本文選題：滬深300指數(shù)期貨 + 行為金融�。� 參考：《西南財經(jīng)大學(xué)》2013年博士論文

【摘要】：傳統(tǒng)的有效市場假說以經(jīng)濟人的理性預(yù)期作為微觀基礎(chǔ),認為市場是被理性投資者所“控制”的,市場價格能夠反映市場的有效性。但是,在全球金融市場迅猛發(fā)展,金融產(chǎn)品不斷推陳出新,市場波動加快加大的同時,發(fā)生的很多金融“異象”卻無法用傳統(tǒng)的金融理論進行合理的解釋,市場有效理論受到質(zhì)疑。在此背景下,研究者逐漸意識到投資者其實是“正常人”而并非總是“理性人”,這也正是行為金融理論的假設(shè)前提。運用行為金融理論可以對不確定條件下投資者的認知、心理及行為偏差進行實證檢驗,對投資者交易過程、市場的異常波動和市場間的聯(lián)動反應(yīng)進行剖析,尋找市場投資者“非理性”的真實證據(jù),分析其原因和影響。 隨著我國資本市場的不斷發(fā)展,許多研究都表明我國市場的有效性水平較低,股票、期貨市場投資者的“非理性”行為普遍存在,特別是發(fā)展才三年多的我國股指期貨市場,投資者的投資理念及投資心理尚未成熟,投資者理性程度較低,這對我國金融市場的健康發(fā)展會造成非常不利的影響。在此情況下,采用實證方法,運用行為金融學(xué)理論研究我國股指期貨市場投資者的實際投資行為,發(fā)現(xiàn)其行為模式和行為理性程度,對于探究我國股指期貨市場價格的內(nèi)在形成機制,提高市場有效性,促進市場健康發(fā)展具有非常重要的現(xiàn)實意義。 因此,本文將我國股指期貨投資者作為研究對象,以投資者行為作為關(guān)鍵詞貫穿全文,研究了我國股指期貨投資者心理偏差和行為偏差的存在性、市場表現(xiàn)和影響。我國股指期貨投資者個體微觀層面的非理性如何表現(xiàn)?投資者非理性的市場宏觀層面如何反映?市場與市場信息的傳遞如何造成投資者的非理性?對于這一系列問題的研究,本文從股指期貨投資者的處置效應(yīng)、過度自信和過度反應(yīng)這三個方面的實證研究展開討論。 全文從對市場有效性假說的討論入手,對行為金融學(xué)關(guān)于行為人非理性的內(nèi)在基礎(chǔ)和外在表現(xiàn)進行了歸納和總結(jié),在此基礎(chǔ)上選擇投資者處置效應(yīng)、過度自信和過度反應(yīng)這三個方面展開由微觀主體到宏觀市場層面的實證分析,最后得出結(jié)論和政策建議。文章計劃分七個部分： 第一章為緒論。首先,闡明了本文的選題背景和研究意義；其次,對本文的研究方法和主要研究內(nèi)容進行了闡述；再次,指出本文研究的創(chuàng)新點與不足之處；最后,對本文的研究框架進行了梳理。 第二章主要從心理學(xué)研究成果的角度對投資者“非理性”的內(nèi)在基礎(chǔ)—認知和心理偏差的形式和表現(xiàn)進行了歸納和總結(jié)。行為金融學(xué)對經(jīng)典金融理論最重要的突破,就是不再將有關(guān)“理性人”的假說作為前提。行為金融學(xué)的研究對象從“理性人”轉(zhuǎn)變?yōu)橐粋�“正常人”,其信念的形成并不遵從貝葉斯理性,其選擇偏好也并不一定滿足期望效用最大化,而是存在著種種“非理性”的局限。本章從認知偏差和心理偏差的角度區(qū)分投資者的“非理性”對投資決策行為產(chǎn)生主要影響的認知偏差、過度自信、前景理論、后悔理論、心理賬戶、處置效應(yīng)以及羊群效應(yīng)等行為金融心理學(xué)進行了歸納和總結(jié)。投資者的認知和心理偏差會導(dǎo)致投資者行為的偏差,是市場非有效的重要原因,也是本文實證研究的主要內(nèi)容。 第三章主要從行為金融模型應(yīng)用的角度對投資者“非理性”的外在表現(xiàn)—經(jīng)典金融學(xué)難以合理解釋的市場異象進行了分析和解釋。在第二章對行為金融學(xué)的假設(shè)前提—“正常人”心理特征的研究基礎(chǔ)上,對投資者的行為決策進行更為細致的刻畫,對金融市場異象給出更為實際與合理的解釋。首先,對投資者投資策略和交易行為的非理性進行了歸納和分析,對于這些現(xiàn)象的解釋主要基于投資者認知能力的有限性、心理賬戶、過度自信、后悔厭惡等心理特征；其次,對投資者在資產(chǎn)定價方面的非理性表現(xiàn)進行了歸納和分析,投資者的保守心理、前景理論、代表性認知、模糊厭惡、過度自信等行為心理特征可以給予一定的解釋；最后,討論涉及IPO的行為金融應(yīng)用,其中投資者過度自信、樂觀的心理特征會影響到公司財務(wù)決策,而發(fā)行人和承銷商可能利用市場的非理性,從理性的角度出發(fā)尋求利益最大化。 第四章對我國股指期貨投資者的處置效應(yīng)行為偏差進行了實證檢驗。處置效應(yīng)是投資者行為研究領(lǐng)域最著名的規(guī)律之一,它是指投資者總是傾向于出贏保虧,即過快地賣出賺錢的股票,過久地持有虧錢的股票。對投資者處置效應(yīng)的研究是本文從交易者賬戶這樣的微觀層面對投資者行為偏差進行探究,這背后蘊含的是投資者面對確定收益與不確定損失時風(fēng)險偏好的改變,是投資者后悔厭惡心理在起作用。本章對某期貨公司2300個投資者交易賬戶樣本分析后發(fā)現(xiàn),我國股指期貨市場投資者確實具有較為明顯的處置效應(yīng)行為偏差,并且個人投資者相對于機構(gòu)投資者其處置效應(yīng)的特征更顯著；具有豐富經(jīng)驗的投資者展現(xiàn)出了較低的處置效應(yīng)特征,這表明職業(yè)培訓(xùn)經(jīng)驗雖然不能完全消除投資者的行為偏差,但是確實可以在一定程度上降低行為偏差。這一點對于機構(gòu)投資者和個人投資者都適用；機構(gòu)投資者的處置效應(yīng)對其投資盈利能力沒有顯著影響,但個人投資者的處置效應(yīng)和投資業(yè)績表現(xiàn)之間呈現(xiàn)顯著的負相關(guān)關(guān)系,處置效應(yīng)越大,投資業(yè)績越差。 第五章從市場交易量的角度對我國股指期貨市場投資者過度自信的心理偏差進行了實證分析。在金融市場上“交易量之謎”(Volume Puzzle)-一直以來就是引起廣大研究者關(guān)注的現(xiàn)象,過多的交易量反映出市場整體的、系統(tǒng)性的行為偏差,很多研究表明這可能與投資者過度自信的心理偏差有著密切關(guān)聯(lián)。