中国股指期货市场上投资者异质性及其投资策略研究
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摘要
20世纪50年代以来，大量的实证研究发现金融市场中存在着许多投资者非理性行为，投资者不是绝对理性而是有限理性的，市场常常对某些信息反应过度而对另一些信息反应不足。投资者认知偏差和信念异质性的存在是导致投资者对市场信息做出非理性反应的主要原因，有时这种反应甚至偏离证券产品的基本价值、背离一般的判断准则，导致证券市场出现定价失效，或者价格的异常波动。股指期货作为重要的金融衍生品，其市场上投资者异质性研究的开展，不仅对于认识影响股指期货价格的非理性因素具有十分重要的意义，对建立衍生品市场投资者异质性研究模式，加强对这一特定市场上投资者异质性风险的监控也具有十分重要的作用。同时，投资者异质性的存在及其导致的市场定价失效，不仅使得市场价格背离传统的有效市场假设，也为市场带来了新的投资机会，对市场监管提出了新的挑战。
本文以股指期货市场投资者异质性为主要研究对象，不仅通过理论模型的建立与分析解释了投资者异质性对股指期货价格收益的影响机制，而且从直接和间接两个角度考察了沪深300指数期货市场投资者异质性表现及其对价格波动的影响。同时由于投资者异质性的存在将导致股指期货价格的非理性波动，从而带来非常规的投资机会，文中还同时考察了在不同投资者异质性约束下的投资策略的有效性。
研究中首先对市场投资者异质性概念的内涵分四个方面进行了深入阐述，并系统分析了市场上投资者异质性的表现与分类、投资者异质性的演化与市场选择、投资者异质性对资产价格的影响、以及证券市场投资者异质性研究的数学方法与技术手段，为后面的研究奠定了理论基础。
其次，通过建立股指期货均衡解析模型，考察了投资者认知偏差和投资者异质结构交互作用下对股指期货价格反应的作用机制，分析了均衡价格的取得和不同投资者结构下期货价格的反应特征。最后通过市场真实的交易数据对模型参数进行了估计，借鉴市场投资者异质性的研究方法对模型性质分析内容进行了数值模拟。模拟结果支持了模型分析的结论。
实证中，本文选择沪深300指数期货作为研究对象。由于投资者认知偏差和心理异质性表现为投资者异质性情绪，并通过投资行为选择影响期货价格的反应特征，因此研究中选择投资者异质性情绪影响和期货价格异质性反应两个方面进行了直接与间接的实证检验。其中，选择投资者情绪作为投资者异质性检验的直接指标，以好淡指数为代表，分投资者情绪、极端投资者情绪、投资者情绪变化量三个方面的影响进行了实证分析。在极端投资者情绪的提取中，采用极值理论中的阈值提取方法，避免了在中值附近2~3个标准差位置取值的主观性。为了进一步验证实际市场反应特征，论文分别从市场日内累积收益率对隔夜信息的反应、累积残差收益率对市场非预期价格信息的反应两个角度间接分析了日内与日间市场的错误反应特征，并从投资者异质性演变角度对长期市场表现特征进行了解释。
最后论文在对沪深300指数期货市场交易成本进行分解的前提下，以持有成本模型为基础构建了基于不同投资者资金与费用约束的股指期货无套利区间，从正向套利、反向套利、延时套利三个角度实证分析了中国股指期货市场套利利润。
在模型与实证研究中，本文不仅发现了与一般证券市场投资者异质性表现相一致的特点，更发现了股指期货市场所独有的特征。首先，在投资者异质性机制的研究中，本文发现市场上个体投资者信念异质性与投资者结构变化的相互作用导致了市场效率的变化，市场上需求占优而非数量占优的投资者主导决定市场收益率对信息的真实反应。其次，在对投资者异质性影响的直接检验中，发现短期投资者情绪对市场价格波动不产生显著影响，极端投资者情绪、中期投资者情绪对市场价格波动有显著影响，说明了机构投资者及市场基本面对股指期货价格影响更为明显，且短期极端投资者情绪是促使短期市场价格异常变化的重要风险。第三，在沪深300指数期货错误反应的实证中发现，沪深300指数期货存在显著的日内反应过度，而更长时间内市场反应存在反复的现象。说明以往研究中短期反应过度、长期反应不足的判断存在武断性，在长期内随投资者异质性演化，其投资决策影响下的市场价格表现也将呈现出时变的特征，部分支持了模型分析中投资者异质性与投资者结构的交互作用在市场错误反应中的作用分析结论。在投资者异质性存在的情况下，随投资者结构的变化，市场可能始终处于反转、惯性、反转的调整-失效-调整的循环周期中。基于市场反应的判断不仅与信息指标的选取有关，也与研究窗口的选择、研究方法有密切的关系。与一般证券市场不同，股指期货市场异常反应的存在并不能带来持续的投机机会，积极投资策略仅能在反应信息出现后的短期内获得显著利润，延时套利也不能获得比正向套利或反向套利更多的利润。
Many empirical studies have found lots of evident against rational personhypothesis and EMH since1950’s, such as investors are bounded rational and marketprice misreacts to information. Cognitive bias and belief heterogeneity bothcontribute to investor’s irrational reactions and those reactions in turn lead toinefficient pricing so that market price departures from the fundamentals. Indexfutures contract is very important for market liquidity and stable as the innovative andhedge tool. But investor’s behavior is vital for the index futures contract to play therole. At same time price inefficiency by investor’s heterogeneity leads to positiveinvestment opportunities and puts forward new problem for market governance.
This thesis studied investor’s heterogeneity and the corresponding investmentstrategies’ on CSI300index futures market, so that to explain the mechanism howinvestor’s heterogeneity and structure interact to effect market price reactions, anddepict the difference between Chinese and foreign market, and also to provideexperience for the establishment of new financial futures. Opportunities and profits ofcorresponding investment strategies were studied for investor’s heterogeneity leads toirrational volatility of futures price and in turn bring about unconventional investmentopportunities.
