Research On Investor Behavior And Capital Market Pricing Anomalies

Under the framework of behavioral finance,the anomalies,abnormal pricing of capital market,is caused by the behavior of investors,but investor behaviors are not fixed,and they depend on the type of investor and the market in which the investor is located.What are the behaviors of various investors in different markets? How do the bounded reason,such as investor beliefs,affect investor behaviors? Do these behaviors lead to the abnormal pricing of capital market in the market? In order to answer these questions,this paper focuses on three typical investors,including hedgers,insider traders,arbitrageurs,and deeply discusses these issues caused by investor heterogeneous beliefs and funding constraints around five different trading markets,such as future spot,stock index future,stock option,foreign exchange,and treasury security markets.The main research contents and contributions include as follows:First,in terms of hedgers,we propose the method of measuring the relation between assets based on the Copula theory,analyze their hedging behaviors in the future spot markets.We use the Kendall ? coefficient to characterize the non-linear relations between assets in the portfolio.By converting the margins of multivariate into the normal Copula function,we determine the margin of multivariate normal Copula in terms of distributions of actual returns and features such as high kurtosis and fat tail.Based on these,we forecast the variance-covariance matrix between assets.This variance-covariance matrix has a great impact on the portfolio hedging,which is often used in future spot markets.The experiments for aluminum and copper commodities in our country,which is an important consumer of bulk commodities,show that the hedging efficiency of this model is better than traditional models,such as factor GARCH model,static full hedging model,and least squares models.In addition,the nonlinear correlation coefficient and the Copula function effectively improve the estimation of the optimal hedge ratio by history data and can efficiently predict the variance-covariance matrix between asset returns.Second,in terms of insider traders,we construct a market equilibrium model under the heterogeneous belief of investors,analyze the market manipulation behavior of insider traders under this equilibrium from the financial market microstructure.With the framework of the competitive rational expectations equilibria,we build a risky asset pricing model with heterogeneous beliefs of uninformed traders.Then,a linear price function in the unique Bayesian linear equilibrium is derived.There are a lot of insider traders,who have an important impact on the price in the stock spot market.Based on these,we also study the market manipulation by one powerful insider under the equilibrium model.The results of our study show that:(1)the belief bias of the uninformed traders significantly influences the demands of the informed and uninformed traders,the equilibrium price of the risky asset,and the manipulation strategy of the powerful insider.But it doesn't affect the depth of the market.(2)The insider is assumed to be powerful enough to manipulate the price by designedly spreading false information to make the uninformed traders to trade by following the false information.(3)The insider should take into account the belief bias of the unformed traders in order to maximize his profit when spreading false information.(4)In the linear equilibrium,the equilibrium price has a positive linear correlation with the liquidation value expressed by the false information.Third,in terms of abnormal pricing of capital market,we measure the spread of abnormal pricing in different arbitrage markets,discuss the comovement of abnormal pricing among arbitrage markets,and analyze the influence of funding constraints on the comovment of abnormal pricing.There may be arbitrage between different financial products with the same underlying asset.Arbitrageurs often carry out their strategies in stock index future markets,stock option markets,foreign exchange markets,and treasury security markets.We study the arbitrage gap in these markets by the non-arbitrage model,and analyze the comovement of arbitrage gap among different financial markets.Then,We propose the aggregate gap(AG)to represent the arbitrage gap among different financial markets.Finally,based on vector autoregressive(VAR)model,we investigate the relation between financing constriants and aggregate gap(AG).We consider the USA financial markets which are the most muture than other counties as the target markets to research.The experiments for USA markets,including stock index future,stock option,foreign exchange,and treasury security markets,show that there exist arbitrage gap and strong comovement among different markets.Especially,we find that the tightening of funding constraints can lead to comovement of abnormal pricing,which further makes financing deteriorate.In this paper,based on the behavioral finance theory,we research the investment behavior of hedgers and insider traders,analyze the arbitrage spreads of abnormal pricing in different financial markets,and finally explore the relation between abnoral pricing and funding constraints.The research in this paper perfects the behavioral finance theory,provides advice of investment and regulatory for investors and regulators,and has an important theoretical and practical value.