Dissertation > Excellent graduate degree dissertation topics show

A Study on Feedback Trading in Stock Index Futures Markets Based on the Asymmetric GARCH Model

Author: ZhuZhen
Tutor: XieChi
School: Hunan University
Course: Management Science and Engineering
Keywords: Stock index futures market Feedback trading Behavioral finance Asymmetric GARCH model
Type: Master's thesis
Year: 2013
Downloads: 33
Quote: 0
Read: Download Dissertation


As an irrational trading activity that making investment decisions only based onpast changes in asset prices’ movement, the feedback trading has always beenconsidered as one of the important research topics in the behavior finance field. Inrecent years, in order to improve the market construction and efficiency, Asian countrieshave introduced the stock index futures based on learning from the experience ofwestern mature markets. Meanwhile, the research on traders behavior in Asian stockindex futures markets has also caused scholars’ new attention.Firstly, an theoretical analysis is made for the connotation, forming reasons andcharacteristics of feedback trading in stock index futures markets. Then, this papercompares and selects the main test methods of feedback trading, and constructs theEGARCH(1,1) and TGARCH(1,1)-based feedback trading model. after that, this paperestimates the existence and asymmetrical feature of feedback trading in nine Asian stockindex futures markets with the feedback trading model, and investigates the yieldforecasting effect of the EGARCH(1,1) and TGARCH(1,1)-based feedback tradingmodel. Finally, the policy suggestions are proposed.The results show that, in addition to the Singapore market, there is strong evidenceof positive feedback trading based on short-term or medium-term price trends in Asianstock index futures markets, which induces negative return autocorrelation. At the sametime, the positive feedback trading activity is much more violent during periods ofmarket declines than periods of market advances, with a clear asymmetry. In addition,the yield forecasting effect of the EGARCH(1,1) and TGARCH(1,1)-based feedbacktrading model is significantly better than the normal EGARCH(1,1) and TGARCH(1,1)model, which indicates that feedback trading factors should be fully considered in thestock index futures yield forecasting.

Related Dissertations

  1. Empirical Study of the Effect of Irrational Factors on the Investment Decision of Chinese Listed Companies,F832.51;F224
  2. The Behavioral Financial Study of Global Gold Market’s Anomalies,F224
  3. The Empirical Research on Herd Behavior and Positive Feed-back Trading in China Stock Market,F832.51
  4. The Impact of Securities Investment Fund on Chinese Stock Market Volatility,F832.51
  5. Investor Sentiment and Stock Return,F832.51
  6. Formation of asset prices based on behavioral finance theory,F830
  7. Research on the Behavioral Financial Theory and Which Is Applied in Corporate Investment,F276.6
  8. The Research on Positive Feedback Trading Conduction Means of the Real Estate Market,F293.3
  9. Behavioral Asset Pricing Theory,F830.9
  10. A Study of Investors’ Psychological Bias and Value Investment Strategy,F832.48
  11. Research on the Influence That Short-selling Restrictions Effects on the Behavior of Institutional Investors,F224
  12. Research on Chinese Listed Companies’ Financing Decision from the View of Behavior Finance Application,F832.51;F224.32
  13. An Empirical Study of China Securities Investment,F832.51
  14. Research on Equity Financing Preference of Listed Companies Based on Behavioral Finance,F275
  15. An Empirical Study on the Behavioral and Psychological Characters of Chinese Individual Investors,F224
  16. Research on Bubbles in Stock Market of China,F224
  17. The Empirical Analysis of the Influence of Stock Price by Investor’s Cognitive Bias,F830.91
  18. The Analysis of Individual Investors’ Behavior in Chinese Security Market,F832.51
  19. Irrational behavior of investors in securities -based Customer Relationship Management Innovation of,F832.51
  20. The Research on China’s Stock Market Overreaction under Asymmetric Information,F832.51
  21. Behavioral Asset Pricing Theory and Its Empirical Study,F832.51

CLC: >
© 2012 www.DissertationTopic.Net  Mobile