整個(gè)研究時(shí)段的過(guò)程中經(jīng)過(guò)格蘭杰因果檢驗(yàn),可得到金屬期貨價(jià)格是金屬期貨市場(chǎng)形成羊群效應(yīng)的Granger原因,在7日銀行間債券質(zhì)押式回購(gòu)利率上漲的階段里,經(jīng)過(guò)實(shí)證可得到金屬期貨價(jià)格是金屬期貨市場(chǎng)形成羊群效應(yīng)的Granger原因,而在7日銀行間債券質(zhì)押式回購(gòu)利率下降的政策階段里,金屬期貨價(jià)格與羊群效應(yīng)互無(wú)因果關(guān)系,均接受對(duì)方不是其原因的原假設(shè)。結(jié)合我國(guó)金屬期貨具體的情況,本文從改善金屬期貨市場(chǎng)參與者結(jié)構(gòu)、建立合理的價(jià)格波動(dòng)機(jī)制、加強(qiáng)對(duì)信息的披露、增加金屬期貨品種等四個(gè)方面分別給了不同的可行性建議。對(duì)國(guó)外的投資機(jī)構(gòu)有秩序、有目的加以引進(jìn),合理的培養(yǎng)機(jī)構(gòu)投資者,對(duì)金屬期貨市場(chǎng)的信息披露進(jìn)行監(jiān)管,擴(kuò)大監(jiān)管范圍,對(duì)交易品種信息的發(fā)布時(shí)間的及時(shí)性和全面性進(jìn)行監(jiān)管,強(qiáng)化政府的執(zhí)行力度,避免因?yàn)樾畔⒌牟患皶r(shí)、不全面而造成投資者的投資損失,同時(shí)加強(qiáng)行業(yè)間的監(jiān)管,減少行業(yè)不公平競(jìng)爭(zhēng)造成的投資者損失,交易所應(yīng)時(shí)刻對(duì)自身采取自律監(jiān)管。由此,改善金屬期貨市場(chǎng)的羊群行為,給投資者建立良好的市場(chǎng)環(huán)境和優(yōu)良的投資機(jī)會(huì),使得投資者可以采取良好且理性的投資策略,以此獲取最大的效益,進(jìn)而推進(jìn)金屬期貨市場(chǎng)安全穩(wěn)定的發(fā)展。
[Abstract]:The financial market is changing at any time, and the virtual degree is getting higher and higher. The derivative products are also special. There is a great difference between the real economy entity and reality. As an independent individual, the financial market is an indispensable part of the financial market. The operation behavior and the psychological characteristics of the human are always affecting the financial market. As the wind and cloud change, people may act on the financial market according to their own psychological changes. Therefore, the financial market is unstable. And the information is changing everywhere and anywhere, information can be spread all the time and anywhere. The information era affects the development of the world economy, although the economy is globalized and information is for each The integration of economic resources and the reduction of cost play an indelible role, but because of this, the free flow of capital in the open world economy makes the instability of the financial market more prominent. The herd behavior constitutes an unnegligible part in the Chinese metal futures market, and the market investors are due to a variety of original sources. In the process of investing in the process of imitation each other's behavior, some even irrational, blindly follow the crowd, and this imitative behavior has a great influence on the change of metal futures market, which affects the stability of the metal futures market. The so-called herding behavior is a kind of imitative action to spread quickly between people. This article is based on the background and significance of the topic, taking the metal futures market of our country as the research object and adopting the representative copper in the metal futures market from January 2009 to December 2016. Aluminum and zinc are the sample data, and the sheep herding behavior is empirically tested. (1) to analyze the previous empirical research methods of herding behavior, and to select the CSAD method model and calculate the original data according to the special needs of the metal futures market, and analyze the existence of the herd behavior in the metal futures market (2). According to the positive or negative of the average rate of return of the market, the sheep herding behavior in metal futures market is analyzed and tested to find out whether the herd effect in the metal futures market is symmetrical. (3) the introduction of the 7 day inter-bank bond repo rate is divided into the 7 day interbank bond repo rate continuously up-regulated. And drop two markets to see the effect of the 7 day interbank bond repo rate on the herd behavior in the metal futures market. (4) to explore whether there is a feedback strengthening effect between the metal futures price and herd behavior under the influence of the Granger causality test under the influence of the 7 day interbank bond repo rate on the 7 day interbank bond repo. The analysis can be obtained (1) it is proved that herd behavior exists in the overall market of Chinese metal futures market. (2) when the market return is greater than zero, the herd behavior exists in the metal futures market, and when the market return is less than zero, the sheep group behavior is not exist in the metal futures market, so the metal is not in the metal futures market. The futures market does not have symmetrical herding behavior in the two stages of the market yield of more than zero and less than zero. (3) the introduction of the 7 day interbank bond repo rate, the metal futures market of the seven year period is divided into two stages of the rate of continuous rise and downregulation of the interest rate. The results of the study found that the pledge repurchase profit of interbank bonds in the 7 day was found. The rate of herd behavior exists in the continuous up-regulation stage, and there is no herding behavior in the stage of the 7 day interbank bond repo rate decline. (4) Granger causality detection is used to obtain a feedback strengthening relationship between metal futures price and herd behavior: we find that the Grainger causality test can be obtained during the whole study period. The metal futures price is the Granger cause of the herd effect in the metal futures market. In the 7 day period of the rise of the interbank bond repo rate, it can be found that the metal futures price is the Granger cause of the herd effect in the metal futures market and the policy stage of the decline of the interbank bond repo rate in the 7 day. There are no causal relationship between the metal futures price and the herd effect, and they all accept the original hypothesis that the other is not the reason. Based on the specific situation of China's metal futures, this paper gives the four aspects of improving the structure of the metal futures market participants, establishing a reasonable price fluctuation mechanism, strengthening the disclosure of information and increasing the variety of metal futures, respectively. There are different feasible proposals. The foreign investment institutions have order, have the aim to introduce, cultivate the institutional investors rationally, supervise the information disclosure of the metal futures market, expand the scope of supervision, supervise the timeliness and comprehensiveness of the release time of the transaction variety information, strengthen the government's execution and avoid the information. When it is not timely and incomplete, it causes the investment loss of investors, at the same time, to strengthen the supervision between industries and reduce the losses caused by unfair competition in the industry, the exchange should take self regulatory supervision at all times. Thus, it will improve the herd behavior of the metal futures market and establish a good market environment and good investment opportunities for the investors. Investors can take a good and rational investment strategy to maximize the benefits, and then push forward the safety and stability of the metal futures market.

【學(xué)位授予單位】：成都理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F724.5;F764.2

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本文編號(hào)：1869572