交易者认知能力与金融资产价格泡沫:一个实验研究

Cognitive Ability of Traders and Financial Bubbles: An Experimental Study

本文基于学习预测实验并辅助认知能力测试,在实验室中检验了市场参与者认知能力高低对于资产价格收敛到理性预期均衡程度与速度的影响。实验结果表明:认知能力较高的个体能够更快进行组内协调,所在组的资产市场价格泡沫相对较小。认知能力较高的参与人更倾向采用有利于市场稳定的适应性预期策略,而认知能力较低的参与人更倾向采用加剧市场波动的趋势跟踪策略。此外,本文发现,无论是由认知能力较高的参与人还是由认知能力较低的参与人组成的市场,市场价格都无法收敛到理性预期均衡。这表明市场参与人,即使是"聪明的"参与人,其预期行为相较于理性预期均衡还有很大的距离。

In a learning to forecast experiments （LtFEs）, we investigate the impact of cognitive abili- ty of market participants on the degree and speed of the convergence of market price to the rational expectations equilibrium （REE）. Our findings suggest that participants with higher cognitive ability （ measured by the CRT test） coordinate faster in expectation formation, which leads to smaller price bubbles in their markets. Participants with lower cognitive ability, however, tend to extrapolate price trend, which destabilizes the market. Furthermore, no perfect convergence to REE is observed for all subjects, regardless of their cognitive ability levels. Even the expectation formation of participants with high cognitive ability deviates from the theoretical prediction of rational expectation hypothesis （REH） substantially.