| The traditional efficient market hypothesis thought rational expectations of economic man is the micro-foundation, and the market is in control of rational investors, the market price is to reflect market efficiency. However, as the rapid development of global financial market, the innovation of financial product, market volatility increased, many financial "vision" cannot be explained by traditional financial theory, the efficient market theory has been questioned.In this context, researchers gradually realized that investors are actually "normal" but not always "rational man", which is precisely the assumption of behavioral finance theory. Behavioral finance theory can be applied to do empirical test on investors' cognitive, psychological and behavioral biases under uncertain conditions, to study investors' trading process, the abnormal market volatility and market linkage reaction, looking for the real evidence of investors'"irrationality", and analyze the causes and effects.With the continuous development of China's capital market, many studies have shown low levels of market efficiency, investors'"irrational " behavior in equity, futures market is prevalent, particularly for only three years development of our country's stock index futures market, investor's investment philosophy and investment psychology is not yet mature, investors' rationality is low, which will cause a negative impact on the development of China's financial markets. In this case, we use the empirical methods and behavioral finance theory to study investors' investment behavior in the stock index futures market, to find their behavior patterns and degree of rational behavior, for exploring the intrinsic formation mechanism of the stock index futures' market price, which has great significance to improve market efficiency and promote the health development of the market.Therefore, we use index futures investors as our research object, and investor behavior as keywords, we studied the existence, market performance and impact of stock index futures investors'psychological deviation and behavioral deviation. How can stock index futures' investors behave irrationally under individual micro-level? How can Investors'irrationality be reflected under market macro-level? How can markets and the delivery of market information cause investors' irrationality. For this series of questions, this paper did the empirical study on investors' disposition effect, overconfidence and overreaction in stock index futures market.This paper began with the discussion on market efficiency hypothesis, and summarized irrational behavior theory and model application in behavioral finance, on the basis of these, we then did the empirical analysis on investors' disposition effect overconfidence and overreaction. and finally, we made the conclusion and policy recommendations. The formation of this article includes seven sections:The first chapter is an introduction. Firstly, it illustrated the background and significance of this article. Secondly, it described the research methods and the main contents. Thirdly, it pointed out the innovation and shortcomings of this study. Finally, it concluded the framework of this article.The second chapter mainly summarized the form and performance of investors" cognitive and psychological bias from the perspective of psychological research. The most important breakthrough of Behavioral Finance as to classical finance theory is no longer relevant "rational man" hypothesis as a prerequisite. The research object of behavioral finance changed from the "rational man" into a "normal man", whose rationality does not comply with Bayesian rational belief, and their preference does not necessarily meet the expected utility maximization, but there are all kinds of "irrational "limitations. This chapter distinguished investor's irrationality from the perspective of cognitive biases and psychological deviation, and we concluded cognitive bias, overconfidence, prospect theory, regret theory, mental accounting, disposition effect and herding, etc, which all have a major impact on the investment decisions, Investors' cognitive and psychological deviation can cause investor' behavior deviation, the main reason can be the market inefficiency, which is also the empirical study of this article.The third chapter mainly analyzed and interpreted the market abnormal from the perspective of behavioral finance, which is difficult to justify by classical finance. On the basis of the second chapter, based on the behavioral finance assumption--psychological characteristics of "normal man", we made a more detailed description on investors' behavior characteristics, and gave a more reasonable explanation on market abnormal. First, we analyzed the irrationality of investors'investment strategy and trading behavior, the explanation for these phenomena is mainly based on the limited cognitive ability investors, mental accounting, overconfidence, regret aversion and other psychological characteristics; Secondly, we summarized investors' irrationality in asset pricing. Investors' conservative psychology, prospect theory, knowledge representation, fuzzy aversion, overconfidence and other behavioral and psychological features can give some explanation; Finally, we discussed the related applications on IPO behavioral finance, where investors' overconfidence and optimism will affect the company's financial decisions, while issuers and underwriters may take advantage of market irrationality, to seek to maximize their benefits from a rational perspective.The fourth chapter made empirical test on investors' disposition effect and behavioral biases in stock index futures market. The disposition effect is one of the most popular law in the study of investors' behavior, it refers to investors always tend to sell when win and keep when lose, that makes making-money stocks selling too quickly, and losing-money stocks holding too long. As to study investors' Disposition Effect, we started from traders' exchange account to study investors' behavioral biases, which implies the change of investors' risk preference when faced with the determined gains and uncertain loss, which is because of investors' regret aversion psychology. In this chapter, we take the sample of2300investors' futures trading account, and we found investors' disposition effect behavioral biases is obvious in China stock index futures market. And individual investors' disposition effect is more.significant with respect to the effect of institutional investors. Investors with rich experience exhibit a lower disposition effect character, which indicates that though vocational training experience cannot completely eliminate the investors' behavioral biases, but it does reduce deviant behavior to a certain extent. This is applicable for both institutional investors and individual investors; Institutional investors' disposition effect did not significantly affect their investment profitability, but to individual investors, there is a significant negative correlation between investment disposition effect and performance. The larger the disposition effect, the worse the investment performance.Chapter five did the empirical analysis on investor overconfidence psychological bias in the stock index futures market from the perspective of the market trading volume. In the financial market, Volume Puzzle has attracted a majority of researchers, excessive trading volume reflects the market's whole, systematic behavioral biases, a great many studies indicate that this may be related to investors'overconfidence mental deviation. This chapter uses five minutes continuous data of stock index futures contracts, the time span is from16April2010to27April2012. Through the market yields and daily market trading data, using threshold VAR to find some evidence on overconfidence and trading volume in the stock index futures market, to prove that past market returns have an effect on investors trading behavior (measured by volume).Chapter six did the empirical research on investor's overreaction deviant behavior in our stock index futures market from the perspective of the linkage between domestic and foreign markets. We use a variety of methods to study whether our stock index futures market present overreaction on the U.S. stock index futures market. Studies found that, our investors is asymmetrical to good or bad performance of the United States overnight, which shows the existence of over-reaction, and investors are more intense as for bad news, there is an asymmetric effect; Second, the S&P500index futures constitute a significant Granger causal effect on CSI300index futures; Third, information is obtained from Standard&Poor's500index futures market to the CSI300index futures market; Finally, the CSI300index futures and the S&P500Index futures exist bidirectional dynamic effects.Chapter seven drew conclusions on the basis of the full study and make policy recommendations. First, in the theoretical analysis and empirical test, we get conclusions on the investor's behavior research in the stock index futures market. Our stock index futures market is ineffective. Individual investor's irrationality is more pronounced. The behavioral characteristics such as disposition effect, overconfidence and investor's overreaction have a significant impact on stock index futures market. Stock index futures investor's behavior exhibited "bounded rationality". Secondly, we made policy recommendations on the healthy development of the stock index futures market and further enhance the effectiveness of the market.The innovation of this article may include:(1) Based on the theoretical basis of behavioral finance, we made full use of mathematical statistics and econometric analysis methods, to make the empirical research on investor behavior from the micro to the macro with a hierarchy.(2) Focus on distinguishing behavioral characteristics of different types of investors.(3) Using investors' trading account data in stock index futures market to validate investors'behavioral biases and cognitive biases in the Chinese stock index futures market.(4) we are the first one to make stock index futures market investor's behavior in our country as the research object, and made deep discussion on the meaning and essence of ineffective in the stock index futures market.The deficiency may include:(1) it is not bound with the form of questionnaires on investor's psychology for direct verification.(2) Don't make more diverse and broader research on the behavior of investors in the stock index futures market.(3) The theoretical innovation for the investor's behavior research is insufficient. |
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