基于行为金融学理论的普通住宅市场非理性泡沫研究

发布时间：2018-10-23 10:21

【摘要】：房地产行业是我国经济发展的主要推动力，其健康与否将直接影响我国经济的发展。然而，随着城市化进程的加快，城市土地稀缺性日益凸显，全国各大城市房地产价格急剧上涨，房地产市场上出现了大量以获取超额利益为目标的投机者，导致经济泡沫可能出现。行为金融学从投资者的心理出发，研究投资者的非理性投资行为，为泡沫研究提供了理论支持。论文以行为金融学理论为基础，以房地产的主要组成部分——普通住宅市场为对象，研究非理性泡沫。本文首先对非理性泡沫进行定义，并阐述非理性泡沫理论基础。在此基础上，从普通住宅市场内部出发分析普通住宅需求特性、土地供给特点，确定非理性泡沫产生的根源；从普通住宅市场外部出发分析政府调控政策的反复和频繁性、资本市场的过度投机，，研究非理性泡沫形成的环境；从普通住宅市场投资者决策心理角度出发，分析其认知偏差和行为偏差对非理性泡沫形成的推动作用，从而揭示普通住宅泡沫形成的原因。基于以上分析，本文第三部分考虑投资者决策心理和非理性行为，融合期望理论的价值函数及噪声交易者模型，构建普通住宅非理性泡沫模型，以确定普通住宅价格中非理性泡沫成分。然后，以西安市为例对普通住宅市场非理性泡沫进行了研究，研究在对普通住宅市场分析的基础上，对市场进行单位根检验以确定其市场有效性，通过确定普通住宅市场非理性泡沫模型中的参数对西安市普通住宅市场非理性泡沫进行了评价。通过研究发现，西安市普通住宅市场非理性泡沫长期处于波动状态，且非理性泡沫程度相对较低；市场中主要以理性投资者为主，噪声交易者所占比例较少；市场中噪声交易者所占的比例、认知偏差及行为偏差、噪音信息等对非理性泡沫的影响较大。最后本文依据论文研究结果，对政府制定调控政策提出了相应的建议。
[Abstract]:Real estate industry is the main driving force of China's economic development, and its health will directly affect the economic development of our country. However, with the acceleration of urbanization, the scarcity of urban land has become increasingly prominent, the real estate prices in major cities in China have risen sharply, and a large number of speculators have appeared in the real estate market aiming at obtaining excess benefits. Leading to an economic bubble may appear. Behavioral finance, based on investors' psychology, studies investors' irrational investment behavior, which provides theoretical support for bubble research. Based on the theory of behavioral finance and the main component of real estate, the common housing market, this paper studies the irrational bubble. This paper first defines the irrational foam and expounds the theoretical basis of the irrational foam. On this basis, the characteristics of common housing demand and land supply are analyzed from the inside of ordinary housing market, and the origin of irrational bubble is determined, and the repetition and frequency of government regulation and control policies are analyzed from the outside of ordinary housing market. The paper studies the environment of the formation of irrational bubble from the excessive speculation in the capital market, analyzes its cognitive and behavioral bias on the formation of the irrational bubble from the perspective of the decision psychology of ordinary investors in the housing market, and analyzes the influence of the cognitive and behavioral deviations on the formation of the irrational bubble. Thus reveals the common housing bubble formation reason. Based on the above analysis, the third part of this paper, considering investors' decision-making psychology and irrational behavior, combines the value function of expectation theory and the noise trader model to construct the common housing irrational bubble model. To determine the price of ordinary housing non-rational bubble elements. Then, taking Xi'an as an example, this paper studies the irrational bubble in the ordinary housing market. On the basis of the analysis of the ordinary housing market, the unit root test of the market is carried out to determine the effectiveness of the market. This paper evaluates the irrational bubble of ordinary housing market in Xi'an by determining the parameters of the model. It is found that the irrational bubble in Xi'an residential market is fluctuating for a long time, and the degree of irrational bubble is relatively low, the market is dominated by rational investors, and the proportion of noise traders is relatively small. In the market, the proportion of noise traders, cognitive bias and behavioral bias, noise information have a great impact on the irrational bubble. Finally, according to the research results, the paper puts forward the corresponding suggestions to the government to formulate regulatory policies.
【学位授予单位】：西安建筑科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F299.23

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