消费习惯与资产价格波动研究

发布时间：2018-10-23 17:51

【摘要】：投资者的主观属性对于资产价格的决定起着重要的作用。消费习惯是投资者的一种重要的行为属性。习惯形成模型假定消费者的效用不仅仅来自于当前的消费水平,还来自于过去的相对消费水平。投资者在做出投资决策时不仅仅要考虑未来每一期的消费水平,还要考虑已经形成了的消费习惯,因而会影响资产的均衡价格。本文将股票的均衡价格表示为习惯参数的函数,进而研究消费习惯的变动对于股票价格波动的影响,并比较中美股市波动的差异性。文章使用GMM方法估计得到了我国投资者的习惯参数,结果表明我国投资者对过去消费具有强烈的依赖性,且这种依赖程度要大于美国的投资者。文章还采用数值模拟的方法研究了消费习惯的波动对资产价格波动的影响。模拟结果表明我国投资者消费习惯的较小波动,会引起股票价格的大幅波动,并且这种波动幅度要大于美国投资者消费习惯的波动所引起的股票价格波动的幅度。
[Abstract]:The subjective attributes of investors play an important role in the decision of asset price. Consumption habit is an important behavior attribute of investors. The habit formation model assumes that consumers' utility comes not only from current consumption levels, but also from past relative consumption levels. When investors make investment decisions, they should not only consider the consumption level of each period in the future, but also consider the existing consumption habits, which will affect the equilibrium price of assets. In this paper, the equilibrium price of stocks is expressed as a function of customary parameters, and then the influence of changes in consumption habits on stock price fluctuations is studied, and the differences of volatility between Chinese and American stock markets are compared. The GMM method is used to estimate the customary parameters of Chinese investors. The results show that Chinese investors have a strong dependence on past consumption, and the degree of dependence is greater than that of American investors. The paper also studies the influence of the fluctuation of consumption habits on the volatility of asset price by means of numerical simulation. The simulation results show that the small fluctuation of Chinese investors' consumption habits will cause the stock price to fluctuate greatly, and this fluctuation range is larger than that caused by the fluctuation of American investors' consumption habits.
【作者单位】：武汉大学经济与管理学院;中国人民大学经济学院;
【基金】：国家自然科学基金项目“中国投资者行为测度及群体异质性研究(NO.70803035) 行为投资组合模型及基于Agent金融市场仿真研究(NO.70771083)”资助
【分类号】：F224;F832.5

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