利好、利空信息与证券市场稳定性

发布时间：2019-06-27 20:01

【摘要】：在考虑中国投资者行为特征的基础上,运用前景理论建立具有有限理性的信息交易者和噪声交易者的动态投资决策模型,通过对模型均衡点的稳定性进行分析并结合计算实验的方法研究利好、利空信息在市场低迷、过渡和繁荣3个不同时期的作用情况及其作用机理。研究结果表明,在市场低迷时期,由于流动性风险过大带来的交易成本大幅增加,导致市场对利空信息的反应大于利好信息;在过渡时期,信息交易者成为调控市场的有效主体,市场对利好、利空信息的反应都是敏感的,利好信息使市场走向繁荣,利空信息使市场走向低迷;当市场处于繁荣时期,由于信息交易者和噪声交易者的交互作用,导致利好信息不但会降低市场的稳定性,还很容易引发大规模的市场波动,而市场对利空信息的反应却不大。研究结果可对市场实施信息调控提供理论指导,以维护中国证券市场长期良好发展。
[Abstract]:On the basis of considering the behavior characteristics of Chinese investors, the dynamic investment decision model of limited rational information traders and noise traders is established by using prospect theory. The function and mechanism of good and short information in three different periods of market downturn, transition and prosperity are studied by analyzing the stability of the equilibrium point of the model and combining with the method of calculation experiment. The results show that in the period of market downturn, the transaction cost caused by excessive liquidity risk increases greatly, which leads to the market's response to bad information is greater than that of good information. In the transitional period, information traders become the effective subject of regulating and controlling the market, and the market is sensitive to good and short information, which makes the market prosperous and the market depressed. When the market is in a prosperous period, due to the interaction between information traders and noise traders, good information will not only reduce the stability of the market, but also easily lead to large-scale market fluctuations, but the response of the market to bad information is not great. The research results can provide theoretical guidance for the implementation of information regulation and control in the market in order to maintain the long-term good development of China's securities market.
【作者单位】：南京大学工程管理学院;CeNDEF Faculty
【基金】：国家自然科学基金(70932003,70871056) 教育部科技创新工程重大项目培育资金(708044);教育部人文社会科学研究项目(09YJCZH061)~~
【分类号】：F830.91

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