Four levels of investor heterogeneity based on the definition by Campbell (2000)were studied, and the classification and evolution of heterogeneity, descriptivecharacteristics, numerical representation, ways of empirical research, and influence ofinvestor heterogeneity were systematically analyzed in research review and so that tolay the theoretical foundation of the research.
Before empirical studies on misreaction, a general equilibrium model of indexfutures market was set up based on the interaction of investor heterogeneity andstructure, which predicted how the investor’s heterogeneity influences investor’sreaction to price information and in turn leads to misreaction of market price. Theexistence of investor heterogeneity was analysed by empirical studies both on theinfluence of investor emotion and misreaction respectively. Taking good light index asthe parameters of investor emotion, three hypotheses were inspected on the affectionsof investor emotion. Extreme value theory were adopted in the extracting of extremeinvestor emotion series so that to avoid arbitrary selection by2~3standard deviation from mean. Empirical studies were done on the intraday and daily misreaction ofindex futures return to special information.
At last, non-arbitrage boundaries were set up based on different financing sourceand cost restrain so that to investigate the arbitrage opportunities and profits betweenthe CSI300index futures and spot market.
Unique characteristics of futures market investor heterogeneity is found alongwith characteristics consistent with general stock market. Such as it is the interactionof investor heterogeneity and structure which influence the misreaction of futuresprice return and the investor who dominants in demand dominants under-reaction oroverreaction of the market price return other than who dominants in amount. Thefollowing numerical simulation on real transaction data proved the conclusions. Andit’s found that extreme short-time and middle-time investor emotion influence thevolatility of index futures price more than short-time investor emotion, which warnedthe regularity authority to be alert to small probability events and tail risk.Middle-time investor emotion is found to play important role in the price volatility,which implies the vital effect of institutional investor and fundamental information.Significant intraday price reversals are found and the strength of the intradayoverreaction seems more pronounced following large positive price changes overnight. And daily price momentum is not significant as expected as investorheterogeneity is time vary in a long time. It is a pity that those misreactions don’tpredict persistent profit as profits from momentum or contrarian strategies will begreatly reduced if transaction costs have been considered. It’s also found that there area lot of arbitrage opportunities by shorting futures contract and longing ETF fundsportion which can be explained by short sale constrain and risk premium theory. Thedegree of mispricing was opposite to the position/volume ratio, which means asignificant relationship between market pricing efficiency and investor structure.
