本文關(guān)鍵詞：基于動量效應(yīng)的商品期貨交易策略研究　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 商品期貨 動量策略 價格動量

【摘要】：本文以行為金融學(xué)中的動量效應(yīng)為出發(fā)點,來研究適用于我國商品期貨市場的動量交易策略。通過對不同觀察期和持有期的投資組合進行對比分析,選擇出具有最大超額收益的動量交易策略。在研究傳統(tǒng)動量策略的同時,本文也對以“周“為時間周期的價格動量策略進行了初步探討。 本文選擇了從2008年1月4日到2013年2月8日的交易區(qū)間,在市場回報率方面選取了文華商品指數(shù)作為參考,選擇的期貨品種覆蓋了農(nóng)產(chǎn)品和工業(yè)品中成交量最大的品種。通過將傳統(tǒng)的動量交易策略應(yīng)用在商品期貨市場中,發(fā)現(xiàn)隨著觀察期和持有期的延長(以周為時間單位),動量交易策略的收益逐漸降低,而觀察期和持有期均為一周的動量交易策略取得了最高的周平均收益。分析結(jié)果顯示當(dāng)持有期超過16周以后,將會出現(xiàn)明顯的反轉(zhuǎn)效應(yīng)。接下來又研究了另外一種動量策略—價格動量策略,以移動平均線為基礎(chǔ),當(dāng)短期均線上穿長期均線時價格具有向上的動量,而當(dāng)短期均線下穿長期均線時價格具有向下的動量。通過對歷史數(shù)據(jù)的分析,這種價格動量策略也可以取得很高的周平均收益。 本文對兩種動量策略的收益特點和來源做了一個初步的分析,認為傳統(tǒng)動量交易策略不能用相對于股票市場的風(fēng)險補償來進行解釋,而且該策略的收益與文化商品指數(shù)的收益負相關(guān)。從多頭收益和空頭收益率走勢來看可以用投資者反應(yīng)不足或者反應(yīng)過度來進行解釋。價格動量策略的收益來源于大型商品牛熊市帶來的大型趨勢行情和季節(jié)性因素導(dǎo)致的板塊趨勢行情,工業(yè)品由于跟宏觀經(jīng)濟聯(lián)系緊密,價格波動的周期較長,經(jīng)常會出現(xiàn)長達1年多的大型趨勢,但是板塊趨勢行情就較少。農(nóng)業(yè)品受天氣情況和自然條件的約束,供給和需求在一年內(nèi)會發(fā)生有規(guī)律的變化,因此3-4個月的板塊趨勢行情就較為常見,而更長期的大型趨勢行情就較少。 本文主要有三方面的創(chuàng)新之處：第一,相對于以往研究期貨市場動量效應(yīng)和動量策略的文章,本文有更為全面和更新的交易數(shù)據(jù),使得對動量策略的分析更加貼近實際。第二,本文在研究傳統(tǒng)動量策略的同時,也研究了價格動量策略,并將二者的結(jié)果進行對比分析。第三,通過實證分析的結(jié)果,證明了商品期貨市場中存在的一些規(guī)律和現(xiàn)象。
[Abstract]:Based on the momentum effect in behavioral finance, this paper studies the momentum trading strategies suitable for China's commodity futures market, and makes a comparative analysis of the portfolio of different observation periods and holding periods. The momentum trading strategy with maximum excess return is selected. While studying the traditional momentum strategy, this paper also preliminarily discusses the price momentum strategy with "week" as the time period. This paper selects the trading range from January 4th 2008 to February 8th 2013, and selects the Wenhua commodity index as the reference in terms of market return. The selected futures cover the largest trading volume of agricultural products and industrial products. The traditional momentum trading strategy is applied to commodity futures market. It is found that with the prolongation of the observation period and the holding period (week as the unit of time), the profit of momentum trading strategy decreases gradually. The momentum trading strategy with both observation period and holding period obtained the highest weekly average return. The results showed that when the holding period exceeded 16 weeks. Then we study another momentum strategy, price momentum strategy, which is based on moving average, and the price has upward momentum when the short-term average goes through the long-term average. The price has the downward momentum when the short-term moving average goes through the long-term moving average, and through the analysis of the historical data, the price momentum strategy can also obtain a very high weekly average income. This paper makes a preliminary analysis of the income characteristics and sources of the two momentum strategies, and concludes that the traditional momentum trading strategy cannot be explained by the risk compensation relative to the stock market. Moreover, the return of this strategy is negatively correlated with that of the cultural commodity index. The trend of long and short returns can be explained by the underreaction or overreaction of investors. The source of the revenue of the price momentum strategy. In large commodity bull bear market bring large trend market and seasonal factors caused by the plate trend market. Industrial products are closely linked to the macro economy, the cycle of price fluctuations is longer, often for more than a year of large-scale trends, but the plate trend market is less. Agricultural products are constrained by weather conditions and natural conditions. Supply and demand change regularly over the course of a year, so trend trends are more common in three to four months and fewer in larger trends over the longer term. There are three main innovations in this paper: first, compared with the previous research on momentum effect and momentum strategy of futures market, this paper has more comprehensive and updated trading data. Make the analysis of momentum strategy closer to the reality. Second, this paper studies the traditional momentum strategy, but also studies the price momentum strategy, and compares the results of the two. Third. Based on the results of empirical analysis, some laws and phenomena in commodity futures market are proved.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F724.5

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本文編號：1388145