投资者进出对股票市场波动性影响研究——基于投资者异质信念定价模型

Study on the Impact of Investor Access on Stock Market Volatility——Based on Pricing Model of Heterogeneous Investors

本文假设股票市场上存在基础价值投资者、趋势投资者和噪声交易者三种类型投资者,以投资者异质信念定价理论的BH模型为基础,引入投资者的进出机制,并构建了投资者进出机制的BH模型,研究股票市场波动的系统性因素对股票市场波动性的影响。研究结果表明,不同类型投资者之间转换强度越大,股票市场波动性越大;投资者数目的变化和投资者对投资策略过去表现的依赖程度并不是导致股票市场波动的显著性因素。

Assuming that there are three kinds of investors in the market, such as fundamentalists, chartists, noise traders, based on the heterogeneous BH model, this paper constructs a BH model considering the changes of investors number. We study the influences of systematic coefficients on stock price volatility by simulating stock prices volatility with respect to the coefficients. The simulation results show that the greater intensity of conversion exists between different types of investors, the greater the volatility expresses in the stock market;the dependence of investors on the past performance of investment strategy is not a significant factor for stock market volatility;the changes of investors number are not the significant coefficient that lead stock price volatility.