流动性、预期与资产价格泡沫的关系:实验与行为金融的视角

发布时间：2018-01-06 16:30

本文关键词：流动性、预期与资产价格泡沫的关系:实验与行为金融的视角　出处：《世界经济文汇》2010年02期 　论文类型：期刊论文

【摘要】：金融市场的历史和现实经验表明资产价格泡沫的膨胀与过剩的流动性和正向的经济预期有密切的关系。本文通过设置四组不同流动性条件、分红条件的实验室资本市场,利用实验数据检验了流动性过剩和高分红预期对资产价格泡沫膨胀的影响。实验结果表明,在其他条件不变的前提下,流动性过剩和高分红预期是推动资产价格泡沫膨胀的两大要素,但流动性因素对价格泡沫的影响更具有独立性和主导性:无论分红预期高还是低,流动性过剩都会带来显著的价格泡沫。此外,在流动性不足和低分红预期的条件下市场会出现负泡沫。结合行为金融理论,我们认为价格泡沫的膨胀来源于交易者固有的认知偏差,流动性过剩为认知偏差转化为市场定价偏差提供了条件,而高分红预期可能会进一步激发过度乐观这类认知偏差。
[Abstract]:The history and practical experience of financial markets show that the expansion of asset price bubbles is closely related to excess liquidity and positive economic expectations. The experimental data are used to test the influence of excess liquidity and high dividend expectation on the bubble expansion of asset price in the laboratory capital market with dividend conditions. The experimental results show that the other conditions remain the same. Excess liquidity and high dividend expectations are the two main factors to promote asset price bubble inflation, but liquidity factors have more independent and dominant influence on price bubble: whether high or low dividend expectations. Excess liquidity will lead to significant price bubbles. In addition, under the conditions of low liquidity and low dividend expectations, there will be negative bubbles in the market. We believe that the inflation of the price bubble comes from the inherent cognitive bias of the traders, and the excess liquidity provides the conditions for the conversion of the cognitive bias to the market pricing bias. High dividend expectations may further stimulate such cognitive biases as excessive optimism.
【作者单位】：浙江大学经济学院;
【基金】：国家社科基金青年项目“股市安全预警与应急处理机制研究”的阶段性成果,项目编号08CJY060
【分类号】：F820;F830.91;F224
【正文快照】： 一、引言从18世纪的南海公司泡沫,到2000年的网络泡沫,到2008年席卷全球的金融危机,资产价格泡沫的膨胀及其破灭一直是金融领域关注的主要问题。然而,资产价格泡沫通常是难以进行事前预测的,人们只有在泡沫破灭之后才认识到泡沫的存在。Kindle-berger(2000)曾对金融历史上的

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