基于行为金融学的股指期货投资者行为研究
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摘要
传统的有效市场假说以经济人的理性预期作为微观基础,认为市场是被理性投资者所“控制”的,市场价格能够反映市场的有效性。但是,在全球金融市场迅猛发展,金融产品不断推陈出新,市场波动加快加大的同时,发生的很多金融“异象”却无法用传统的金融理论进行合理的解释,市场有效理论受到质疑。在此背景下,研究者逐渐意识到投资者其实是“正常人”而并非总是“理性人”,这也正是行为金融理论的假设前提。运用行为金融理论可以对不确定条件下投资者的认知、心理及行为偏差进行实证检验,对投资者交易过程、市场的异常波动和市场间的联动反应进行剖析,寻找市场投资者“非理性”的真实证据,分析其原因和影响。
随着我国资本市场的不断发展,许多研究都表明我国市场的有效性水平较低,股票、期货市场投资者的“非理性”行为普遍存在,特别是发展才三年多的我国股指期货市场,投资者的投资理念及投资心理尚未成熟,投资者理性程度较低,这对我国金融市场的健康发展会造成非常不利的影响。在此情况下,采用实证方法,运用行为金融学理论研究我国股指期货市场投资者的实际投资行为,发现其行为模式和行为理性程度,对于探究我国股指期货市场价格的内在形成机制,提高市场有效性,促进市场健康发展具有非常重要的现实意义。
因此,本文将我国股指期货投资者作为研究对象,以投资者行为作为关键词贯穿全文,研究了我国股指期货投资者心理偏差和行为偏差的存在性、市场表现和影响。我国股指期货投资者个体微观层面的非理性如何表现?投资者非理性的市场宏观层面如何反映?市场与市场信息的传递如何造成投资者的非理性?对于这一系列问题的研究,本文从股指期货投资者的处置效应、过度自信和过度反应这三个方面的实证研究展开讨论。
全文从对市场有效性假说的讨论入手,对行为金融学关于行为人非理性的内在基础和外在表现进行了归纳和总结,在此基础上选择投资者处置效应、过度自信和过度反应这三个方面展开由微观主体到宏观市场层面的实证分析,最后得出结论和政策建议。文章计划分七个部分：
第一章为绪论。首先,阐明了本文的选题背景和研究意义；其次,对本文的研究方法和主要研究内容进行了阐述；再次,指出本文研究的创新点与不足之处；最后,对本文的研究框架进行了梳理。
第二章主要从心理学研究成果的角度对投资者“非理性”的内在基础—认知和心理偏差的形式和表现进行了归纳和总结。行为金融学对经典金融理论最重要的突破,就是不再将有关“理性人”的假说作为前提。行为金融学的研究对象从“理性人”转变为一个“正常人”,其信念的形成并不遵从贝叶斯理性,其选择偏好也并不一定满足期望效用最大化,而是存在着种种“非理性”的局限。本章从认知偏差和心理偏差的角度区分投资者的“非理性”对投资决策行为产生主要影响的认知偏差、过度自信、前景理论、后悔理论、心理账户、处置效应以及羊群效应等行为金融心理学进行了归纳和总结。投资者的认知和心理偏差会导致投资者行为的偏差,是市场非有效的重要原因,也是本文实证研究的主要内容。
第三章主要从行为金融模型应用的角度对投资者“非理性”的外在表现—经典金融学难以合理解释的市场异象进行了分析和解释。在第二章对行为金融学的假设前提—“正常人”心理特征的研究基础上,对投资者的行为决策进行更为细致的刻画,对金融市场异象给出更为实际与合理的解释。首先,对投资者投资策略和交易行为的非理性进行了归纳和分析,对于这些现象的解释主要基于投资者认知能力的有限性、心理账户、过度自信、后悔厌恶等心理特征；其次,对投资者在资产定价方面的非理性表现进行了归纳和分析,投资者的保守心理、前景理论、代表性认知、模糊厌恶、过度自信等行为心理特征可以给予一定的解释；最后,讨论涉及IPO的行为金融应用,其中投资者过度自信、乐观的心理特征会影响到公司财务决策,而发行人和承销商可能利用市场的非理性,从理性的角度出发寻求利益最大化。
第四章对我国股指期货投资者的处置效应行为偏差进行了实证检验。处置效应是投资者行为研究领域最著名的规律之一,它是指投资者总是倾向于出赢保亏,即过快地卖出赚钱的股票,过久地持有亏钱的股票。对投资者处置效应的研究是本文从交易者账户这样的微观层面对投资者行为偏差进行探究,这背后蕴含的是投资者面对确定收益与不确定损失时风险偏好的改变,是投资者后悔厌恶心理在起作用。本章对某期货公司2300个投资者交易账户样本分析后发现,我国股指期货市场投资者确实具有较为明显的处置效应行为偏差,并且个人投资者相对于机构投资者其处置效应的特征更显著；具有丰富经验的投资者展现出了较低的处置效应特征,这表明职业培训经验虽然不能完全消除投资者的行为偏差,但是确实可以在一定程度上降低行为偏差。这一点对于机构投资者和个人投资者都适用；机构投资者的处置效应对其投资盈利能力没有显著影响,但个人投资者的处置效应和投资业绩表现之间呈现显著的负相关关系,处置效应越大,投资业绩越差。
