A股股指期货投资者非理性行为研究

本文主要对沪深300期货和新华富时A50期货投资者行为进行检验。收益率与成交量的Granger检验表明,两期货的成交量变动领先于收益率的变动,说明两期货出现投资者非理性行为。而交割日效应的检验进一步说明A股股指期货存在一定的交割日效应,同时沪深300期货投资者的噪声交易较为明显。因此,可以认为,沪深300期货投资者存在较为明显非理性行为,而新华富时A50期货投资者行为相对理性。

This paper uses A50 and HS300 index future data to study irrational behaviors of A share index futures＇ investors.The results of Granger Causality tests show that both volume of A50 and HS300 index futures change before their yields,it means investors of A share index futures have irrational behaviors.Effects of closing date show that A share index futures have abnormal fluctuations before or after closing date.And noise deal is obvious among HS300 index future trading.So we think investors of HS300 index future have obvious irrational behaviors,and irrational behaviors of A50 index future investors are not apparent.