本文關(guān)鍵詞：商品期貨市場(chǎng)動(dòng)量效應(yīng)和正反饋交易的實(shí)證研究　出處：《云南財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：本文研究的重點(diǎn)是動(dòng)量效應(yīng)與正反饋交易。兩個(gè)概念均是證券市場(chǎng)上的特殊現(xiàn)象，他們與有效市場(chǎng)假說(shuō)相悖，均無(wú)法用有效市場(chǎng)假說(shuō)理論來(lái)解釋。動(dòng)量效應(yīng)最開(kāi)始指——證券的業(yè)績(jī)無(wú)論好壞都會(huì)持續(xù)下去。隨著研究的發(fā)展,后指股票的價(jià)格運(yùn)動(dòng)趨勢(shì)也會(huì)持續(xù)下去，再后來(lái)擴(kuò)展到了股票的賬面收益、凈資產(chǎn)、行業(yè)利潤(rùn)、成交量等指標(biāo)的延續(xù)。正反饋交易則指交易者根據(jù)證券價(jià)格短期表現(xiàn)進(jìn)行交易，，在價(jià)格上漲時(shí)做多，在價(jià)格下跌時(shí)做空，即“追漲殺跌”。在本文中通過(guò)分析，將兩個(gè)概念等同，并且沿用到中國(guó)商品期貨市場(chǎng)。 本文對(duì)兩個(gè)概念分別進(jìn)行了實(shí)證檢驗(yàn)，通過(guò)對(duì)比，兩者的結(jié)論得到相互驗(yàn)證。動(dòng)量效應(yīng)通過(guò)Debondt和Thaler的實(shí)證檢驗(yàn)方法，選擇時(shí)間周期2007年6月1日至2012年6月1日，樣本為上海商品交易所交易的滬銅、橡膠、燃油、滬鋁；在大連商品交易所交易的豆一、豆二、玉米、豆粕、豆油；在鄭州商品交易所交易的鄭棉、白糖、PTA。得出中國(guó)期貨市場(chǎng)中，勝者組合，在某些比較短的周期內(nèi)存在動(dòng)量效應(yīng)，比如觀(guān)察期和持有期分別為（1,4），（2,1），（4,1）等；而對(duì)于敗者組合，存在反轉(zhuǎn)效應(yīng)比如（2,1），（2,4），（4,1）等；對(duì)于動(dòng)量交易組合，動(dòng)量交易組合超額收益率顯著大于零的組合僅僅有（1,4）一組。 對(duì)我國(guó)商品期貨市場(chǎng)上的正反饋實(shí)證檢驗(yàn)，主要對(duì)滬銅、橡膠、白糖、玉米進(jìn)行了周收益率的自相關(guān)檢驗(yàn)。樣本空間是2007.6.1-2012.6.1。從滬銅的自相關(guān)檢驗(yàn)和橡膠的上漲階段檢驗(yàn)結(jié)果可以看出，我國(guó)期貨市場(chǎng)中存在正反饋投機(jī)者。當(dāng)交易品種（例如滬銅、橡膠等）伴隨著大成交量大幅波動(dòng)時(shí)，大量非理性投資者不顧交易品種的真實(shí)價(jià)格，非理性的追漲殺跌，導(dǎo)致品種更劇烈的波動(dòng)。正反饋交易者這樣的行為加劇了市場(chǎng)的波動(dòng)，減弱了期貨市場(chǎng)發(fā)現(xiàn)價(jià)格和套期保值的能力，降低了市場(chǎng)的有效性。 本文最后結(jié)合實(shí)證結(jié)果，對(duì)中國(guó)商品期貨市場(chǎng)上存在的問(wèn)題和投資者結(jié)構(gòu)進(jìn)行了分析，對(duì)商品期貨市場(chǎng)提出改進(jìn)意見(jiàn)。另外本文將動(dòng)量交易策略運(yùn)用于商品期貨市場(chǎng)，也為機(jī)構(gòu)投資者進(jìn)入市場(chǎng)提供一種投資參考。
[Abstract]:This paper focuses on momentum effect and positive feedback trading. The two concepts are special phenomena in the stock market and they are contrary to the efficient market hypothesis. Momentum effect initially means that the performance of securities will continue, regardless of whether good or bad. With the development of research, the trend of stock price movement will continue. Then it extends to the continuation of book gains, net assets, industry profits, turnover and other indicators of stocks. Positive feedback trading refers to traders trading according to the short-term performance of securities prices, long when prices rise. In this paper, the two concepts are identical, and they are used in China's commodity futures market. In this paper, the two concepts are empirically tested, and the two conclusions are verified by comparison. Momentum effect is tested by Debondt and Thaler. Selected time period from June 1st 2007 to June 1st 2012, samples are Shanghai Copper, Rubber, fuel, Shanghai Aluminum traded on the Shanghai Mercantile Exchange; In the Dalian Commodity Exchange, the trading of one, two beans, corn, soybean meal, soybean oil; Zheng Mian, Sugar PTA. in Zhengzhou Commodity Exchange, it is concluded that in China's futures market, there is momentum effect in some relatively short periods, such as observation period and holding period respectively. (4) 4 ~ (1) ~ (2) ~ (1) ~ (1) ~ (4) ~ (1)); For the loser combination, there are reverse effects, such as the inversion effect of the two groups, for example, the second one is the first one, the other is the second one, and the other is the same as the one in the other. For the momentum trading portfolio, the excess return of momentum trading portfolio is significantly greater than zero. Positive feedback empirical test on China's commodity futures market, mainly on Shanghai copper, rubber, sugar. The sample space is 2007.6.1-2012.6.1.The results of self-correlation test of Shanghai copper and rubber rising stage can be seen. There are positive feedback speculators in China's futures market. When trading varieties (such as Shanghai copper rubber and so on) fluctuate with large volume a large number of irrational investors ignore the real price of trading varieties. Irrational pursuit leads to more intense volatility of varieties. Positive feedback traders' behavior exacerbates market volatility and weakens the ability of futures markets to detect prices and hedge. It reduces the efficiency of the market. At the end of this paper, we analyze the existing problems and investor structure in China's commodity futures market based on the empirical results. In addition, this paper applies momentum trading strategy to commodity futures market and provides an investment reference for institutional investors to enter the market.
【學(xué)位授予單位】：云南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F724.5

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