基于信息扩散模型的股市周期波动分析——国际经验与国内应用

An information diffusion-based model of stock market cycle analysis:International experience and domestic application

本文建立了一个基于信息扩散的资产定价模型,刻画投资者在事前乐观预期落空后对真实基本面的渐进认知和预期修正过程,以及由此引起的资产价格走势特征.模型的解表明,调整期的资产价格会在＂时间-空间-波动＂三个维度上呈现出相互替代关系.本文利用国际股市在近几次国际金融危机期间的数据,验证了该替代关系的存在,并分析了中国股市历次周期波动的特点.从＂时间-空间-波动＂的维度看,我国股市2015年的＂异常波动＂依然属于市场自身周期规律的重现.本文证明了波动作为信息的载体能够嫁接起金融市场调整期的时间、空间特征,在实践上为给监管层实现合意的调控目标和以及投资者优化中长期投资策略提供了新的分析工具和视角.

This paper builds an information diffusion framework, in which investors gradually modify their ex ante over optimistic expectation and causes the asset price trajectory to exhibit a trade-off relationship between duration, amplitude and volatility. Empirical analysis using data from international stock markets confirms the existence of this trade-off relationship and shows its ability to explain the shape of China＇s bear stock markets. It is revealed that the sudden stock market crash in 2015 is a recurrence of its own periodicity. Our analysis reveals that volatility, as a conveyor of information, relates duration and amplitude of a bear market, and proposes a new theoretical perspective and analytical tool for government control over market fluctuation and long term investment strategy.