交易者认知能力与金融资产价格泡沫:一个实验研究

发布时间：2019-01-16 02:38

【摘要】：本文基于学习预测实验并辅助认知能力测试,在实验室中检验了市场参与者认知能力高低对于资产价格收敛到理性预期均衡程度与速度的影响。实验结果表明:认知能力较高的个体能够更快进行组内协调,所在组的资产市场价格泡沫相对较小。认知能力较高的参与人更倾向采用有利于市场稳定的适应性预期策略,而认知能力较低的参与人更倾向采用加剧市场波动的趋势跟踪策略。此外,本文发现,无论是由认知能力较高的参与人还是由认知能力较低的参与人组成的市场,市场价格都无法收敛到理性预期均衡。这表明市场参与人,即使是"聪明的"参与人,其预期行为相较于理性预期均衡还有很大的距离。
[Abstract]:Based on the experiment of learning prediction and the test of cognitive ability, this paper tests the influence of market participants' cognitive ability on the degree and speed of asset price converging to rational expectation equilibrium in laboratory. The experimental results show that the individuals with higher cognitive ability can carry out intra-group coordination faster, and the asset market price bubble of the group is relatively small. The participants with higher cognitive ability tend to adopt adaptive expectation strategies which are favorable to market stability, while those with lower cognitive ability tend to adopt trend tracking strategies that aggravate market volatility. In addition, it is found that the market price can not converge to rational expectation equilibrium, whether it is made up of the participants with higher cognitive ability or the participants with lower cognitive ability. This shows that market participants, even the "smart" participants, have a long way to go in their expected behavior compared with rational expected equilibrium.
【作者单位】：东北财经大学实验经济学实验室;东北财经大学金融学院;新加坡南洋理工大学社会科学学院经济系;
【基金】：辽宁省高等学校杰出青年学者成长计划(WJQ2014041) 东北财经大学学科建设支持计划“个体行为与群体决策跨学科实验”(XKK-201403) 新加坡教育部Tier 1科研基金(M4011676) 南洋理工大学科研启动基金(M4081740)对本研究的资助
【分类号】：F830

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