IDEAS home Printed from https://ideas.repec.org/a/eme/cfripp/v4y2014i1p24-41.html
   My bibliography  Save this article

The study of the price of gold futures based on heterogeneous investors' overconfidence

Author

Listed:
  • Wei Jiang
  • Pupu Luan
  • Chunpeng Yang

Abstract

Purpose - – The purpose of this paper is to research and analyze the price of gold futures based on heterogeneous investors' overconfidence. Design/methodology/approach - – This paper divides the traders of gold futures market into two kinds: the speculators and arbitrageurs, and then constructs a market equilibrium model of futures pricing to analyze the behaviors of the two kinds of traders with overconfidence. After getting the decision-making function, the market equilibrium futures price is attained on the condition of market clearing. Then, this paper analyzes how the overconfidence impacts on futures price, volatility of the price of gold futures and the effects on individual utility. Findings - – Under different market conditions, the overconfidence psychological impacts of heterogeneous investor on the price and volatility of futures are different, sometimes completely opposite. Originality/value - – In the past literature, the relationships between overconfidence and the price or volatility are positive; however, the study shows that sometimes it is positive, and sometimes it is negative.

Suggested Citation

  • Wei Jiang & Pupu Luan & Chunpeng Yang, 2014. "The study of the price of gold futures based on heterogeneous investors' overconfidence," China Finance Review International, Emerald Group Publishing Limited, vol. 4(1), pages 24-41, February.
    • Handle: RePEc:eme:cfripp:v:4:y:2014:i:1:p:24-41
    DOI: 10.1108/CFRI-12-2012-0115
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/CFRI-12-2012-0115/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/CFRI-12-2012-0115/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/CFRI-12-2012-0115?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hou, Shehong & Niu, Yingjie & Yang, Jinqiang, 2018. "Optimal consumption-portfolio rules with biased beliefs," Economics Letters, Elsevier, vol. 173(C), pages 152-157.
    2. Chi-Wei Su & Xu-Yu Cai & Ran Tao, 2020. "Can Stock Investor Sentiment Be Contagious in China?," Sustainability, MDPI, vol. 12(4), pages 1-16, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:cfripp:v:4:y:2014:i:1:p:24-41. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.