本文選題：過度反應(yīng) + 期貨市場日內(nèi)價格　； 參考：《南京財經(jīng)大學(xué)》2013年碩士論文

【摘要】：行為金融學(xué)是建立在市場參與者并不總是理性的基礎(chǔ)上，他們在“有限理性、有限自制”的原則下進(jìn)行投資決策。正是投資者并不總是理性，其決策就會受到心理認(rèn)知偏差、市場上其他因素的影響，這種行為偏差就會導(dǎo)致投資者對于市場信息過度反應(yīng)，引起價格偏離其基本價值，從而出現(xiàn)過度反應(yīng)現(xiàn)象。 目前國內(nèi)的研究主要集中于股票市場，得出我國證券市場存在過度反應(yīng)現(xiàn)象，而很少研究期貨市場。但我們知道期貨市場與股票市場作為金融市場的一部分，二者之間存在緊密的聯(lián)系。隨著股市的大幅波動，我國期貨市場交易活躍、交易量大幅上升、日內(nèi)價格波動大，這背后的動因值得我們思考：如果期貨市場日內(nèi)價格波動是對市場信息沖擊（股票市場價格波動）的正確反應(yīng)，那么期貨市場日內(nèi)價格波動是期貨市場發(fā)展和完善的結(jié)果；如果期貨市場日內(nèi)價格波動主要是由非理性因素引起的，那么需要采取相應(yīng)的措施來規(guī)范期貨市場的發(fā)展�？紤]到期貨市場與股票市場的共同點，可以推測期貨市場也可能存在過度反應(yīng)現(xiàn)象。 本文首先對國內(nèi)外過度反應(yīng)的研究文獻(xiàn)進(jìn)行了評述，然后分析股票市場與期貨市場之間價格的內(nèi)在聯(lián)系，再從行為金融視角分析了個人投資者、機(jī)構(gòu)投資者、期貨市場監(jiān)管者可能產(chǎn)生過度反應(yīng)的心理與行為偏差，理論分析了我國期貨市場存在過度反應(yīng)的可能性；進(jìn)一步實證檢驗了我國期貨市場是否存在過度反應(yīng)現(xiàn)象,得出如下結(jié)論： （1）我國期貨市場日內(nèi)價格對于股票市場隔夜收益波動存在過度反應(yīng)現(xiàn)象，過度反應(yīng)存在規(guī)模效應(yīng)，即股票市場隔夜收益波動越大，期貨市場當(dāng)天日內(nèi)價格反轉(zhuǎn)程度越大。同時滬銅、滬鋁期貨合約不存在市場成熟效應(yīng)，而天然橡膠期貨合約存在市場成熟效應(yīng)。 （2）期貨市場存在投資者情緒平穩(wěn)效應(yīng)，，即過度反應(yīng)現(xiàn)象在交易日為星期一有顯著性減弱或者不存在，此結(jié)論可認(rèn)為我國期貨市場過度反應(yīng)現(xiàn)象是一種行為現(xiàn)象，由投資者的行為偏差造成的，同時交易者行為模型也可解釋過度反應(yīng)存在的原因。市場成熟與投資者情緒平穩(wěn)效應(yīng)的存在減弱了過度反應(yīng)的程度。 （3）利用過度反應(yīng)現(xiàn)象，設(shè)計反轉(zhuǎn)交易策略在期貨市場上進(jìn)行交易時可以獲得正的收益，并且股票市場隔夜收益波動越大，在期貨市場上采用反轉(zhuǎn)交易策略所得收益越大，此結(jié)論可以為投資者的投資策略提供借鑒。
[Abstract]:Behavioral finance is based on the fact that market participants are not always rational. They make investment decisions under the principle of "limited rationality, limited self-control". Just because investors are not always rational, their decisions will be influenced by psychological cognitive bias and other factors in the market. This kind of behavior deviation will lead investors to overreact to market information and cause prices to deviate from their basic value. As a result, overreaction occurs. At present, the domestic research is mainly focused on the stock market. It is concluded that there is overreaction in the stock market in our country, but there is little research on the futures market. But we know that the futures market and the stock market as part of the financial market, there is a close relationship between the two. With the sharp fluctuations in the stock market, the futures market in our country is trading actively, the volume of trading volume has risen substantially, and the intraday prices have fluctuated greatly. The motivation behind this is worth considering: if intraday price fluctuation in futures market is the correct response to market information shock (stock market price fluctuation), intraday price fluctuation in futures market is the result of futures market development and improvement; If intraday price fluctuation in futures market is mainly caused by irrational factors, it is necessary to take corresponding measures to standardize the development of futures market. Considering the similarities between the futures market and the stock market, we can speculate that the futures market may also overreact. This paper first reviews the literature on overreaction at home and abroad, then analyzes the price relationship between stock market and futures market, and then analyzes individual investors and institutional investors from the perspective of behavioral finance. This paper analyzes the possibility of overreaction in China's futures market, and further tests whether there is overreaction in China's futures market. The following conclusions are drawn: 1) the intraday price of futures market in our country is overreacting to the volatility of overnight return in stock market, and the overreaction exists scale effect, that is, the greater the volatility of overnight return in stock market, the greater the degree of intraday price reversal in futures market. At the same time, Shanghai copper and Shanghai aluminum futures contracts have no market maturity effect, while natural rubber futures contracts have market maturity effect. 2) there is a stable effect of investor sentiment in the futures market, that is, the phenomenon of overreaction weakens significantly or does not exist on Monday on the trading day. This conclusion can be concluded that the phenomenon of overreaction in futures market of our country is a kind of behavior phenomenon. At the same time, the behavior model of traders can also explain the existence of overreaction. The degree of overreaction is weakened by the existence of market maturity and investor mood stabilization effect. 3) using the phenomenon of overreaction, we can get positive return when designing reverse trading strategy to trade in futures market, and the bigger the volatility of stock market overnight, the greater the income of using reverse trading strategy in futures market. This conclusion can provide reference for investors'investment strategy.
【學(xué)位授予單位】：南京財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F724.5;F224

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