有限理性、动物精神及市场崩溃：对情绪波动与交易行为的实验研究

Li mited Rationality,Ani mal Spirit and Market Crash:Experi ments on Emotional Volatility and Trading Behavior

资本市场的经验表明,市场参与主体——投资者的情绪波动对资产交易与价格决定产生了不可忽视的影响。但是,现有文献尚缺乏对这一重要因素的研究。因此,本文的目的是通过心理学实验揭示交易者情绪对资产价格波动的作用机制,从而弥补这一空缺。具体而言,本文通过模拟实验市场排除其它因素的影响,考察资产价格在接近极点的状态时,交易主体情绪与交易行为之间的规律性关系。主要的实验结果为:(1)在资产价格攀升到最高点(顶部)时,情绪波动与资产价格主要由经济基本面的变化决定,而且不同情绪的变化会影响交易主体对资产的买卖行为;(2)在资产价格下跌至最低点(底部)时,投资者对资产的买卖行为则受到基本面信息变化的影响。本文的研究证明,在两种极端的市场环境下,交易行为的"非理性"与"过分理性"具有显著的不对称性。该研究为行为资产定价理论提供了直接的心理学依据。

Emotion is an important factor attributing to trading behavior and volatility of asset prices in capital market. Unfortunately, there is little study to address this issue. Our paper aims at filling the vacancy in literature through conducting psychological experiments to examine linkage between investor＇s emotion, trading behavior and asset pricing. The results show that when asset prices are close to the peak emotion volatility will significantly affect asset prices, while both are mainly determined by fundamental economic information. On the other hand, when the asset prices approach the bottom, trading behavior is more likely to be affected by fundamental economic information, not by emotional changes. Experiments reveal that there exists remarkable asymmetrical ＂irrationality＂ and ＂over-rationality＂ in the extreme market conditions. These findings add psychological evidence to behavioral asset pricing theory.