异质信念、资源配置与市场效应

Heterogeneous Belief,Resource Allocation and Market Effect

由于投资者异质信念的客观存在,导致了股票价格系统性地偏离其基本价值,从而影响资源配置效率。基于中国股票市场的经验数据,综合文献涉及的投资者异质信念的代理变量,应用主成分分析法、构建了异质信念的复合测度指标。然后,考虑市场因素的影响,实证研究了异质信念是否影响、如何影响资源配置效率,并产生市场效应影响。研究从异质信念出发,通过建立异质信念与资源配置效率的影响关系模型,发现异质信念对配置效率具有"强化效应"和"弱化效应"的两面性作用,对证券市场调节资源配置,有效利用投资者异质信念的作用提供了依据。

The objective existence of investor heterogeneous belief leads to the systematic deviation of stock price from the basic value, which affects the allocation efficiency of resources. Based on data of Chinese stock market, and literature review on the proxy variables of investor heterogeneous belief, this paper constructs a heterogeneous belief composite index by using the principal component analysis method. Taking market influence into consideration, this paper studies whether and how investor heterogeneous belief affects resource allocation efficiency, and the market effects generated. Based on heterogeneous belief, this paper establishes a model of relationship between investor heterogeneous belief and resource allocation efficiency. It is found that heterogeneous belief is characteristic of both strengthening effect and weakening effect on allocation efficiency. The finding supports the positive role of investor heterogeneous belief in the adjustment mechanism and resource allocation of the securities market.