發(fā)布時(shí)間：2018-02-04 06:39

  本文關(guān)鍵詞： 異質(zhì)性投資者 資產(chǎn)定價(jià) EGARCH模型 價(jià)格波動　出處：《湘潭大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：現(xiàn)代金融學(xué)理論是以理性人假說和有效市場假說為基礎(chǔ)的。經(jīng)典的資本資產(chǎn)定價(jià)理論以其幾乎完美的假設(shè)和簡單優(yōu)美的表現(xiàn)形式在很長時(shí)間內(nèi)受到了經(jīng)濟(jì)學(xué)研究領(lǐng)域?qū)W者們的重視，并不斷完善成一個(gè)較為成熟的理論研究框架體系。然而，隨著各種金融異象相繼被發(fā)現(xiàn)，經(jīng)典資產(chǎn)定價(jià)理論似乎對于解釋股市中出現(xiàn)的各種“謎團(tuán)”顯得越來越薄弱了，，而其兩大理論基石也逐漸受到了人們的質(zhì)疑。同時(shí)，實(shí)證研究方面的一些證據(jù)也表明，經(jīng)典資產(chǎn)理論已不能解釋股市中出現(xiàn)的種種異象，與此同時(shí)，行為資產(chǎn)定價(jià)理論得到了很快的發(fā)展，行為金融學(xué)順勢而起。行為資產(chǎn)定價(jià)理論將投資者異質(zhì)性引入其中，成功地解釋了一些股市“謎團(tuán)”、金融異象。因此，將投資者異質(zhì)性引入資產(chǎn)定價(jià)的研究中是具有極大的理論及現(xiàn)實(shí)意義的。 本文對現(xiàn)有的國內(nèi)外關(guān)于投資者異質(zhì)性與股價(jià)及波動的已有研究成果及文獻(xiàn)資料分別從理論和實(shí)證兩個(gè)方向進(jìn)行了梳理，接著對投資者異質(zhì)性與資產(chǎn)定價(jià)理論的相關(guān)理論知識進(jìn)行了詳細(xì)的闡述，并以此為前提研究投資者異質(zhì)性對股票價(jià)格的影響作用機(jī)制。將投資者異質(zhì)信念作為一個(gè)變量引入資產(chǎn)定價(jià)模型之中，并從模型得出了投資者的異質(zhì)性與股票價(jià)格同向變化的結(jié)論。以相關(guān)理論及模型為基礎(chǔ)，本文采用好淡指數(shù)作為投資者異質(zhì)性的代理變量，并將其放入ARCH類模型中，我們利用滬深300指數(shù)進(jìn)行了相關(guān)的實(shí)證分析，研究投資者異質(zhì)性與股票市場價(jià)格波動兩者之間的互動關(guān)系，結(jié)果顯示與理論及模型相一致。
[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.

【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.59;F830.91

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 韋立堅(jiān);張維;張永杰;李根;;中國股票市場風(fēng)格輪動效應(yīng)及基于適應(yīng)市場假說的解釋[J];管理學(xué)報(bào);2012年07期

2 江振華;;我國股市泡沫的成因及治理——基于行為金融學(xué)的角度[J];經(jīng)濟(jì)論壇;2010年01期

3 熊和平;柳慶原;;異質(zhì)投資者與資產(chǎn)定價(jià)研究評析[J];經(jīng)濟(jì)評論;2008年01期

4 桂荷發(fā);蔡明超;吳衛(wèi)星;汪勇祥;;過度自信研究模型方法的一個(gè)評注[J];金融研究;2007年02期

5 龍張紅;楊招軍;秦國文;;基于中國股市的進(jìn)化金融理論與實(shí)證研究[J];金融研究;2007年10期

本文編號：1489608