异质信念对股价波动的非对称性影响研究

The Research on Asymmetrical Influence of Heterogeneous Beliefs on the Fluctuations of Stock Price

本文利用上市公司的相关数据,实证研究了异质信念对我国股票市场股价波动的影响,探讨了在不同的市场行情和企业性质下异质信念对股价波动的非对称性影响,并对融资融券推出前后异质信念对股价波动的非对称性影响进行了研究。研究结果表明:(1)股票投资者异质信念的差异程度越大,股价偏离其股票的内在价值就越大,进而导致股价的波动程度更剧烈;(2)异质信念对股价波动的影响呈非对称性,在熊市行情下异质信念对股价波动的影响要高于牛市,在国有企业背景下异质信念对股价的波动程度大于非国有企业;(3)融资融券推出后在一定程度上可以减缓异质信念对股价波动的影响。

This paper empirically studies the effect of heterogeneous beliefs on the stock price volatility in Ghina's stock market, using relevant data of listed companies, explores the asymmetric impact of heterogeneous beliefs on stock price volatility under different market conditions and corporate nature, and studies the asymmetric impact of heterogeneous beliefs on stock price volatility before and after the introduction of margin financing and securities lending. The research shows that:(1) The greater the degree of heterogeneity of stock investor beliefs, the greater the stock price deviates from the intrinsic value, resulting in even more volatile stock prices;(2) It is asymmetrical that heterogeneous beliefs affect stock price volatility, in the bear markets, heterogeneous beliefs have a greater effect on stock price volatility than bull markets. Under the background of the state-owned enterprises, heterogeneous beliefs is more volatile than the non-state-owned enterprises;(3) It can mitigate the impact of heterogeneous beliefs on stock price volatility after introduction of margin financing and securities lending.