第五章从市场交易量的角度对我国股指期货市场投资者过度自信的心理偏差进行了实证分析。在金融市场上“交易量之谜”(Volume Puzzle)-一直以来就是引起广大研究者关注的现象,过多的交易量反映出市场整体的、系统性的行为偏差,很多研究表明这可能与投资者过度自信的心理偏差有着密切关联。本章采用股指期货连续合约五分钟数据,时间跨度为2010年4月16日至2012年4月27日。通过对市场收益率和市场交易活动日数据,使用阀值VAR找到了一些我国股指期货市场上过度自信与交易量相关的证据,证明过去市场回报对投资者交易行为(以交易量度量)确有影响。这是本文从整个市场层面对投资者行为偏差的考察。
第六章从国内外市场联动的角度对我国股指期货投资者过度反应的行为偏差进行实证研究。采用多种方法研究我国股指期货市场是否对美国股指期货市场存在过度反应。研究发现,首先,我国投资者对于好的或者坏的美国隔夜表现是不对称的,也就说明过度反应确实存在,并且对坏消息的反应更强烈一些,存在非对称效应；其次,标准普尔500指数期货比较显著的构成了沪深300指数期货的Granger原因；再次,信息是从标准普尔500指数期货市场传向沪深300指数期货市场的；最后,沪深300指数股指期货和标准普尔500指数期货之间存在双向动态影响。
第七章在全文研究基础上得出结论,并提出政策建议。首先,在理论分析和实证检验的基础上,得出我国股指期货市场投资者行为研究结论。我国股指期货市场具有非有效市场特征。个人投资者的非理性特征更显著。处置效应、过度自信和过度反应等投资者行为特征对股指期货市场产生显著影响。股指期货投资者行为表现出“有限理性”。其次,对我国股指期货市场健康发展,进一步增强市场的有效性提出政策建议。
本文可能的创新点有：(1)以行为金融学为理论基础,充分利用数理统计和计量经济分析方法,对投资者行为的实证研究具有由微观到宏观的层次性。(2)注重对不同类型投资者行为特征的区别研究。(3)利用股指期货市场投资者交易账户数据来验证中国股指期货市场的投资者行为偏差与认知偏差。(4)首次以我国股指期货市场投资者行为为研究对象,深入探讨股指期货市场非有效性的内涵和本质。
本文可能的不足有：(1)没有结合问卷调查的形式来对投资者的投资心理进行直接验证。(2)没有对股指期货市场投资者行为进行种类更多,范围更广的研究。(3)对于投资者行为研究在理论上的创新性不足。
The traditional efficient market hypothesis thought rational expectations of economic man is the micro-foundation, and the market is in control of rational investors, the market price is to reflect market efficiency. However, as the rapid development of global financial market, the innovation of financial product, market volatility increased, many financial "vision" cannot be explained by traditional financial theory, the efficient market theory has been questioned.In this context, researchers gradually realized that investors are actually "normal" but not always "rational man", which is precisely the assumption of behavioral finance theory. Behavioral finance theory can be applied to do empirical test on investors' cognitive, psychological and behavioral biases under uncertain conditions, to study investors' trading process, the abnormal market volatility and market linkage reaction, looking for the real evidence of investors'"irrationality", and analyze the causes and effects.
