时间：2024年5月30日（星期四）14:00-15:00
地点：经管大楼A楼 四楼第二会议室报告厅
主题：中国股指ETF期权市场隐含波动性：行为金融与系统动力学分析 （Implied volatility in the Chinese stock index ETF options market: a behavioral finance and system dynamics analysis）
主讲人：郭伟（beat365中国官方网站）
简介：郭伟，beat365中国官方网站金融系讲师。奥塔哥大学金融学博士。主要研究方向为行为金融学，资产定价，衍生品，社会网络分析等。参与国家级、省部级科学项目多项; 研究成果发表在Journal of Futures Markets, Kybernetes, Pacific-Basin Finance Journal等国际和国内核心期刊。
Wei Guo is a lecture of the Department of Finance, School of Management, University of Shanghai for Science and Technology. He got his doctor degree in Finance from the University of Otago. His main research interests include behavioral finance, asset pricing, derivatives, social network analysis and other theories and methods. He has participated in many national and provincial scientific projects, and his research results have been published in Journal of Futures Markets, Kybernetes, Pacific-Basin Finance Journal and other international and domestic core journals.
摘要：本研究通过行为金融学视角和系统动力学方法探索中国指数ETF期权市场的隐含波动性。分析了投资者心理行为对市场波动的影响，特别是过度自信和从众行为如何加剧市场波动。研究发现，这些行为参数显著增加了市场的波动性，尤其在信息不对称或经济不确定性高时更为明显。结果表明，理解市场行为背后的心理动因对于制定有效的市场监管政策和投资策略至关重要，可以帮助市场参与者和政策制定者更好地预测和应对市场波动。
This study explores the volatility of the Chinese index ETF options market through a behavioral finance perspective and a system dynamics approach. The impact of investors' psychological behavior on market volatility is analyzed, especially how overconfidence and herd behavior exacerbate market volatility. It is found that these behavioral parameters significantly increase market volatility, especially when information asymmetry or economic uncertainty is high. The results suggest that understanding the psychological drivers behind market behaviors is crucial for formulating effective market regulation policies and investment strategies, which can help market participants and policymakers better predict and respond to market volatility.
