反馈交易、交易诱导与资产价格行为
阅读全文
下载全文 |
| Title | Feedback Trading, Trade Inducement and Asset Prices Behavior
|
| 作者 | 胡昌生 彭桢 池阳春 |
| Author | Changsheng Hu，Zhen Peng and Yangchun Chi |
| 作者单位 | 武汉大学经济与管理学院；国泰君安证券博士后科研流动站 |
| Organization | Wuhan University；Guotai Junan Securities Co.Ltd |
| 作者Email | hcs_xj@whu.edu.cn；nadp@qq.com；cyc49@126.com |
| 中文关键词 | 反馈交易 交易诱导 投资者情绪 波动性 动量与反转 |
| Key Words | Feedback Trading; Trading Inducement; Investors’ Sentiment; Volatility; Momentum and Reversal |
| 内容提要 | 金融市场归根到底是“人”的市场，金融市场的异象与人性紧密相关。情绪与反馈是金融市场中最为普遍的现象之一，既是人性的体现，也会对资产价格行为造成显著影响。本文构建了一个投机者对具有反馈交易特征的非理性投资者进行信息推断和交易诱导的情绪反馈模型，对投机者的需求函数、资产价格的稳定性和时间序列特征进行了讨论。本文的研究结果表明：一、投机者同时具有套利需求和投机需求；二、当市场中“噪音”不足时，投机者会主动地制造“噪音”，增加市场价格在某一时点上的不稳定性；三、投机者的交易行为还会增加资产价格在时间序列上的不稳定性，使得具有不同属性的市场在动量效应上表现出差异性。本文的研究为我们理解价格操纵行为和金融市场的复杂性与随机性提供了有益的参考。 |
| Abstract | Fundamentally, financial markets are “markets of human”, anomalies in financial markets are closely associated with human nature. “Sentiment and feedback” is one of the most common phenomena in financial markets, which not only embodies of human nature, but also have a significant impact on asset prices. This paper builds a model in which speculators infer and induce irrational investors characterized by feedback trading and discusses the demand function of speculators, the stability of asset prices, and the time-series character of asset prices. The study of this paper shows that: 1. Speculators have arbitrage demand and speculative demand simultaneously. 2. When there is not enough noise in the market, speculators will make noise and destabilize the market. 3. The trading behavior of speculators will also increase the instability of the time series of asset price, which produces the differences in momentum effects among different markets. The study of this paper gives a reference to our understanding of the price manipulation and the complexity and randomness of financial markets. |
| 文章编号 | WP1181 |
| 登载时间 | 2017-04-18 |
|