摘要
采用非线性适应性演化系统的建模思路,引入信息冲击变量,构建了考虑卖空机制的股票价格动力学模型,通过数值模拟的方法,对在市场允许卖空与禁止卖空条件下,股票价格对利好和利空信息冲击的反应进行了对比分析。结果显示:在禁止卖空条件下,股票价格对相同程度的利好与利空信息冲击的反应存在非对称性,即对利好信息冲击存在过度反应,对利空信息冲击不会出现过度反应;但是在市场允许卖空条件下,股票价格对相同程度的利好与利空信息的反应基本是对称的。研究还发现在市场允许卖空受利空信息冲击下,卖空机制并不会加剧股票价格的下滑,形成大的负资产泡沫。
Using nonlinear adaptive evolution system modeling approach and introducing information shocking variable,this paper builds a stock price dynamics model considering short selling.Through numerical simulation＇s method,under the market conditions of prohibiting or allowing short selling,we make a comparative analysis of stock price＇s reaction to the good and bad information.The main results show when short selling is prohibited,the stock price＇s reaction to the same level of good and bad information is asymmetric,i.e.,the price overreacts to good information,but not to bad information.When short selling is allowed,the stock price＇s reaction to the same level of good and bad information is symmetric.We also find that under the impact of bad information,the short selling will not intensify the price slide to form a big negative assets bubble.
出处
《系统工程》
CSSCI
CSCD
北大核心
2011年第12期26-34,共9页
Systems Engineering
基金
国家社会科学基金青年项目(11CGL023)
国家自然科学基金创新群体项目(70921001)
国家自然科学基金面上项目(70872111)
关键词
卖空机制
信息冲击
股价
对称
Short Selling
Information Impact
Stock Price
Symmetric
