异质信念下中国股票市场价格偏差研究

发布时间：2018-03-29 10:25

本文选题：价格偏差　切入点：异质信念　出处：《湖南大学》2012年硕士论文

【摘要】：现代行为金融学认为，由于市场存在多种有限理性且持有互异先验信念的投资者，从而形成市场价格的偏差。本文讨论了在异质信念理论下，市场价格与价格偏差的方程形式。在此基础上，本文引入适应度函数来衡量任一种信念的收益能力，引入选择强度来衡量投资者在不同信念之间转换的速度，通过这两个变量的引入，建立了投资者占比与价格偏差的联动方程。该方程表明，一种信念的适应度函数越高，则其对应的投资者市场占比也就越大；如果这种信念是基准价值信念，则持有该信念的投资者有助于稳定市场，价格偏差将得到修复；如果这种信念是趋势追逐类信念，则持有该信念的投资者会扩大市场的不稳定与波动，价格偏差会被放大。数值模拟的结果显示，在由多种信念组合而成的市场中，价格偏差的运动轨迹较为复杂，基准价值投资者占比、趋势投资者占比、投资者的信念强度、市场选择强度都会影响价格偏差的修复路径和修复速度，甚至在某些参数取值下，价格偏差无法得到修复。最后，本文以基准价值信念和趋势追逐信念组合作为中国股票市场投资者所使用的代表性信念组合，利用遗传算法，，考察了异质信念定价理论对上证A股指数、深圳A股指数、深圳成分指数与深圳中小板指数等在2002-2011年内市场波动与市场偏差的解释力.结果显示：对于四个指数，异质信念模型对数据的拟合优度显著高于同质信念模型；市场的波动与平均市场情绪之间存在正向联系。深圳成分指数的趋势投资信念强度显著低于其他指数，这意味着与其他指数相比，深圳成分指数的波动和偏差程度是这四个样本中最小的。此外，四个指数的风险厌恶系数均值约为3，这意味着中国股票市场的投资者呈现风险厌恶。总得来说，异质信念模型刻画了投资者占比与市场价格偏差的联动过程，对中国股票市场的波动有较好的解释力。
[Abstract]:Modern behavioral finance holds that there are many investors with limited rationality and different transcendental beliefs in the market, which leads to the deviation of market price. In this paper, we discuss the theory of heterogeneous belief. On this basis, the fitness function is introduced to measure the earning ability of any belief, and the selection intensity is introduced to measure the speed of investors' conversion between different beliefs. Through the introduction of these two variables, the linkage equation of investor's share and price deviation is established. The equation shows that the higher the fitness function of a belief, the greater the proportion of investors' market. If this belief is a benchmark value belief, the investors who hold it will help stabilize the market and the price bias will be fixed; if it is a trend-chasing belief, The investors holding this belief will expand the instability and volatility of the market, and the price deviation will be magnified. The numerical simulation results show that in a market composed of multiple beliefs, the trajectory of the price deviation is more complex. The proportion of benchmark value investors, trend investors, the strength of investors' belief, the strength of market selection will affect the repair path and repair speed of the price deviation, even if some parameters are selected, the price deviation will not be fixed. In this paper, the benchmark value belief and trend chasing belief combination are used as representative belief combinations for Chinese stock market investors. By using genetic algorithm, we investigate the heterogeneity belief pricing theory for Shanghai A-share index and Shenzhen A-share index. The explanatory power of Shenzhen component index and Shenzhen small and medium-sized board index to explain market fluctuation and market deviation in 2002-2011. The results show that the heterogeneity belief model has significantly higher goodness of fit than homogeneous belief model for the four indices. There is a positive correlation between market volatility and average market sentiment. The Shenzhen component index has significantly lower trend investment beliefs than other indices, which means that compared with other indices, The volatility and deviation of the Shenzhen component index is the smallest of the four samples. In addition, the average risk aversion coefficient of the four indices is about 3, which means that investors in the Chinese stock market have a risk aversion. The heterogeneous belief model depicts the linkage process between investor share and market price deviation, which can explain the fluctuation of Chinese stock market.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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