信息公开程度、预期精度与金融市场动态机理

Degree of public information,expectation precision and dynamic mechanism of financial markets

在只有一种金融资产这一简化环境中构建了包含三类参与者的多期市场交易模型.根据模型分析了知情交易者比重、预期精度、信息的性质(利好或利差)、市场情绪、交易者的初始资产量、卖空限制以及交易者的风险态度等变量对金融市场动态机理的影响.研究发现市场知情交易者比重的变化与交易者预期精度的变化分别是引起市场价格反转现象的一种主观与客观原因,且主观因素与客观因素对市场动态有着不同的影响机理.另外,基于所构建的模型还对市场价格的震荡波动、均值回复、价格泡沫、价格反应不足与反应过度等现象做了理论解释.

In an environment with only one type of financial asset,a multi-period market trading model is proposed,which contains three types of participants. This model explores the impacts of the informed trader proportion,expectation precision,nature of information（ good or bad）,market sentiment,trader initial asset,short-selling constraint and risk attitudes on financial market dynamics. It is found that the change in the proportion of the informed traders and that in the expectation precision are the subjective and objective reasons for market price reversal phenomenon,respectively and that these subjective and objective factors have different effects on the market dynamics. Above all,this paper also provides some theoretical explanations for the phenomena of fluctuation,mean reversion,bubbles of market price,price under reaction,over reactions,and so on.