With the continuous development of China's capital market, many studies have shown low levels of market efficiency, investors'"irrational " behavior in equity, futures market is prevalent, particularly for only three years development of our country's stock index futures market, investor's investment philosophy and investment psychology is not yet mature, investors' rationality is low, which will cause a negative impact on the development of China's financial markets. In this case, we use the empirical methods and behavioral finance theory to study investors' investment behavior in the stock index futures market, to find their behavior patterns and degree of rational behavior, for exploring the intrinsic formation mechanism of the stock index futures' market price, which has great significance to improve market efficiency and promote the health development of the market.
Therefore, we use index futures investors as our research object, and investor behavior as keywords, we studied the existence, market performance and impact of stock index futures investors'psychological deviation and behavioral deviation. How can stock index futures' investors behave irrationally under individual micro-level? How can Investors'irrationality be reflected under market macro-level? How can markets and the delivery of market information cause investors' irrationality. For this series of questions, this paper did the empirical study on investors' disposition effect, overconfidence and overreaction in stock index futures market.
This paper began with the discussion on market efficiency hypothesis, and summarized irrational behavior theory and model application in behavioral finance, on the basis of these, we then did the empirical analysis on investors' disposition effect overconfidence and overreaction. and finally, we made the conclusion and policy recommendations. The formation of this article includes seven sections:
The first chapter is an introduction. Firstly, it illustrated the background and significance of this article. Secondly, it described the research methods and the main contents. Thirdly, it pointed out the innovation and shortcomings of this study. Finally, it concluded the framework of this article.
The second chapter mainly summarized the form and performance of investors" cognitive and psychological bias from the perspective of psychological research. The most important breakthrough of Behavioral Finance as to classical finance theory is no longer relevant "rational man" hypothesis as a prerequisite. The research object of behavioral finance changed from the "rational man" into a "normal man", whose rationality does not comply with Bayesian rational belief, and their preference does not necessarily meet the expected utility maximization, but there are all kinds of "irrational "limitations. This chapter distinguished investor's irrationality from the perspective of cognitive biases and psychological deviation, and we concluded cognitive bias, overconfidence, prospect theory, regret theory, mental accounting, disposition effect and herding, etc, which all have a major impact on the investment decisions, Investors' cognitive and psychological deviation can cause investor' behavior deviation, the main reason can be the market inefficiency, which is also the empirical study of this article.
The third chapter mainly analyzed and interpreted the market abnormal from the perspective of behavioral finance, which is difficult to justify by classical finance. On the basis of the second chapter, based on the behavioral finance assumption--psychological characteristics of "normal man", we made a more detailed description on investors' behavior characteristics, and gave a more reasonable explanation on market abnormal. First, we analyzed the irrationality of investors'investment strategy and trading behavior, the explanation for these phenomena is mainly based on the limited cognitive ability investors, mental accounting, overconfidence, regret aversion and other psychological characteristics; Secondly, we summarized investors' irrationality in asset pricing. Investors' conservative psychology, prospect theory, knowledge representation, fuzzy aversion, overconfidence and other behavioral and psychological features can give some explanation; Finally, we discussed the related applications on IPO behavioral finance, where investors' overconfidence and optimism will affect the company's financial decisions, while issuers and underwriters may take advantage of market irrationality, to seek to maximize their benefits from a rational perspective.
The fourth chapter made empirical test on investors' disposition effect and behavioral biases in stock index futures market. The disposition effect is one of the most popular law in the study of investors' behavior, it refers to investors always tend to sell when win and keep when lose, that makes making-money stocks selling too quickly, and losing-money stocks holding too long. As to study investors' Disposition Effect, we started from traders' exchange account to study investors' behavioral biases, which implies the change of investors' risk preference when faced with the determined gains and uncertain loss, which is because of investors' regret aversion psychology. In this chapter, we take the sample of2300investors' futures trading account, and we found investors' disposition effect behavioral biases is obvious in China stock index futures market. And individual investors' disposition effect is more.significant with respect to the effect of institutional investors. Investors with rich experience exhibit a lower disposition effect character, which indicates that though vocational training experience cannot completely eliminate the investors' behavioral biases, but it does reduce deviant behavior to a certain extent. This is applicable for both institutional investors and individual investors; Institutional investors' disposition effect did not significantly affect their investment profitability, but to individual investors, there is a significant negative correlation between investment disposition effect and performance. The larger the disposition effect, the worse the investment performance.
