投资者的奈特不确定性情绪与股市巨幅波动

Knightian uncertainty emotion of investors and the huge fluctuations of stock market

从局中人角度建立了奈特不确定性下的资产定价模型,并研究了投资者奈特不确定性情绪对金融资产定价的影响.由于投资者奈特不确定性情绪的影响,置身于股市的投资者会对市场预期极端值施加不合理的权重,市场预期极端值就会对资产定价产生显著的影响,这在一定程度上可解释"非理性繁荣"与"股市萧条"的内在机制.利用随机过程的模拟方法,对奈特不确定性下的资产定价进行了模拟,支持了结论.最后,从投资者面临奈特不确定性角度,对造成中国股市大幅度波动的机制进行了分析并提出了政策性建议.

From the perspective of the player, an asset pricing model is built based on the ambiguity and the impact of an investor＇s ambiguity emotion toward the financial asset pricing is studied. Because of the investor＇s ambiguity emotion, the investor in the stock market will assign an unreasonable weight to the extreme value of market expectation; this extreme value of market expectation will affect asset pricing significantly, which can explain the internal mechanism of ＂irrational exuberance＂ and ＂stock market bust＂ to some extent. By simulation of the stochastic process, the asset pricing under the ambiguity is simulated, and the conclusion is supported. Finally, from the perspective of ambiguity, the paper analyzes the mechanism of the huge fluctuation in China＇s stock market and proposes some policy suggestions.