传导系数与过度自信:亲缘关系视角下的DHS模型

Transmission Coefficient and Overconfidence:DHS Model in the View of Social Relations

从行为金融学的视角出发,以股票市场中的亲缘关系与信息传递为切入点,根据中国股民亲缘关系密切的特点,对传统DHS模型做出适当改进,并通过对波动率及期望收益水平的理论分析,论证亲缘关系对股票市场动量效应、反转效应影响。得出结论,随着亲缘关系的普及和信息透露程度的增加,证券价格将被抬升至一个更高的水平。

In this paper, the author analyzes DHS model from a behavioral finance perspective, with social relationship and information transmission as the starting points. Noticing the intimate so- cial relationship among Chinese stock traders, the paper makes an improvement on DHS model, so as to observe the impact of social relationship on the momentum effect and reversal effect of China＇s stock market via a theoretical analysis on the volatility and expectation of stock price. The paper points out that with an expansion of social relationship and an increase in market information, stock price will reach to a higher standard.