Chapter five did the empirical analysis on investor overconfidence psychological bias in the stock index futures market from the perspective of the market trading volume. In the financial market, Volume Puzzle has attracted a majority of researchers, excessive trading volume reflects the market's whole, systematic behavioral biases, a great many studies indicate that this may be related to investors'overconfidence mental deviation. This chapter uses five minutes continuous data of stock index futures contracts, the time span is from16April2010to27April2012. Through the market yields and daily market trading data, using threshold VAR to find some evidence on overconfidence and trading volume in the stock index futures market, to prove that past market returns have an effect on investors trading behavior (measured by volume).
Chapter six did the empirical research on investor's overreaction deviant behavior in our stock index futures market from the perspective of the linkage between domestic and foreign markets. We use a variety of methods to study whether our stock index futures market present overreaction on the U.S. stock index futures market. Studies found that, our investors is asymmetrical to good or bad performance of the United States overnight, which shows the existence of over-reaction, and investors are more intense as for bad news, there is an asymmetric effect; Second, the S&P500index futures constitute a significant Granger causal effect on CSI300index futures; Third, information is obtained from Standard&Poor's500index futures market to the CSI300index futures market; Finally, the CSI300index futures and the S&P500Index futures exist bidirectional dynamic effects.
Chapter seven drew conclusions on the basis of the full study and make policy recommendations. First, in the theoretical analysis and empirical test, we get conclusions on the investor's behavior research in the stock index futures market. Our stock index futures market is ineffective. Individual investor's irrationality is more pronounced. The behavioral characteristics such as disposition effect, overconfidence and investor's overreaction have a significant impact on stock index futures market. Stock index futures investor's behavior exhibited "bounded rationality". Secondly, we made policy recommendations on the healthy development of the stock index futures market and further enhance the effectiveness of the market.
The innovation of this article may include:(1) Based on the theoretical basis of behavioral finance, we made full use of mathematical statistics and econometric analysis methods, to make the empirical research on investor behavior from the micro to the macro with a hierarchy.(2) Focus on distinguishing behavioral characteristics of different types of investors.(3) Using investors' trading account data in stock index futures market to validate investors'behavioral biases and cognitive biases in the Chinese stock index futures market.(4) we are the first one to make stock index futures market investor's behavior in our country as the research object, and made deep discussion on the meaning and essence of ineffective in the stock index futures market.
The deficiency may include:(1) it is not bound with the form of questionnaires on investor's psychology for direct verification.(2) Don't make more diverse and broader research on the behavior of investors in the stock index futures market.(3) The theoretical innovation for the investor's behavior research is insufficient.
