【摘要】：伴隨2007年前后的美國次貸危機所引起的全球范圍內(nèi)的經(jīng)濟危機,“泡沫’(?)(Bubbles)一詞再次引起人們的高度關注。從1929年的美國股市崩潰,到20世紀80年代末的日本股市和地產(chǎn)泡沫的崩潰,再到美國2000年前后的互聯(lián)網(wǎng)絡泡沫的崩潰等等,每一次的股市泡沫崩潰無一不將當時的宏觀經(jīng)濟帶入停滯或是蕭條狀態(tài),擾亂金融市場和經(jīng)濟體系的正常運行。 泡沫理論自得到發(fā)展以來,可分為理性泡沫和非理性泡沫兩個方向,其中理性泡沫理論研究以理性預期和有效市場假說的假設作為前提,在這一階段占據(jù)主導地位的是理性泡沫模型。伴隨著行為金融學的不斷發(fā)展,越來越多的經(jīng)濟學家放棄了關于“理性經(jīng)濟人的假設,理性泡沫理論也因此受到了前所未有的挑戰(zhàn)。行為金融學的興起是金融經(jīng)濟學領域的革命性發(fā)展,從市場主體的心理、行為角度出發(fā),為解釋市場上出現(xiàn)的諸如泡沫、過度波動等“市場異象”開辟了新的思路。非理性泡沫理論在此基礎上得到了長足發(fā)展,非理性泡沫理論認為,資產(chǎn)價格泡沫是市場主體行為的結果,而市場主體行為本身是有限理性的。 分析作為市場主體行為之一的——投資者的風險偏好程度對非理性泡沫產(chǎn)生的影響,通過計算實驗金融的方法,借助SFI人工股票市場的仿真模擬平臺,對agent風險偏好系數(shù)進行設定并運行實驗。實驗結果顯示：隨著投資者的風險偏好程度的不斷加強,股票市場上的非理性泡沫的程度大體上也呈不斷膨脹的趨勢。當投資者的風險偏好程度較小時,市場上的非理性泡沫的上升幅度也比較緩慢;在投資者風險偏好較低的市場中,非理性泡沫的波動大體上維持在一個較低水平。說明在投資者為高風險偏好的市場中,不但市場泡沫會比風險偏好較低的市場大,而且泡沫的波動程度也要比風險偏好低的市場強。
[Abstract]:With the global economic crisis caused by the subprime mortgage crisis around 2007, the word "bubble" (?) (Bubbles) has once again aroused great concern. From the crash of the US stock market in 1929 to the collapse of the Japanese stock market and real estate bubble in the late 1980s, to the collapse of the Internet bubble in the United States around 2000, and so on. Every stock market bubble crash brought the then macroeconomic into stagnation or depression, disrupting the normal functioning of financial markets and the economy. Since the development of foam theory, it can be divided into two directions: rational bubble and irrational bubble. The theoretical research of rational bubble is based on the hypothesis of rational expectation and efficient market hypothesis. It is the rational bubble model that dominates at this stage. With the development of behavioral finance, more and more economists abandon the hypothesis of "rational economic man", and the theory of rational bubble is challenged. The rise of behavioral finance is a revolutionary development in the field of financial economics. From the psychological and behavioral point of view of the market subject, it opens up a new way of thinking for explaining the "market anomalies" such as bubbles and excessive fluctuations in the market. On this basis, the theory of irrational bubble has made great progress. The theory of irrational bubble holds that asset price bubble is the result of the behavior of the market subject, and the behavior of the market subject itself is limited rationality. This paper analyzes the influence of investor's risk preference degree on irrational bubble, which is one of the behaviors of market main body. Through the method of calculating experimental finance, the simulation platform of SFI artificial stock market is used. The risk preference coefficient of agent is set up and the experiment is carried out. The experimental results show that with the increasing risk preference of investors, the degree of irrational bubbles in the stock market is generally expanding. When investors' risk preference is small, the rise of irrational bubbles in the market is also slower; in the market with low investor risk preference, the volatility of irrational bubbles is generally maintained at a lower level. It shows that in the market with high risk preference, not only the bubble will be bigger than the market with lower risk preference, but also the fluctuation degree of the bubble will be stronger than that of the market with lower risk preference.
【學位授予單位】：天津財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F831.51;F224

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