大小非减持、理性恐慌与股市暴跌

Floating of Non-tradable Shares,Rational Panics and Stock Market Crashes

在不完全信息理性预期均衡的框架下,基于Barlevy和Versones(i2003)的框架,研究大小非解禁背景下不同投资者理性恐慌与股市暴跌之间关系,得出股市暴跌是由理性的无信息交易者所引起的。暴跌的程度取决于市场中无信息交易者的比例、简单被动投资的数量和大小非减持的数量,且大小非减持能够改变股票暴跌的程度,使得高资产价值股票可能的暴跌程度大于低资产价值股票可能的暴跌程度。

In the framework of incomplete information rational expectation, based on the model of Barlevy ＆ Versonesi （2003）, we examine the relationship between investor rational panic and stock market crash. We show that the magnitude of the crash depends on the proportion of uninformed investors, the amount of unsophisticated passive investing and the size of the floating of non-tradable shares in the market. In particular, the size of the floating of non-tradable shares increases the crash magnitude of stocks with higher value, and decreases that of stocks with lower value. As a result, the crash magnitude of stocks with higher value is larger than that of the stock with lower value.