金融市场中的情绪与反馈
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| Title | Sentiment and Feedback in Financial Markets
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| 作者 | 胡昌生 池阳春 |
| Author | Hu Changsheng and Chi Yangchun |
| 作者单位 | 武汉大学经济与管理学院 |
| Organization | Economics and Management School of Wuhan University; Economics and Management School of Wuhan University |
| 作者Email | hcs_xj@whu.edu.cn |
| 中文关键词 | 情绪冲击 反馈交易 反应不足和反应过度 资产价格异常波动性 |
| Key Words | Feedback Trading; Sentiment Shock; Under- and Overreaction; the Abnormal Volatility of Asset Prices |
| 内容提要 | 反应不足和反应过度是众多行为模型构建的基础。但是，现有模型都只是将反应不足和反应过度应用于解释截面异象。本文提出了一个具有普遍噪音的市场中具有反馈交易的投资者对资产价格异常波动影响的无限期模型，将反应不足和反应过度应用于总量上，并将对一阶矩的研究拓展到二阶矩，研究总量市场上资产价格的异常波动性，这是对为数不多的反馈交易模型做出的新贡献。我们对异常波动性进行了分解，从微观层面研究了异常波动性的引致因素。同时，我们的实证结果也支持了模型的推论，这表明我们所构建的双因素驱动的反馈系统很好地捕捉到了市场的波动特征。 |
| Abstract | Under- and overreaction is basis of many behavioral models. However, the existing applications of under- and overreaction are limited to cross-sectional anomalies. In this paper, we propose an infinite horizon model in which the market is characterized by general noiseand feedback traders to study the abnormal volatility of asset prices, and apply under- and overreaction to aggregate market. The first-moment study is extended to the second. This contributes to feedback trading models that have rarely been seen. We decompose the factors triggering abnormal volatility and study it from micro level. In the meanwhile, our empirical study supports the corollaries of our model, which shows that the dual-factor driving feedback system in this paper captures the characteristics of market fluctuation. |
| 文章编号 | WP302 |
| 登载时间 | 2012-07-09 |
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