本章采用股指期貨連續(xù)合約五分鐘數(shù)據(jù),時間跨度為2010年4月16日至2012年4月27日。通過對市場收益率和市場交易活動日數(shù)據(jù),使用閥值VAR找到了一些我國股指期貨市場上過度自信與交易量相關(guān)的證據(jù),證明過去市場回報對投資者交易行為(以交易量度量)確有影響。這是本文從整個市場層面對投資者行為偏差的考察。 第六章從國內(nèi)外市場聯(lián)動的角度對我國股指期貨投資者過度反應(yīng)的行為偏差進行實證研究。采用多種方法研究我國股指期貨市場是否對美國股指期貨市場存在過度反應(yīng)。研究發(fā)現(xiàn),首先,我國投資者對于好的或者壞的美國隔夜表現(xiàn)是不對稱的,也就說明過度反應(yīng)確實存在,并且對壞消息的反應(yīng)更強烈一些,存在非對稱效應(yīng)；其次,標準普爾500指數(shù)期貨比較顯著的構(gòu)成了滬深300指數(shù)期貨的Granger原因；再次,信息是從標準普爾500指數(shù)期貨市場傳向滬深300指數(shù)期貨市場的；最后,滬深300指數(shù)股指期貨和標準普爾500指數(shù)期貨之間存在雙向動態(tài)影響。 第七章在全文研究基礎(chǔ)上得出結(jié)論,并提出政策建議。首先,在理論分析和實證檢驗的基礎(chǔ)上,得出我國股指期貨市場投資者行為研究結(jié)論。我國股指期貨市場具有非有效市場特征。個人投資者的非理性特征更顯著。處置效應(yīng)、過度自信和過度反應(yīng)等投資者行為特征對股指期貨市場產(chǎn)生顯著影響。股指期貨投資者行為表現(xiàn)出“有限理性”。其次,對我國股指期貨市場健康發(fā)展,進一步增強市場的有效性提出政策建議。 本文可能的創(chuàng)新點有：(1)以行為金融學(xué)為理論基礎(chǔ),充分利用數(shù)理統(tǒng)計和計量經(jīng)濟分析方法,對投資者行為的實證研究具有由微觀到宏觀的層次性。(2)注重對不同類型投資者行為特征的區(qū)別研究。(3)利用股指期貨市場投資者交易賬戶數(shù)據(jù)來驗證中國股指期貨市場的投資者行為偏差與認知偏差。(4)首次以我國股指期貨市場投資者行為為研究對象,深入探討股指期貨市場非有效性的內(nèi)涵和本質(zhì)。 本文可能的不足有：(1)沒有結(jié)合問卷調(diào)查的形式來對投資者的投資心理進行直接驗證。(2)沒有對股指期貨市場投資者行為進行種類更多,范圍更廣的研究。(3)對于投資者行為研究在理論上的創(chuàng)新性不足。
[Abstract]:The traditional effective market hypothesis takes the rational expectation of the economic man as the microcosmic basis, and thinks that the market is "controlled" by rational investors, and the market price can reflect the effectiveness of the market. However, in the rapid development of the global financial market, the financial products are constantly emerging, the market fluctuation is speeding up and many financial "financial". In this context, the researchers gradually realize that investors are actually "normal people" rather than always "rational people" in this context. This is also the hypothesis of behavioral financial theory. The cognitive, psychological and behavioral deviations of the investors are tested empirically, and the investors' transaction process, the abnormal fluctuation of the market and the linkage reaction between the markets are analyzed, and the real evidence of the "irrational" of the market investors is sought, and the reasons and effects are analyzed.
With the continuous development of China's capital market, many studies have shown that the efficiency of our market is low. The irrational behavior of the stock and futures market investors is common, especially in the stock index futures market, which has developed for more than three years. The investment idea and investment psychology of the investors are not mature, and the investor's rational degree is low. This will have a very negative impact on the healthy development of China's financial market. In this case, the empirical method is used to study the actual investment behavior of the investors in the stock index futures market by behavioral finance theory, and find the behavior pattern and the degree of behavior rationality, and explore the internal formation mechanism of the price of the stock index futures market in our country. It is of great practical significance to improve market efficiency and promote the healthy development of the market.
