基于异质交易者定价模型的资产价格泡沫内生机理研究

发布时间：2018-03-18 14:52

本文选题：有效市场假说　切入点：理性预期　出处：《运筹与管理》2017年02期 　论文类型：期刊论文

【摘要】：资产价格泡沫等市场异常现象使得有效市场假说理论受到质疑,研究者们更多的是从行为金融学的角度对这些现象进行解释,认为是由市场投资者的非理性因素所造成的。本文考虑了市场中投资者决策的异质性,构建了含有长期基础投资者和短期技术投资者的异质交易模型,以说明在投资者均具有理性预期的条件下,有效市场假说理论同样可以解释泡沫的产生。具体而言,技术投资者的交易行为使价格产生波动,基础投资者的存在则对波动起到放大作用,并会进一步导致泡沫的出现,随着基础投资者所占的比例增大,泡沫膨胀的速度加快,由此导致市场的波动越剧烈。研究结果为市场监管者提供了有益的启示:与其设置壁垒限制技术投资者的加入及交易活动,不如让越来越多的技术投资者加入到市场中来,这样更有益于市场的稳定。
[Abstract]:The abnormal phenomenon of asset price bubbles and other market makes the effective market hypothesis theory is challenged, researchers are more to explain these phenomena from the perspective of behavioral finance, that is caused by the irrational factors of market investors. Considering the heterogeneity of investment decision-making in the market, establishment of a long-term basis for investors technology and short-term investor heterogeneous transaction model, to explain in the investors have rational expectations under the condition of efficient market hypothesis can also explain the generation of foam. Specifically, trading technology investors make price fluctuation based investors are to amplify the effect of fluctuations, and will further lead to the emergence of the bubble as the basis, the proportion of investors increases, the bubble expansion speed, resulting in fierce market fluctuations Shaoxing. The results for the city Field regulators provide useful inspiration: instead of setting barriers to restrict technology investors' entry and trading activities, more and more technology investors will join in the market, which is more conducive to market stability.

【作者单位】：东北大学工商管理学院;
【基金】：国家自然科学基金(71503035,71401028) 东北大学基本科研业务费(162304015)
【分类号】：F830.91

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