“T+1”交易制度下非线性证券价格动态模型及实证

Nonlinear dynamical model of security prices under "T+1" trading mechanism and its empirical test

考虑我国证券市场的"T+1"交易制度,构建了二维离散非线性证券价格动态模型,分析了模型中买卖者之间的异质转换速度、均值回归战略及传染效应对证券价格动态稳定性的影响,实证检验了我国证券市场的这3个主要因素.结果表明,买卖者之间的异质转化速度导致了均衡价格对于价值的偏离,并且随着传染效应的不断增大,价格呈现出复杂的运动轨迹而难以稳定.实证显示,中国投资者买卖观点转换概率只具有传染效应的价格发散机制而不具有均值回归的价格稳定机制,这是现阶段中国证券市场价格难以通过市场的自我调节达到价值的基本原因.

In this paper we present a two-dimensional discrete nonlinear dynamical model of security prices considering the＂T＋1＂trading mechanism of the China＇s stock market.First we analyze the evolution and stability of security prices when the transition probabilities between buyers and sellers can be influenced by the heterogeneous speed of opinion change,trading strategy of the mean reversion and the contagion effect.We then use empirical test to study these factors of the transition probabilities in the China＇s stock market.It is shown that the heterogeneous speed of opinion change between buyers and sellers cause the equilibrium price deviating from fundamental value,and security prices gradually exhibit a complex trajectory and are difficult to converge due to the increasing contagion effect.The empirical results reveal that the transition probabilities of the Chinese traders have only been affected by the contagion effect,so China＇s stock market is difficult at this stage to achieve the fundamental price through market self-regulation.