Therefore, this paper takes the stock index futures investors as the research object, and takes the investor behavior as the key word through the full text, and studies the existence, the market performance and the influence of the stock index futures investors' psychological deviation and behavior deviation in our country. How does the market macro level reflect? How does the transfer of market and market information cause investor irrationality? For the study of this series of issues, this paper discusses the three aspects of the empirical study on the disposal effect, overconfidence and overreaction of stock index futures investors.
Starting with the discussion of the hypothesis of market effectiveness, the paper sums up and summarizes the internal and external manifestations of Behavioral Finance on the irrationality of behavior. On this basis, we choose the three aspects of investors' disposal effect, overconfidence and overreaction. Conclusions and policy recommendations. The article is divided into seven parts.
The first chapter is the introduction. First, it clarifies the background and significance of this topic; secondly, it expounds the research methods and main research contents of this article; thirdly, it points out the innovation points and shortcomings of this study; finally, it combs the research framework of this paper.
The second chapter generalizes and summarizes the form and performance of the intrinsic basis of the investor's "irrational", cognitive and psychological deviation from the perspective of psychological research. The most important breakthrough of behavioral finance to classic financial theory is that the hypothesis of "rational man" is no longer a prerequisite. From the "rational person" to a "normal person", the formation of its belief does not follow the Bayesian rationality, and its choice preference does not necessarily satisfy the maximization of the expected utility, but there are various "irrational" limitations. This chapter distinguishes the investor's "irrational" to the investment decision line from the perspective of cognitive and psychological deviations. The cognitive deviations, overconfidence, overconfidence, prospect theory, regret theory, psychological account, disposal effect and herd effect are summarized and summarized. The investor's cognitive and psychological deviations will lead to the deviations of investors' behavior, which are important reasons for the non effective market and also the main reason for the empirical study. Content.
