行为金融模型的有效性再评价

Reevaluating the Effectiveness of Behavioral Financial Model

首先,对中国股市中的异常换手率是否蕴含了投资者情绪特征,以及是否由投资者情绪触发了中国股市的价格动量螺旋式循环等现象进行了实证检验。其次,基于这些中国股市的实证检验结果,对BSV,DHS,HS,GH,HHW等行为金融模型的有效性进行了分析与评价;分析结果表明,这些行为金融模型都不能对实证结果进行有效解释,行为金融数理模型的研究框架仍是不完备的。最后,根据这些评价结论对行为金融学的未来发展进行了展望。

Firstly, the paper empirically tests the phenomena that whether abnormal turnover rate in China＇s stock market implies the emotion characteristics of investors, and whether investors＇ emotions triggered a spiral price momentum cycle. Secondly, based on these empirical results, the effectiveness of the behavioral financial models such as BSV, DHS, HS, GH, and HHW were an- alyzed and evaluated; The results show that all of the behavioral financial models cannot explain the empirical results effectively, and the framework of behavioral financial models is still incom- plete. Finally, future development of behavioral finance is discussed based on the evaluation resuits.