非对称的托宾q效应——基于有限理性行为的解释

Asymmetrical Tobin's Q Effect——An Interpretation Based on Bounded Rational Behaviors

通过构造托宾q值正向和负向冲击的时间序列,然后再利用VAR模型对托宾q效应进行实证分析。结果表明,股市托宾q效应是非对称的。与q值负向冲击相比较,正向冲击对于投资的短期影响较强。而造成这种现象的主要原因是投资者的有限理性行为。

By creating the time series of positive and negative impulses ot Tobin＇s q, an empirical study is made by using VAR Model to analyze the effect of Tobin＇ s q. The result shows that the Tobin＇ s q effect of the stock market is asymmetrical. Positive impulse of Tobin＇ s q has stronger impacts on investment than negative impulse in a short period. The phenomenon results from bounded rational behaviors of investors.