【摘要】：本文考慮了市場中的交易者具有不同的交易策略和交易期限,構建了開放金融環(huán)境下異質(zhì)交易者的資產(chǎn)定價模型。通過引入?yún)^(qū)制轉換機制,上述模型改進為具有時變權重系數(shù)的向量誤差修正模型,時變權重的大小即代表了不同類型交易者的交易行為對資產(chǎn)價格影響的動態(tài)效應。以2001至2014年間美國和香港股市作為典型的雙重市場為對象進行實證研究,結果表明美國股價主要由基礎交易者所驅(qū)動,香港股市主要由技術交易者所驅(qū)動,但在2008年和2010年兩次金融危機期間,國際交易者都成為兩個市場價格運動的主要影響因素,這在一定程度上表明了金融危機傳染現(xiàn)象的存在。
[Abstract]:Taking into account the different trading strategies and trading periods of traders in the market, this paper constructs an asset pricing model for heterogeneous traders in an open financial environment. By introducing the conversion mechanism of district system, the above model is improved to a vector error correction model with time-varying weight coefficient. The magnitude of time-varying weight represents the dynamic effect of trading behavior of different types of traders on asset prices. Taking the US and Hong Kong stock markets as typical dual markets between 2001 and 2014, the results show that the stock prices in the United States are mainly driven by basic traders, while the Hong Kong stock market is driven mainly by technology traders. However, during the two financial crises in 2008 and 2010, international traders became the main influencing factors of the two market price movements, which to some extent indicated the existence of financial crisis contagion.
【作者單位】： 中央財經(jīng)大學管理科學與工程學院;東北大學秦皇島分校經(jīng)濟學院;
【基金】：中央高�；究蒲袠I(yè)務費專項資金(N162304015)
【分類號】：F831.51

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