投资者异质性与股票价格波动

发布时间：2018-02-04 06:39

本文关键词： 异质性投资者资产定价 EGARCH模型价格波动　出处：《湘潭大学》2013年硕士论文　论文类型：学位论文

【摘要】：现代金融学理论是以理性人假说和有效市场假说为基础的。经典的资本资产定价理论以其几乎完美的假设和简单优美的表现形式在很长时间内受到了经济学研究领域学者们的重视，并不断完善成一个较为成熟的理论研究框架体系。然而，随着各种金融异象相继被发现，经典资产定价理论似乎对于解释股市中出现的各种“谜团”显得越来越薄弱了，，而其两大理论基石也逐渐受到了人们的质疑。同时，实证研究方面的一些证据也表明，经典资产理论已不能解释股市中出现的种种异象，与此同时，行为资产定价理论得到了很快的发展，行为金融学顺势而起。行为资产定价理论将投资者异质性引入其中，成功地解释了一些股市“谜团”、金融异象。因此，将投资者异质性引入资产定价的研究中是具有极大的理论及现实意义的。本文对现有的国内外关于投资者异质性与股价及波动的已有研究成果及文献资料分别从理论和实证两个方向进行了梳理，接着对投资者异质性与资产定价理论的相关理论知识进行了详细的阐述，并以此为前提研究投资者异质性对股票价格的影响作用机制。将投资者异质信念作为一个变量引入资产定价模型之中，并从模型得出了投资者的异质性与股票价格同向变化的结论。以相关理论及模型为基础，本文采用好淡指数作为投资者异质性的代理变量，并将其放入ARCH类模型中，我们利用沪深300指数进行了相关的实证分析，研究投资者异质性与股票市场价格波动两者之间的互动关系，结果显示与理论及模型相一致。
[Abstract]:Modern financial theory is based on rational person hypothesis and efficient market hypothesis as the basis. The classical capital asset pricing theory with its almost perfect assumptions and simple beautiful forms by scholars in the field of economics research attention for a long time, and continue to improve as a more mature theoretical framework. However, with a variety of financial anomalies have been found, the classical asset pricing theory seems to be all the explanation in the stock market "becomes more and more weak, and the two major theoretical foundation has been questioned. At the same time, some evidence of the empirical study also shows that the classical theory cannot explain various strange assets in the stock market, at the same time, the asset pricing theory has developed quickly, the behavioral finance homeopathy. Behavioral asset pricing theory of investment were different The introduction of qualitative, successfully explained some of the stock market, "mystery" financial vision. Therefore, is of great theoretical and practical significance of the study will introduce investors heterogeneity of asset pricing.
In this paper, the existing domestic and foreign investors about the heterogeneity and fluctuation of stock price and the existing research results and literature reviews from two theoretical and empirical direction, then the relevant theoretical knowledge of investor heterogeneity and asset pricing theory in detail, and on the premise of the research on the influence of investor heterogeneity on stock price the mechanism of action. The investors' heterogeneous beliefs as a variable into the asset pricing model, and from the model that the heterogeneity of investors and the stock price changes in the same direction. The conclusion to the relevant theory and model as the foundation, this paper uses Haodan index as a proxy for investor heterogeneity, and put it into the ARCH class in the model, we use the Shanghai and Shenzhen 300 index of the relevant empirical analysis, to study the interaction relationship between heterogeneous investors and stock price volatility in both, The results were consistent with the theory and model.

【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59;F830.91

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