卖空机制对股票价格影响的非线性动力学模拟
发布时间：2019-05-13 18:54
【摘要】：采用非线性适应性演化系统的建模思路,引入信息冲击变量,构建了考虑卖空机制的股票价格动力学模型,通过数值模拟的方法,对在市场允许卖空与禁止卖空条件下,股票价格对利好和利空信息冲击的反应进行了对比分析。结果显示:在禁止卖空条件下,股票价格对相同程度的利好与利空信息冲击的反应存在非对称性,即对利好信息冲击存在过度反应,对利空信息冲击不会出现过度反应;但是在市场允许卖空条件下,股票价格对相同程度的利好与利空信息的反应基本是对称的。研究还发现在市场允许卖空受利空信息冲击下,卖空机制并不会加剧股票价格的下滑,形成大的负资产泡沫。
[Abstract]:Based on the modeling idea of nonlinear adaptive evolution system and the introduction of information shock variables, a stock price dynamics model considering short selling mechanism is constructed. by means of numerical simulation, under the condition that short selling is allowed and short selling is prohibited in the market, The response of stock price to good and short information shock is compared and analyzed. The results show that under the condition of banning short selling, there is asymmetry in the response of stock price to the same degree of good and short information shocks, that is to say, there is overreaction to the good information shock, but there will be no overreaction to the short information shock. However, under the condition that the market allows short selling, the response of stock price to the same degree of good and short information is basically symmetrical. The study also found that the short selling mechanism does not aggravate the decline of stock prices and form a large negative asset bubble when the market allows short selling to be hit by short selling information.
【作者单位】： 中南大学商学院;湖南省社会科学院;
【基金】：国家社会科学基金青年项目(11CGL023) 国家自然科学基金创新群体项目(70921001);国家自然科学基金面上项目(70872111)
【分类号】：F224;F832.51
本文编号：2476108
[Abstract]:Based on the modeling idea of nonlinear adaptive evolution system and the introduction of information shock variables, a stock price dynamics model considering short selling mechanism is constructed. by means of numerical simulation, under the condition that short selling is allowed and short selling is prohibited in the market, The response of stock price to good and short information shock is compared and analyzed. The results show that under the condition of banning short selling, there is asymmetry in the response of stock price to the same degree of good and short information shocks, that is to say, there is overreaction to the good information shock, but there will be no overreaction to the short information shock. However, under the condition that the market allows short selling, the response of stock price to the same degree of good and short information is basically symmetrical. The study also found that the short selling mechanism does not aggravate the decline of stock prices and form a large negative asset bubble when the market allows short selling to be hit by short selling information.
【作者单位】： 中南大学商学院;湖南省社会科学院;
【基金】：国家社会科学基金青年项目(11CGL023) 国家自然科学基金创新群体项目(70921001);国家自然科学基金面上项目(70872111)
【分类号】：F224;F832.51
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