本文以股指期货市场投资者异质性为主要研究对象，不仅通过理论模型的建立与分析解释了投资者异质性对股指期货价格收益的影响机制，而且从直接和间接两个角度考察了沪深300指数期货市场投资者异质性表现及其对价格波动的影响。同时由于投资者异质性的存在将导致股指期货价格的非理性波动，从而带来非常规的投资机会，文中还同时考察了在不同投资者异质性约束下的投资策略的有效性。
研究中首先对市场投资者异质性概念的内涵分四个方面进行了深入阐述，并系统分析了市场上投资者异质性的表现与分类、投资者异质性的演化与市场选择、投资者异质性对资产价格的影响、以及证券市场投资者异质性研究的数学方法与技术手段，为后面的研究奠定了理论基础。
其次，通过建立股指期货均衡解析模型，考察了投资者认知偏差和投资者异质结构交互作用下对股指期货价格反应的作用机制，分析了均衡价格的取得和不同投资者结构下期货价格的反应特征。最后通过市场真实的交易数据对模型参数进行了估计，借鉴市场投资者异质性的研究方法对模型性质分析内容进行了数值模拟。模拟结果支持了模型分析的结论。
实证中，本文选择沪深300指数期货作为研究对象。由于投资者认知偏差和心理异质性表现为投资者异质性情绪，并通过投资行为选择影响期货价格的反应特征，因此研究中选择投资者异质性情绪影响和期货价格异质性反应两个方面进行了直接与间接的实证检验。其中，选择投资者情绪作为投资者异质性检验的直接指标，以好淡指数为代表，分投资者情绪、极端投资者情绪、投资者情绪变化量三个方面的影响进行了实证分析。在极端投资者情绪的提取中，采用极值理论中的阈值提取方法，避免了在中值附近2~3个标准差位置取值的主观性。为了进一步验证实际市场反应特征，论文分别从市场日内累积收益率对隔夜信息的反应、累积残差收益率对市场非预期价格信息的反应两个角度间接分析了日内与日间市场的错误反应特征，并从投资者异质性演变角度对长期市场表现特征进行了解释。
最后论文在对沪深300指数期货市场交易成本进行分解的前提下，以持有成本模型为基础构建了基于不同投资者资金与费用约束的股指期货无套利区间，从正向套利、反向套利、延时套利三个角度实证分析了中国股指期货市场套利利润。
在模型与实证研究中，本文不仅发现了与一般证券市场投资者异质性表现相一致的特点，更发现了股指期货市场所独有的特征。首先，在投资者异质性机制的研究中，本文发现市场上个体投资者信念异质性与投资者结构变化的相互作用导致了市场效率的变化，市场上需求占优而非数量占优的投资者主导决定市场收益率对信息的真实反应。其次，在对投资者异质性影响的直接检验中，发现短期投资者情绪对市场价格波动不产生显著影响，极端投资者情绪、中期投资者情绪对市场价格波动有显著影响，说明了机构投资者及市场基本面对股指期货价格影响更为明显，且短期极端投资者情绪是促使短期市场价格异常变化的重要风险。第三，在沪深300指数期货错误反应的实证中发现，沪深300指数期货存在显著的日内反应过度，而更长时间内市场反应存在反复的现象。说明以往研究中短期反应过度、长期反应不足的判断存在武断性，在长期内随投资者异质性演化，其投资决策影响下的市场价格表现也将呈现出时变的特征，部分支持了模型分析中投资者异质性与投资者结构的交互作用在市场错误反应中的作用分析结论。在投资者异质性存在的情况下，随投资者结构的变化，市场可能始终处于反转、惯性、反转的调整-失效-调整的循环周期中。基于市场反应的判断不仅与信息指标的选取有关，也与研究窗口的选择、研究方法有密切的关系。与一般证券市场不同，股指期货市场异常反应的存在并不能带来持续的投机机会，积极投资策略仅能在反应信息出现后的短期内获得显著利润，延时套利也不能获得比正向套利或反向套利更多的利润。
Many empirical studies have found lots of evident against rational personhypothesis and EMH since1950’s, such as investors are bounded rational and marketprice misreacts to information. Cognitive bias and belief heterogeneity bothcontribute to investor’s irrational reactions and those reactions in turn lead toinefficient pricing so that market price departures from the fundamentals. Indexfutures contract is very important for market liquidity and stable as the innovative andhedge tool. But investor’s behavior is vital for the index futures contract to play therole. At same time price inefficiency by investor’s heterogeneity leads to positiveinvestment opportunities and puts forward new problem for market governance.