随着我国资本市场的不断发展,许多研究都表明我国市场的有效性水平较低,股票、期货市场投资者的“非理性”行为普遍存在,特别是发展才三年多的我国股指期货市场,投资者的投资理念及投资心理尚未成熟,投资者理性程度较低,这对我国金融市场的健康发展会造成非常不利的影响。在此情况下,采用实证方法,运用行为金融学理论研究我国股指期货市场投资者的实际投资行为,发现其行为模式和行为理性程度,对于探究我国股指期货市场价格的内在形成机制,提高市场有效性,促进市场健康发展具有非常重要的现实意义。
因此,本文将我国股指期货投资者作为研究对象,以投资者行为作为关键词贯穿全文,研究了我国股指期货投资者心理偏差和行为偏差的存在性、市场表现和影响。我国股指期货投资者个体微观层面的非理性如何表现?投资者非理性的市场宏观层面如何反映?市场与市场信息的传递如何造成投资者的非理性?对于这一系列问题的研究,本文从股指期货投资者的处置效应、过度自信和过度反应这三个方面的实证研究展开讨论。
全文从对市场有效性假说的讨论入手,对行为金融学关于行为人非理性的内在基础和外在表现进行了归纳和总结,在此基础上选择投资者处置效应、过度自信和过度反应这三个方面展开由微观主体到宏观市场层面的实证分析,最后得出结论和政策建议。文章计划分七个部分：
第一章为绪论。首先,阐明了本文的选题背景和研究意义；其次,对本文的研究方法和主要研究内容进行了阐述；再次,指出本文研究的创新点与不足之处；最后,对本文的研究框架进行了梳理。
第二章主要从心理学研究成果的角度对投资者“非理性”的内在基础—认知和心理偏差的形式和表现进行了归纳和总结。行为金融学对经典金融理论最重要的突破,就是不再将有关“理性人”的假说作为前提。行为金融学的研究对象从“理性人”转变为一个“正常人”,其信念的形成并不遵从贝叶斯理性,其选择偏好也并不一定满足期望效用最大化,而是存在着种种“非理性”的局限。本章从认知偏差和心理偏差的角度区分投资者的“非理性”对投资决策行为产生主要影响的认知偏差、过度自信、前景理论、后悔理论、心理账户、处置效应以及羊群效应等行为金融心理学进行了归纳和总结。投资者的认知和心理偏差会导致投资者行为的偏差,是市场非有效的重要原因,也是本文实证研究的主要内容。
第三章主要从行为金融模型应用的角度对投资者“非理性”的外在表现—经典金融学难以合理解释的市场异象进行了分析和解释。在第二章对行为金融学的假设前提—“正常人”心理特征的研究基础上,对投资者的行为决策进行更为细致的刻画,对金融市场异象给出更为实际与合理的解释。首先,对投资者投资策略和交易行为的非理性进行了归纳和分析,对于这些现象的解释主要基于投资者认知能力的有限性、心理账户、过度自信、后悔厌恶等心理特征；其次,对投资者在资产定价方面的非理性表现进行了归纳和分析,投资者的保守心理、前景理论、代表性认知、模糊厌恶、过度自信等行为心理特征可以给予一定的解释；最后,讨论涉及IPO的行为金融应用,其中投资者过度自信、乐观的心理特征会影响到公司财务决策,而发行人和承销商可能利用市场的非理性,从理性的角度出发寻求利益最大化。
第四章对我国股指期货投资者的处置效应行为偏差进行了实证检验。处置效应是投资者行为研究领域最著名的规律之一,它是指投资者总是倾向于出赢保亏,即过快地卖出赚钱的股票,过久地持有亏钱的股票。对投资者处置效应的研究是本文从交易者账户这样的微观层面对投资者行为偏差进行探究,这背后蕴含的是投资者面对确定收益与不确定损失时风险偏好的改变,是投资者后悔厌恶心理在起作用。本章对某期货公司2300个投资者交易账户样本分析后发现,我国股指期货市场投资者确实具有较为明显的处置效应行为偏差,并且个人投资者相对于机构投资者其处置效应的特征更显著；具有丰富经验的投资者展现出了较低的处置效应特征,这表明职业培训经验虽然不能完全消除投资者的行为偏差,但是确实可以在一定程度上降低行为偏差。这一点对于机构投资者和个人投资者都适用；机构投资者的处置效应对其投资盈利能力没有显著影响,但个人投资者的处置效应和投资业绩表现之间呈现显著的负相关关系,处置效应越大,投资业绩越差。
第五章从市场交易量的角度对我国股指期货市场投资者过度自信的心理偏差进行了实证分析。在金融市场上“交易量之谜”(Volume Puzzle)-一直以来就是引起广大研究者关注的现象,过多的交易量反映出市场整体的、系统性的行为偏差,很多研究表明这可能与投资者过度自信的心理偏差有着密切关联。本章采用股指期货连续合约五分钟数据,时间跨度为2010年4月16日至2012年4月27日。通过对市场收益率和市场交易活动日数据,使用阀值VAR找到了一些我国股指期货市场上过度自信与交易量相关的证据,证明过去市场回报对投资者交易行为(以交易量度量)确有影响。这是本文从整个市场层面对投资者行为偏差的考察。
第六章从国内外市场联动的角度对我国股指期货投资者过度反应的行为偏差进行实证研究。采用多种方法研究我国股指期货市场是否对美国股指期货市场存在过度反应。研究发现,首先,我国投资者对于好的或者坏的美国隔夜表现是不对称的,也就说明过度反应确实存在,并且对坏消息的反应更强烈一些,存在非对称效应；其次,标准普尔500指数期货比较显著的构成了沪深300指数期货的Granger原因；再次,信息是从标准普尔500指数期货市场传向沪深300指数期货市场的；最后,沪深300指数股指期货和标准普尔500指数期货之间存在双向动态影响。
第七章在全文研究基础上得出结论,并提出政策建议。首先,在理论分析和实证检验的基础上,得出我国股指期货市场投资者行为研究结论。我国股指期货市场具有非有效市场特征。个人投资者的非理性特征更显著。处置效应、过度自信和过度反应等投资者行为特征对股指期货市场产生显著影响。股指期货投资者行为表现出“有限理性”。其次,对我国股指期货市场健康发展,进一步增强市场的有效性提出政策建议。
本文可能的创新点有：(1)以行为金融学为理论基础,充分利用数理统计和计量经济分析方法,对投资者行为的实证研究具有由微观到宏观的层次性。(2)注重对不同类型投资者行为特征的区别研究。(3)利用股指期货市场投资者交易账户数据来验证中国股指期货市场的投资者行为偏差与认知偏差。(4)首次以我国股指期货市场投资者行为为研究对象,深入探讨股指期货市场非有效性的内涵和本质。
本文可能的不足有：(1)没有结合问卷调查的形式来对投资者的投资心理进行直接验证。(2)没有对股指期货市场投资者行为进行种类更多,范围更广的研究。(3)对于投资者行为研究在理论上的创新性不足。
The traditional efficient market hypothesis thought rational expectations of economic man is the micro-foundation, and the market is in control of rational investors, the market price is to reflect market efficiency. However, as the rapid development of global financial market, the innovation of financial product, market volatility increased, many financial "vision" cannot be explained by traditional financial theory, the efficient market theory has been questioned.In this context, researchers gradually realized that investors are actually "normal" but not always "rational man", which is precisely the assumption of behavioral finance theory. Behavioral finance theory can be applied to do empirical test on investors' cognitive, psychological and behavioral biases under uncertain conditions, to study investors' trading process, the abnormal market volatility and market linkage reaction, looking for the real evidence of investors'"irrationality", and analyze the causes and effects.
