状态依赖下的股市正反馈交易

Positive Feedback Trading in Equity Market depends on States

在Sentana和Wadhwani的正反馈模型基础上,本文利用前期涨跌进行状态划分,建立了正反馈交易的Markov状态依赖模型,考察市场中的正反馈交易行为与羊群效应。通过对中国股市的实证研究,可以发现,股价不服从随机游走,在前期股价连续上涨或下跌的情况下,转移概率具有惯性;中国股市存在显著的状态相依的正反馈行为,在前期股价连续上涨的情况下,易激发羊群行为。监管者应注重市场价格的持续变动,投资者可以采用正反馈交易策略。

Based on the positive feedback model of Sentana and Wadhwani, this paper establishes the Markov state dependent model with the positive feedback trading, and studies the positive feedback trading behavior and the herd effect in the market. According to the empirical study in the Chinese equity market, it can be found that the stock price doesn＇t obey the random walk after prior continuous rising. The transition probability has the inertia in the condition of the prior continuous rising or dropping. Moreover, the Chinese equity market has the significant positive feedback behavior depending on states. The herd behavior can be easily simulated when the price continuous rising. The regulator should pay attention to continuous change of the market price. In the mean time, the investor may take advantage of the positive feedback trading strategy.