论文部分内容阅读
为了比较不同市场中信息因素和行为因素对市场波动影响的差异,利用收益率分布主观模型,以投资者对小概率的反应偏差来衡量投资者有限理性程度,以资产内在价值波动代表资产信息,建立波动结构实证模型。利用1991年~2004年上证综指、香港恒生指数和道琼斯指数对上海、香港和纽约市场的波动结构进行比较分析,结果表明市场间的波动程度差异来自于行为因素差异,上海市场的市场波动和非理性程度在3个市场中相对最大,但与香港市场无显著差异,且上海市场呈现独有的新兴市场发展特征,行为因素对市场波动的影响与市场发达程度负相关,市场的过度波动主要源于行为因素。
In order to compare the differences of market factors caused by information and behavioral factors in different markets, we use the subjective model of return distribution to measure the limited rationality of investors based on investors’ bias in response to small probabilities, represent the asset information with fluctuations in intrinsic value of assets, Establish an empirical model of the volatility structure. Using the Shanghai Composite Index, Hong Kong Hang Seng Index and Dow Jones Index to analyze the volatility structure of Shanghai, Hong Kong and New York markets from 1991 to 2004, the results show that the fluctuation of market volatility comes from the differences of behavioral factors, the market fluctuation of Shanghai market and The degree of irrationality is the largest among the three markets but not significantly different from that of Hong Kong market. Moreover, the Shanghai market has unique characteristics of emerging markets. The influence of behavioral factors on the market volatility is negatively correlated with the degree of market development. The excessive volatility in the market is mainly From behavior factors.