异质交易行为主体下的金融传染机制及效应研究
发布时间：2018-09-06 14:26
【摘要】：本文考虑了市场中的交易者具有不同的交易策略和交易期限,构建了开放金融环境下异质交易者的资产定价模型。通过引入区制转换机制,上述模型改进为具有时变权重系数的向量误差修正模型,时变权重的大小即代表了不同类型交易者的交易行为对资产价格影响的动态效应。以2001至2014年间美国和香港股市作为典型的双重市场为对象进行实证研究,结果表明美国股价主要由基础交易者所驱动,香港股市主要由技术交易者所驱动,但在2008年和2010年两次金融危机期间,国际交易者都成为两个市场价格运动的主要影响因素,这在一定程度上表明了金融危机传染现象的存在。
[Abstract]:Taking into account the different trading strategies and trading periods of traders in the market, this paper constructs an asset pricing model for heterogeneous traders in an open financial environment. By introducing the conversion mechanism of district system, the above model is improved to a vector error correction model with time-varying weight coefficient. The magnitude of time-varying weight represents the dynamic effect of trading behavior of different types of traders on asset prices. Taking the US and Hong Kong stock markets as typical dual markets between 2001 and 2014, the results show that the stock prices in the United States are mainly driven by basic traders, while the Hong Kong stock market is driven mainly by technology traders. However, during the two financial crises in 2008 and 2010, international traders became the main influencing factors of the two market price movements, which to some extent indicated the existence of financial crisis contagion.
【作者单位】： 中央财经大学管理科学与工程学院;东北大学秦皇岛分校经济学院;
【基金】：中央高校基本科研业务费专项资金(N162304015)
【分类号】：F831.51
本文编号：2226630
[Abstract]:Taking into account the different trading strategies and trading periods of traders in the market, this paper constructs an asset pricing model for heterogeneous traders in an open financial environment. By introducing the conversion mechanism of district system, the above model is improved to a vector error correction model with time-varying weight coefficient. The magnitude of time-varying weight represents the dynamic effect of trading behavior of different types of traders on asset prices. Taking the US and Hong Kong stock markets as typical dual markets between 2001 and 2014, the results show that the stock prices in the United States are mainly driven by basic traders, while the Hong Kong stock market is driven mainly by technology traders. However, during the two financial crises in 2008 and 2010, international traders became the main influencing factors of the two market price movements, which to some extent indicated the existence of financial crisis contagion.
【作者单位】： 中央财经大学管理科学与工程学院;东北大学秦皇岛分校经济学院;
【基金】：中央高校基本科研业务费专项资金(N162304015)
【分类号】：F831.51
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，本文编号：2226630
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