异质性信念与证券价格的互动效应研究——基于协整理论与Granger因果检验

Research on interactive effects of heterogeneous beliefs and stock prices——based on co-integration theory and Granger causality test

基于异质信念下证券定价模型的分析,用投资者的资金流向作为异质信念的代理指标进行实证研究,发现投资者的异质性信念是造成短期证券价格波动的重要原因,并且证券价格波动作为市场信息通过强化和更新投资者信念进行反馈。但是这种反馈机制对于不同的投资者的效果是不同的,普通散户反馈的效果明显,成熟的机构投资者基本不受影响。表现在证券市场上,创业板、中小盘和大盘证券价格波动会越来越小。

Based on the analysis of the asset pricing model under the heterogeneous beliefs and the choice of investors＇ capital flows as the proxy indicator for heterogeneous beliefs,the empirical research finds that the heterogeneity of investors＇ beliefs is an important cause of short-term fluctuations in stock price,and that stock price volatility can receive feedback through the strengthening and updating investors＇ beliefs.However,this kind of feedback mechanism has different effects on different investors： the feedback effect is obvious for general investors,and there is hardly any effect on sophisticated institutional investors.When embodied in the stock market,the volatility of stock price ranging from the Growth Enterprises Market,Small-cap stocks to Large-cap stocks is forever on the decrease.