投资者过度自信影响国际碳期货价格的数理模型分析  

Analysis of mathematical model about the influence of investors' overconfidence on carbon futures price in international carbon market

作　　者：张晨[1] 朱晓丹[1] 胡志玮 操玮 ZHANG Chen;ZHU Xiaodan;HU Zhiwei;CAO Wei(School of Management,Hefei University of Technology,Hefei 230009,China;School of Economics,Hefei University of Technology,Hefei 230009,China)

机构地区：[1]合肥工业大学管理学院,安徽合肥230009 [2]合肥工业大学经济学院,安徽合肥230009

出　　处：《合肥工业大学学报（自然科学版）》2018年第8期1134-1142,共9页Journal of Hefei University of Technology：Natural Science

基　　金：国家自然科学基金资助项目(71373065)

摘　　要：文章采用格兰杰因果关系检验方法验证了国际碳期货市场投资者存在过度自信,并以投资者同质性、过度自信以及风险厌恶等假设为前提,构建了投资者过度自信影响碳期货定价的均衡价格数理模型,从理论角度分析了碳期货价格及其波动的机理,并通过数值模拟的方法验证了模型分析的准确性。研究结果表明:投资者过度自信程度越大、交易费用程度和保证金率越高,碳期货预期价格越高;投资者风险厌恶程度越大,碳期货预期价格越低;投资者过度自信程度的提升放大了碳期货价格的异常波动,碳期货交易保证金对碳期货价格波动具有影响,但交易费用不影响碳期货价格的波动;数值模拟验证了均衡价格模型理论分析的结果,同时发现投资者心理因素对碳期货价格及其波动的影响要比保证金和交易费用等因素而言更大。Granger causality test method is used to check out the investors’overconfidence in international carbon futures market.Based on the hypothesis of the homogeneity,overconfidence and risk aversion of investors,the equilibrium price model about the influence of investors’overconfidence on carbon futures price is built,and the mechanism of carbon futures price and its volatility is analyzed based on the model,and the model is also verified by the numerical simulation method.It is found that the higher degree of investors’overconfidence,the greater the transaction cost and the higher deposit rates,the higher the expected price of carbon futures;the greater the degree of investors’risk aversion,the lower the expected price of carbon futures;the increase of investors’overconfidence degree amplifies the abnormal fluctuation of carbon futures price;the margin system affects the volatility of carbon futures price,giving full play to the adjustment of speculative activities in carbon futures market;the transaction cost does not affect the fluctuation of carbon futures price;the numerical simulation results show the accuracy of the model results;compared with the margin system and transaction cost,the psychology of investors exerts a greater effect on carbon futures price and its fluctuation.

关 键 词：过度自信 碳期货 均衡价格数理模型 异常波动 交易费用 风险厌恶 

分 类 号：F830.9[经济管理—金融学]