The third chapter mainly analyzes and explains the external performance of the investor "irrational" from the perspective of the application of behavioral finance model, which is difficult to explain in the classical finance. In the second chapter, on the basis of the study of the hypothetical premise of the behavioral finance, the psychological characteristics of the "normal person", the investor's behavior decision is carried out more. For the meticulous portrayal, it gives a more practical and reasonable explanation of the financial market anomalies. First, the irrational investment strategy and the irrational behavior of the investors are summarized and analyzed. The explanation of these phenomena is mainly based on the psychological characteristics of the investors' cognitive ability, psychological account, overconfidence, regret aversion, and so on. Secondly, The investors' irrational performance in asset pricing is summed up and analyzed. The behavioral psychological characteristics of investors' conservative psychology, prospect theory, representative cognition, fuzzy aversion, overconfidence and other behavioral psychological characteristics can be explained. Finally, the behavioral finance of IPO is discussed, among which investors are overconfident and optimistic psychological characteristics will be found. It affects the company's financial decisions, and issuers and Underwriters may take advantage of the market's irrationality to seek maximum profits from a rational perspective.
The fourth chapter makes an empirical test on the disposition effect deviation of the stock index futures investors in China. The disposal effect is one of the most famous laws in the field of investor behavior research. It refers to the investors who always tend to win the profit and loss, that is to say, to sell the profitable stock too quickly, and to hold the stock with the loss for a long time. This article explores the investor behavior deviation from the microscopic layer of the trader's account, which is behind the change of the investor's risk preference when facing the fixed income and the uncertain loss. It is the investor's regret and disgust psychology. This chapter finds out in this chapter, after the analysis of the sample of 2300 investors in a Futures Company, China The stock index futures market investors do have more obvious dispose behavior deviations, and the characteristics of individual investors' disposition effect relative to institutional investors are more significant; the investors with rich experience show a lower disposition effect, which indicates that the professional training experience can not completely eliminate the investor's behavior. Deviations, but do reduce behavioral deviations to a certain extent. This is applicable to both institutional investors and individual investors; the disposal effect of institutional investors has no significant impact on their investment profitability, but there is a significant negative correlation between the disposition effect of individual investors and the performance of investment performance. The bigger the investment, the worse the performance.
The fifth chapter makes an empirical analysis on the psychological deviation of the investors' overconfidence in the stock index futures market from the perspective of market trading. The "Volume Puzzle" in the financial market has always been a phenomenon that has attracted the attention of the vast number of researchers, and the excessive volume of transactions reflects the overall market and systematic behavioral deviation, Many studies have shown that this may be closely related to psychological deviations from investors' overconfidence. This chapter uses five minutes of stock index futures contracts from April 16, 2010 to April 27, 2012. Through the market returns and market trading day data, some stock index futures markets in China are found using the threshold value VAR. The evidence of overconfidence related to the volume of trading shows that past market returns have an impact on investors' trading behavior (with the volume of transactions). This is an investigation of the investor behavior deviation from the whole market level.
The sixth chapter makes an empirical study on the behavior deviation of the overreaction of stock index futures investors in China from the angle of market linkage at home and abroad. The study shows whether there is an overreaction to the stock index futures market in China's stock index futures market by using a variety of methods. Asymmetric, it also shows that over reaction does exist, and the response to bad news is more intense, and there is an asymmetric effect. Secondly, the standard & Poor's 500 index futures make a significant Granger reason for the Shanghai and Shenzhen 300 index futures; again, the information is transmitted from the standard price 500 index futures market to the Shanghai and Shenzhen 300 index futures market. Finally, there is a two-way dynamic impact between the Shanghai and Shenzhen 300 index stock index futures and the standard & Poor's 500 index futures.
The seventh chapter draws conclusions on the basis of the full text research and puts forward policy suggestions. First, on the basis of theoretical analysis and empirical test, the conclusion of investor behavior in stock index futures market in China is drawn. The stock index futures market in China has non effective market characteristics. The irrational characteristics of individual investors are more significant. The characteristics of overreaction and other investor behavior have a significant impact on the stock index futures market. The stock index futures investor behavior shows "limited rationality". Secondly, it puts forward policy suggestions on the healthy development of the stock index futures market in China and the further enhancement of the market effectiveness.
The possible innovation points of this paper are as follows: (1) taking behavioral finance as the theoretical basis, making full use of mathematical statistics and econometric analysis methods, the empirical study of investor behavior is from microcosmic to macro level. (2) pay attention to the difference study of the behavior characteristics of different types of investors. (3) use the stock index futures market investor's trading account. The data is used to verify the investor behavior deviation and cognitive deviation in the stock index futures market of China. (4) the research object of the stock index futures market investor behavior in China is the first time to explore the connotation and essence of the non effectiveness of the stock index futures market.
The possible shortcomings of this paper are as follows: (1) there is no direct verification of investors' investment psychology in the form of questionnaire survey. (2) there is no more variety and wider scope of investor behavior in stock index futures market. (3) the innovation of investor behavior research is insufficient in theory.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F724.5

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