基金管理人行为对股票市场的作用机制研究

Study on Effect Mechanism of Money Manager's Behavior on Stock Market

基金管理人作为股票市场上的主要投资者,其投资心理和行为将会对股票市场产生深刻的影响。本文建立数学模型研究基金管理人过去的成败经历对其现在的投资心理和行为的影响以及这种投资心理和行为对股票市场交易量、价格波动性和基金管理人自身投资业绩的影响机制。研究结果表明,基金管理人过去经常失败的经历将使其变得过度悲观,过去经常成功的经历将使其变得过度自信;股票市场的均衡预期股票交易量和均衡价格波动性总是与基金管理人过去的成功经历正相关;过去过分成功或过分失败的基金管理人都不会在未来取得最好的实际预期业绩。

As the dominant investor in the stock market, the money manager＇s investment psychology and behavior would greatly affect on the stock market. This paper researches the effect mechanism of the money man ager＇s past success and failure experience on his present investment psychology and behavior, and this kind of in- vestment psychology and behavior on trading volume of the stock market, the stock price volatility and the money manger＇s investment performance by setting up an appropriate mathematical model. The results show that the money manager＇s usual failure experience would make him be over-pessimistic and his usual success experience would make him be overconfident. The expected equilibrium trading volume of the stock market and the volatility of expected equilibrium price would always be positively related to the money manager＇s past success record, and the money manager who was over- successful or over- failed in the past would not obtain the best real expected performance in the future.