投资者行为与期货市场波动:基于OLG模型和高频数据的理论与实证

中国管理科学 ›› 2012, Vol. ›› Issue (1): 91-101.

投资者行为与期货市场波动:基于OLG模型和高频数据的理论与实证

王郧¹, 华仁海²

1. 华中科技大学非传统安全研究中心,湖北武汉 430074;
2. 南京财经大学金融学院,江苏南京 210046

收稿日期:2010-05-24 修回日期:2011-10-11 出版日期:2012-02-29 发布日期:2012-03-09
基金资助:
国家自然科学基金面上项目(70873055);教育部人文社会科学研究规划项目(08JA790064)

The Investor Behavior and Futures' Volatility: A Two-Stage OLG Model and Empirical Study Based on Intraday Data

WANG Yun¹, HUA Ren-hai²

1. Social Science of Non-traditional Security Centre, Hubei Key Research Institute of Humanities, Wuhan 430074, China;
2. Financial School, Nanjing University of Finance and Economics, Nanjing 210046,China

Received:2010-05-24 Revised:2011-10-11 Online:2012-02-29 Published:2012-03-09

摘要/Abstract

摘要： 本文是针对投资者行为与期货市场波动性关系的研究,首先将宏观经济学中的世代交叠模型(OLG)引入期货市场,建立了基于期货合约价格的投资者交易行为模型,以及将模型扩展到完全信息和部分信息的情况并求解出均衡解,在推导命题基础上建立了两个假说并使用铜期货合约日内每笔交易数据对其做了实证研究。结果表明:(1)本文建立的两期世代交叠模型显示,期货合约价格的波动与债券的无风险利率,投资者的风险厌恶系数,合约供给的状态以及风险溢价的波动有关;(2)期货市场上富有信息的投资者(如机构投资者),通常采用反转交易模式;(3)期货市场上缺乏信息的投资者(例如散户),则通常采用动量交易模式。而这一结论显示,中国期货市场投资者与股票市场投资者在交易行为上存在明显区别。

关键词: 投资者行为, OLG模型, 动量交易, 反转交易

Abstract: Investor trading behavior is always an important issue in the behavioral finance and market supervision, but the related research is scarce. This paper introduces a two-stage OLG model into the future market and set the investor behavior model based on future contract price, which can also be extended to complete and incomplete information. We provide the equilibrium solution and use cuprum tick data in SHFE to conduct the empirical analysis. Empirical results present three main findings: First, the 2-period OLG model based on future market is consistent with the practical situation; second, the sufficient information investors such as institution adopt reversal trading patterns generally; last, the insufficient information investors such as private adopt momentum trading patterns in general.

Key words: investor behavior, overlapping generation model, momentum trading, reversal trading

中图分类号:

F830.9

王郧, 华仁海. 投资者行为与期货市场波动:基于OLG模型和高频数据的理论与实证[J]. 中国管理科学, 2012, (1): 91-101.

WANG Yun, HUA Ren-hai. The Investor Behavior and Futures' Volatility: A Two-Stage OLG Model and Empirical Study Based on Intraday Data[J]. Chinese Journal of Management Science, 2012, (1): 91-101.

参考文献

[1] Jegadeesh,N., Titman,S.. Returns to buying winners and selling losers: Implications for stock market efficiency[J].the Journal of Finance,1993,48(2):120-152.
[2] Chan, K., Narasimhan, J., Josef, L.. Momentum Strategies [J]. The Journal of Finance, 1996, 51(3): 1681-1713.
[3] Campell, J.. Noise trading and stock price behavior [J]. Review of Economic Studies, 1993, 60(2): 1-34.
[4] 王永宏,赵学军.中国股市"惯性策略"和"反转策略"的实证分析[J].经济研究,2001,6(3):56-89.
[5] 曹敏,吴冲锋.中国证券市场反向策略研究及其短周期性[J].系统工程理论与实践,2004,1(5):34-51.
[6] Barberis, N., Shleifer, A., Vishny,R.. A model of investor sentiment [J]. Journal of Financial Economics, 1998.49(1):307-343.
[7] Kent D., Hirshleifer,D., Avanidhar, S.. Investor psychology and security market under-and overreactions [J]. The Journal of Finance, 1998, 6(45):1839-1868.
[8] Hong,H., Jeremy, C.S.. A unified theory of underre-action, momentum trading and overreaction in asset markets [J].Journal of Finance, 1999,6(12):2143-2184.
[9] Barberis,M. H.,Tano, S.. Prospect theory and asset prices [J]. Quarterly Journal of Economics, 2001,5(1):1-63.
[10] Shiller, R. S.. The use of volatility measures in assessing market efficiency [J]. Journal of Finance, 1981, 36(12):291-304.
[11] De Long, J.B., Shleifer, A., Summers,L., Waldman, R.. Noise trading risk in financial markets [J]. Journal of Political Economy, 1990, 98(1):703-738.
[12] De Long, J.B., Shleifer, A., Summers,L., Waldmann, R.. The size and incidence of the losses from noise trading[J]. Journal of Finance, 1989,44(12): 681-696.
[13] Campell.J., Smart M.. Noise trading and stock price behavior[J].Review of Economic Studies,1993,60:1-34.
[14] Wang, J.. A model of intertemporal asset prices under asymmetric information [J].Review of Economic Studies, 1993, 60:249-282.
[15] Spiegel, M.. Stock price volatility in a multiple security overlapping generations model [J]. Review of Financial Studies, 1998, 11:419-447.
[16] Mashiro W.. Price volatility and investor behavior in an overlapping generations model with information asymmetry [J]. The Journal of Finance, 2008, 1:229-272.
[17] 孔东民.信念、交易行为与资产波动:理论与实证[J].金融学季刊,2009,1(5):1-28.
[18] Leuthold, R.M.. The price performance on the futures markets of a nonstorable commodity [J]. American Journal of Agricultural Economics, 1974, 56(1): 271-290.
[19] Matin, L., Garcia, P.. The Price-forecasting performance of futures markets for live cattle and hogs: A disaggregated analysis [J]. American Journal of Agricultural Economics, 1981, 51(2): 63-84.
[20] Hokkio, C., Rush, M.. Market efficiency and cointegration: An application to the sterling and deutschemark exchange markets [J]. Journal of International Money and Finance, 1989, 32(8): 75-88.
[21] 陈蓉,郑振龙.期货价格能否预测未来的现货价格[J]？国际金融研究,2008,9(12):70-74.
[22] Renneboog, L., Horst, J.T., Zhang,C.D.. Socially responsible investments: Institutional aspects, performance, and investor behavior [J].Journal of Banking & Finance, 2008.32(1):1723-1742.
[23] Kurov,A.. Investor Sentiment, trading behavior and informational efficiency in index futures markets[J]. The Financial Review,2007,1:1540-1572.
[24] 华仁海,钟伟俊.对我国期货市场量价关系的实证分析[J]. 数量经济技术经济研究, 2002.6(12):119-121.
[25] Szyszka, A.. Generalized behavioral asset pricing model, working paper.Poznan University of Economics,2008.
[26] Milan, L., Uzay, K., Jaap, S.. A Conceptual Model of Investor Behavior. Erim Report Series Research In Management,2008.
[27] Min, D.. On the Investor Behavior and Stock Price Behavior [J].Journal of Banking and Finance, 2006, 6:1-31.
[28] Dumas, B., Kurshev, A., Uppal, R.. What Can Rational Investors Do About Excessive Volatility And Sentiment Fluctuations? Swiss Finance Institute Research Paper Series, 2005.