摘要
从行为金融的角度,结合有限套利与非理性个体对股票市场的套利者收益、资产价格特征进行考察。通过引入趋势交易者,发展了有限套利模型,并得到了套利者期望收益和市场波动性的解析解。然后对较宽范围内参数的可能取值进行了模拟。结果发现,套利收益同套利者能力和个体交易者的非理性程度有明显的非线性关系,在一定的条件下,套利者不但无法稳定市场,反而会促进资产价格的波动。
From the perspective of behavioral finance, this paper combines the limit arbitrage and irrational trader and makes analysis on pricing efficiency of asset. By introducing the tendency trader, we develop the model of Shleifer and Vishny （1997）. With the model results, we further analyze them by simulation and find that： 1）. There are nonlinear relations between the expected profit of arbitrageur and arbitrage ability or irrational degree of investor; 2）. Under some conditions, the arbitrageur not only fails to stabilize the market, but increases the volatility of asset market as well.
出处
《管理学报》
2007年第1期67-75,共9页
Chinese Journal of Management
基金
广东省自然科学基金资助项目(0400875)
关键词
有限套利
非理性交易者
期望收益
波动
limit arbitrage
irrational trader
expected profit
volatility
