黏性预期与非对称心理容忍——基于沪深300股指期货投资者的LSTR实证检验

Sticky Expectation and Asymmetric Psychological Tolerance:LSTR Empirical Test Based on CSI 300 Stock Index Futures Investors

本文以期货定价偏差作为预期的代理变量,利用两个门限的LSTR转移函数方法对投资者的预期形式进行了直接的检验和分析,发现沪深300股指期货市场投资者的预期形式表现出非线性,更为接近黏性预期的假设,对市场利多利空消息的反应存在着黏性和突变性;同时该反应暗含了投资者非对称的心理容忍,对利多信息容忍程度更大,对利空信息容忍程度更小。并且发现2015年9月为稳定市场而实施的期货市场限仓的政策以及市场环境的改变,在短期会使得投资者对利空信息的心理容忍变得更小,起到了有效的预期管理目的。

This paper studied the expectations of investors in the market, itregarded the futureprice biases as the proxy variable of expectation while applying the transfer function of two thresholds of LSTR to test to directly analyze the expectation form of investors, which solves the problem that the expected data of financial market is difficult to be observed and the nonlinear expected theory is difficult to test. It was found that the expectation mechanism of Shanghai and Shenzhen 300 stock index futures market investorswas closed to the assumption of sticky expectation exhibits non- linear circumstances; Meanwhile it was found that investors have a non-symmetrical psychological tolerance about par- ticular information, they had the greater degree of tolerance to good news rather than the smaller degree of tolerance to bad news. The implementation of futures market position limits policy in September 2015 and the change of the market environment, in the short term will make investors＇ psychological tolerance change into smalleron the bad news, and played an effective purpose of managing management. The conclusion provided the market evidence for the government departments when making policies to managing expectations and enforcing confidence. Finally, it provided the parties the assistance to a better understanding of the expectations of investors, market changes and also improved pricing the- ory research.