流动性成本、市场情绪与资产配置行为:不确定性条件下的分析模型

发布时间：2018-01-08 02:13

本文关键词：流动性成本、市场情绪与资产配置行为:不确定性条件下的分析模型　出处：《中央财经大学学报》2017年05期 　论文类型：期刊论文

【摘要】：在考虑不确定性、市场情绪波动和流动性成本因素后,笔者建立了资产配置选择和价格确定的分析模型。首先,模型分析了持有不同流动性资产的效用差异所影响的投资者决策选择问题;其次,把金融市场效率和市场状态波动作为外生变量,将流动性成本纳入决策行为模型;最后,分析了在不确定性和市场情绪变化情况下的投资者预期形成过程,探究在不确定条件下投资者如何进行财富分配、资产价格的形成机理和投机泡沫的形成及其破灭过程。这些分析为从微观视角下剖析收入和价格的不确定性、金融市场繁荣萧条的周期性交替等现象提供了一个分析框架,研究表明在考虑了资产流动性成本后,资产市场的不确定性会加大投机性泡沫产生的概率。在市场投机性泡沫出现时,相对于传统的货币政策,通过提高流动性成本的干预措施能更有效抑制非理性情绪的高涨,使资产价格回到均衡状态。
[Abstract]:After considering the factors of uncertainty, market sentiment fluctuation and liquidity cost, the author establishes an analytical model of asset allocation selection and price determination. The model analyzes the investor's decision choice problem which is influenced by the difference in the utility of holding different liquid assets. Secondly, taking financial market efficiency and market state fluctuation as exogenous variables, the liquidity cost is incorporated into the decision-making behavior model. Finally, the paper analyzes the formation process of investor expectation under the circumstances of uncertainty and changes of market sentiment, and probes into how investors carry out wealth distribution under uncertain conditions. The formation mechanism of asset price and the formation of speculative bubble and its bursting process. These analyses are to analyze the uncertainty of income and price from a micro perspective. The cyclical alternation of the boom and bust of financial markets provides an analytical framework, and studies show that the cost of asset liquidity is taken into account. Uncertainty in asset markets increases the probability of speculative bubbles. When speculative bubbles occur in markets, they are relative to traditional monetary policy. The intervention measures to increase the cost of liquidity can effectively restrain the upsurge of irrational sentiment and return the asset price to equilibrium.
【作者单位】：陕西师范大学国际商学院;陕西师范大学商学院;
【基金】：教育部人文社科基金项目“股票流动性对投资者情绪波动的响应机制研究”(项目编号:16YJA790061) 陕西省自然科学基础研究项目“投资者情绪演化及对市场流动性影响研究”(项目编号:2015JM7367)
【分类号】：F830.9
【正文快照】： 一、引言投资者情绪会影响资产价格和收益率波动,现有大量研究已经证明了这一点,但投资者情绪与流动性的关系如何?流动性一般被定义为“交易立即执行的可能性”,它不仅是反映股票市场运行质量的核心要素之一,还会对上市公司治理和投资者决策产生重大影响。如果股票流动性丧

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