This thesis studied investor’s heterogeneity and the corresponding investmentstrategies’ on CSI300index futures market, so that to explain the mechanism howinvestor’s heterogeneity and structure interact to effect market price reactions, anddepict the difference between Chinese and foreign market, and also to provideexperience for the establishment of new financial futures. Opportunities and profits ofcorresponding investment strategies were studied for investor’s heterogeneity leads toirrational volatility of futures price and in turn bring about unconventional investmentopportunities.
Four levels of investor heterogeneity based on the definition by Campbell (2000)were studied, and the classification and evolution of heterogeneity, descriptivecharacteristics, numerical representation, ways of empirical research, and influence ofinvestor heterogeneity were systematically analyzed in research review and so that tolay the theoretical foundation of the research.
Before empirical studies on misreaction, a general equilibrium model of indexfutures market was set up based on the interaction of investor heterogeneity andstructure, which predicted how the investor’s heterogeneity influences investor’sreaction to price information and in turn leads to misreaction of market price. Theexistence of investor heterogeneity was analysed by empirical studies both on theinfluence of investor emotion and misreaction respectively. Taking good light index asthe parameters of investor emotion, three hypotheses were inspected on the affectionsof investor emotion. Extreme value theory were adopted in the extracting of extremeinvestor emotion series so that to avoid arbitrary selection by2~3standard deviation from mean. Empirical studies were done on the intraday and daily misreaction ofindex futures return to special information.
At last, non-arbitrage boundaries were set up based on different financing sourceand cost restrain so that to investigate the arbitrage opportunities and profits betweenthe CSI300index futures and spot market.
Unique characteristics of futures market investor heterogeneity is found alongwith characteristics consistent with general stock market. Such as it is the interactionof investor heterogeneity and structure which influence the misreaction of futuresprice return and the investor who dominants in demand dominants under-reaction oroverreaction of the market price return other than who dominants in amount. Thefollowing numerical simulation on real transaction data proved the conclusions. Andit’s found that extreme short-time and middle-time investor emotion influence thevolatility of index futures price more than short-time investor emotion, which warnedthe regularity authority to be alert to small probability events and tail risk.Middle-time investor emotion is found to play important role in the price volatility,which implies the vital effect of institutional investor and fundamental information.Significant intraday price reversals are found and the strength of the intradayoverreaction seems more pronounced following large positive price changes overnight. And daily price momentum is not significant as expected as investorheterogeneity is time vary in a long time. It is a pity that those misreactions don’tpredict persistent profit as profits from momentum or contrarian strategies will begreatly reduced if transaction costs have been considered. It’s also found that there area lot of arbitrage opportunities by shorting futures contract and longing ETF fundsportion which can be explained by short sale constrain and risk premium theory. Thedegree of mispricing was opposite to the position/volume ratio, which means asignificant relationship between market pricing efficiency and investor structure.
引文
①本章主要参考了刘岚，马超群.中国股指期货市场期现套利及定价效率研究.管理科学学报，2013,16（3）：41-52
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