【摘要】：市場中交易者的隨機交易行為與羊群行為和均值回歸行為相互影響,并改變資產(chǎn)價格波動狀態(tài),但已有研究主要分析羊群行為和均值回歸行為對資產(chǎn)價格波動的影響,對隨機交易行為的研究較少。基于行為金融理論,引入隨機交易者,擴展已有的非線性資產(chǎn)價格動態(tài)波動模型,研究隨機交易行為與羊群行為、均值回歸行為的交互作用及其對資產(chǎn)價格波動的影響,剖析資產(chǎn)價格的形成路徑,并構建模型,進而分析金融系統(tǒng)的均衡點特征和穩(wěn)定性,最終利用MATLAB對資產(chǎn)價格波動進行數(shù)值模擬檢驗。研究結果表明,市場中隨機交易行為的存在導致資產(chǎn)價格不能收斂到資產(chǎn)的基本價值,只能收斂于偏離資產(chǎn)基本價值的一個均衡價格;當金融系統(tǒng)處于局部穩(wěn)定狀態(tài)時,均值回歸交易程度與隨機交易程度成正比,羊群行為的穩(wěn)定范圍與隨機交易程度成正比、與均值回歸交易程度成反比,且資產(chǎn)價格會以螺旋阻尼振蕩走勢收斂于資產(chǎn)的均衡價格;金融系統(tǒng)不處于局部穩(wěn)定狀態(tài)的兩種狀況,一是資產(chǎn)價格處于圍繞資產(chǎn)均衡價格上下微幅周期震蕩的穩(wěn)定狀態(tài),二是資產(chǎn)價格波動幅度變大而處于的不穩(wěn)定狀態(tài);隨著市場中隨機交易程度的逐步增大,資產(chǎn)均衡價格偏離其基本價值的幅度越大。研究結果揭示了3種交易者行為與資產(chǎn)價格波動間的關系機理,完善了行為金融理論體系,并為政府部門穩(wěn)定金融市場提出可供參考的建議,即培養(yǎng)交易者的價值投資理念,減少投機行為,防止信息不對稱導致的羊群行為。
[Abstract]:The random trading behavior of traders in the market interacts with herding behavior and mean regression behavior, and changes the fluctuation state of asset price. However, some studies have mainly analyzed the influence of herd behavior and mean regression behavior on asset price volatility. There is little research on stochastic trading behavior. Based on behavioral finance theory, this paper introduces stochastic traders, extends the existing nonlinear asset price dynamic volatility model, studies the interaction between stochastic trading behavior and herd behavior, mean regression behavior and its influence on asset price volatility. The formation path of asset price is analyzed, and the model is constructed, and then the equilibrium point characteristics and stability of financial system are analyzed. Finally, MATLAB is used to test the fluctuation of asset price. The results show that the existence of stochastic trading behavior in the market results in the asset price not converging to the basic value of the asset, but only converging to the equilibrium price which deviates from the basic value of the asset, and when the financial system is in a locally stable state, The degree of average regression trading is proportional to the degree of random trading, the stable range of herd behavior is proportional to the degree of random trading, and the degree of average regression is inversely proportional to the degree of transaction. The asset price will converge to the equilibrium price of the asset with a spiral damping oscillation. The two conditions in which the financial system is not in a local stable state, one is that the asset price is in a stable state with a slight periodic oscillation around the asset equilibrium price. The other is the unstable state in which the fluctuation range of asset price becomes larger and the extent of asset equilibrium price deviating from its basic value increases gradually with the increase of random trading degree in the market. The results reveal the relationship mechanism between three kinds of traders' behavior and the fluctuation of asset price, perfect the behavioral financial theory system, and put forward some suggestions for the government to stabilize the financial market, that is, to train the traders' idea of value investment. Reduce speculative behavior and prevent herding behavior caused by asymmetric information.
【作者單位】： 西安理工大學經(jīng)濟與管理學院;
【基金】：國家自然科學基金(71373204) 陜西省教育廳哲學社會科學重點研究基地科學研究計劃資助項目(13JZ036) 陜西省普通高校重點學科專項資金建設資助項目(107-5X1302)~~
【分類號】：F830

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