With the continuous development of China's capital market, many studies have shown low levels of market efficiency, investors'"irrational " behavior in equity, futures market is prevalent, particularly for only three years development of our country's stock index futures market, investor's investment philosophy and investment psychology is not yet mature, investors' rationality is low, which will cause a negative impact on the development of China's financial markets. In this case, we use the empirical methods and behavioral finance theory to study investors' investment behavior in the stock index futures market, to find their behavior patterns and degree of rational behavior, for exploring the intrinsic formation mechanism of the stock index futures' market price, which has great significance to improve market efficiency and promote the health development of the market.
Therefore, we use index futures investors as our research object, and investor behavior as keywords, we studied the existence, market performance and impact of stock index futures investors'psychological deviation and behavioral deviation. How can stock index futures' investors behave irrationally under individual micro-level? How can Investors'irrationality be reflected under market macro-level? How can markets and the delivery of market information cause investors' irrationality. For this series of questions, this paper did the empirical study on investors' disposition effect, overconfidence and overreaction in stock index futures market.
This paper began with the discussion on market efficiency hypothesis, and summarized irrational behavior theory and model application in behavioral finance, on the basis of these, we then did the empirical analysis on investors' disposition effect overconfidence and overreaction. and finally, we made the conclusion and policy recommendations. The formation of this article includes seven sections:
The first chapter is an introduction. Firstly, it illustrated the background and significance of this article. Secondly, it described the research methods and the main contents. Thirdly, it pointed out the innovation and shortcomings of this study. Finally, it concluded the framework of this article.
The second chapter mainly summarized the form and performance of investors" cognitive and psychological bias from the perspective of psychological research. The most important breakthrough of Behavioral Finance as to classical finance theory is no longer relevant "rational man" hypothesis as a prerequisite. The research object of behavioral finance changed from the "rational man" into a "normal man", whose rationality does not comply with Bayesian rational belief, and their preference does not necessarily meet the expected utility maximization, but there are all kinds of "irrational "limitations. This chapter distinguished investor's irrationality from the perspective of cognitive biases and psychological deviation, and we concluded cognitive bias, overconfidence, prospect theory, regret theory, mental accounting, disposition effect and herding, etc, which all have a major impact on the investment decisions, Investors' cognitive and psychological deviation can cause investor' behavior deviation, the main reason can be the market inefficiency, which is also the empirical study of this article.
The third chapter mainly analyzed and interpreted the market abnormal from the perspective of behavioral finance, which is difficult to justify by classical finance. On the basis of the second chapter, based on the behavioral finance assumption--psychological characteristics of "normal man", we made a more detailed description on investors' behavior characteristics, and gave a more reasonable explanation on market abnormal. First, we analyzed the irrationality of investors'investment strategy and trading behavior, the explanation for these phenomena is mainly based on the limited cognitive ability investors, mental accounting, overconfidence, regret aversion and other psychological characteristics; Secondly, we summarized investors' irrationality in asset pricing. Investors' conservative psychology, prospect theory, knowledge representation, fuzzy aversion, overconfidence and other behavioral and psychological features can give some explanation; Finally, we discussed the related applications on IPO behavioral finance, where investors' overconfidence and optimism will affect the company's financial decisions, while issuers and underwriters may take advantage of market irrationality, to seek to maximize their benefits from a rational perspective.
