我国商品期货投资者锚定效应的存在性及其对市场有效性的影响  

The Existence of Anchoring Effect of Chinese Commodity Futures Investors and Its Influence on Market Efficiency

作　　者：邝雄[1] 程超 陈霞 KUANG Xiong;CHENG Chao;CHEN Xia(School of Economics,Hainan University,Haikou 570228;International Economics and Finance Institute,Beijing 100820)

机构地区：[1]海南大学经济学院,海口570228 [2]国际财经中心,北京100820

出　　处：《系统科学与数学》2022年第8期2126-2141,共16页Journal of Systems Science and Mathematical Sciences

基　　金：2019年海南省基础与应用基础研究计划(自然科学领域)高层次人才项目(2019RC065);国家自然科学基金(71963011)资助课题.

摘　　要：文章基于中国期货投资者日度交易数据,在排除了个体信息对锚定偏差的混淆影响后,检验出中国期货市场投资者在投资商品期货的过程中,其当期报价会对上一次报价存在显著的锚定效应.在实证检验的基础上,文章进一步构建了期货市场上存在锚定效应的投资者交易决策的数理模型,并运用多主体复杂系统模拟的方法对锚定效应和期货市场有效性之间的关系进行了模拟研究.研究发现,套利者的锚定效应能够有效降低期货市场的价格波动性同时提升期货市场对现货市场的价格发现功能;而投机者的锚定效应虽然能稳定期货市场的价格波动,但是却降低了期货市场的价格发现功能.Based on the daily trading data of futures investors,after excluding the confounding effect of individual information on the anchoring bias,this paper examines the existence of anchoring effect of investors in the process of investing in commodity futures.Investors'current quotation will have a significant anchoring bias toward the previous quotation.On the basis of empirical test,this paper constructs a mathematical model of investors'trading decisions with anchoring effect in the futures market,and uses the method of multi-agent modeling to simulate the relationship between anchoring effect and futures market efficiency.It is found that the anchoring effect of arbitrageurs can effectively reduce the price volatility and improve the price discovery function of the futures market.While the anchoring effect of speculators can only stabilize the price fluctuation of the futures market but reduces the price discovery function of the futures market.

关 键 词：期货市场 锚定效应 市场有效性 多主体建模 

分 类 号：F832.5[经济管理—金融学]