The fourth chapter made empirical test on investors' disposition effect and behavioral biases in stock index futures market. The disposition effect is one of the most popular law in the study of investors' behavior, it refers to investors always tend to sell when win and keep when lose, that makes making-money stocks selling too quickly, and losing-money stocks holding too long. As to study investors' Disposition Effect, we started from traders' exchange account to study investors' behavioral biases, which implies the change of investors' risk preference when faced with the determined gains and uncertain loss, which is because of investors' regret aversion psychology. In this chapter, we take the sample of2300investors' futures trading account, and we found investors' disposition effect behavioral biases is obvious in China stock index futures market. And individual investors' disposition effect is more.significant with respect to the effect of institutional investors. Investors with rich experience exhibit a lower disposition effect character, which indicates that though vocational training experience cannot completely eliminate the investors' behavioral biases, but it does reduce deviant behavior to a certain extent. This is applicable for both institutional investors and individual investors; Institutional investors' disposition effect did not significantly affect their investment profitability, but to individual investors, there is a significant negative correlation between investment disposition effect and performance. The larger the disposition effect, the worse the investment performance.
Chapter five did the empirical analysis on investor overconfidence psychological bias in the stock index futures market from the perspective of the market trading volume. In the financial market, Volume Puzzle has attracted a majority of researchers, excessive trading volume reflects the market's whole, systematic behavioral biases, a great many studies indicate that this may be related to investors'overconfidence mental deviation. This chapter uses five minutes continuous data of stock index futures contracts, the time span is from16April2010to27April2012. Through the market yields and daily market trading data, using threshold VAR to find some evidence on overconfidence and trading volume in the stock index futures market, to prove that past market returns have an effect on investors trading behavior (measured by volume).
Chapter six did the empirical research on investor's overreaction deviant behavior in our stock index futures market from the perspective of the linkage between domestic and foreign markets. We use a variety of methods to study whether our stock index futures market present overreaction on the U.S. stock index futures market. Studies found that, our investors is asymmetrical to good or bad performance of the United States overnight, which shows the existence of over-reaction, and investors are more intense as for bad news, there is an asymmetric effect; Second, the S&P500index futures constitute a significant Granger causal effect on CSI300index futures; Third, information is obtained from Standard&Poor's500index futures market to the CSI300index futures market; Finally, the CSI300index futures and the S&P500Index futures exist bidirectional dynamic effects.
Chapter seven drew conclusions on the basis of the full study and make policy recommendations. First, in the theoretical analysis and empirical test, we get conclusions on the investor's behavior research in the stock index futures market. Our stock index futures market is ineffective. Individual investor's irrationality is more pronounced. The behavioral characteristics such as disposition effect, overconfidence and investor's overreaction have a significant impact on stock index futures market. Stock index futures investor's behavior exhibited "bounded rationality". Secondly, we made policy recommendations on the healthy development of the stock index futures market and further enhance the effectiveness of the market.
The innovation of this article may include:(1) Based on the theoretical basis of behavioral finance, we made full use of mathematical statistics and econometric analysis methods, to make the empirical research on investor behavior from the micro to the macro with a hierarchy.(2) Focus on distinguishing behavioral characteristics of different types of investors.(3) Using investors' trading account data in stock index futures market to validate investors'behavioral biases and cognitive biases in the Chinese stock index futures market.(4) we are the first one to make stock index futures market investor's behavior in our country as the research object, and made deep discussion on the meaning and essence of ineffective in the stock index futures market.
The deficiency may include:(1) it is not bound with the form of questionnaires on investor's psychology for direct verification.(2) Don't make more diverse and broader research on the behavior of investors in the stock index futures market.(3) The theoretical innovation for the investor's behavior research is insufficient.
引文
① Fama, E.,1970, Efficient capital markets:a review of theory and empirical work, Journal of Finance, 25, p.383.
① 饶育蕾,张轮：《行为金融学》,复旦大学出版社,2005年7月第二版,82-83页。
Schwartz,B.(1994)The Costs of Living:How Market Freedom Erodes the Best Things in Life.New York:Norton.
单个解读波动率项系数时须谨慎,因为波动率存在自相关(Gallant, Rossi and Tauchen,1992; Chen,Firth and Rni,2001)
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