异质信念投资者的交互行为对资产价格的影响

Impact of investor interaction with heterogeneous beliefs on asset prices

基于Brock和Hommes(1998)设计的异质信念理论框架,提出了异质信念下的投资者局部交互模型,同时构建了三种不同拓扑结构的社交网络,通过计算仿真实验发现:在由异质信念投资者构成的市场中,与无社交网络情景相比,社交网络的存在均会加重错误定价的程度,使其更加偏离基础价值,导致更为剧烈的价格波动,增加了资产价格的风险;而且投资者的决策越依赖社交网络,资产价格波动越剧烈,越偏离资产的基础价值,使得市场定价效率越低.最后,通过探讨社交网络影响资产价格的内在逻辑机制发现,投资者在社交网络中的交互行为在一定程度上降低了投资者信念异质化的程度,进一步使得投资者意见在局部范围内更加趋于一致,减少了投资者决策的多样性,从而加剧了资产价格的偏离.

Based on the heterogeneous belief theory framework designed by Brock and Hommes(1998),the local interaction model under investors’heterogeneous beliefs was proposed.Through introducing three network topologies,the simulation results show that social interactions aggravate the mispricing of asset compared without social network in a market made up of heterogeneous beliefs,which indicates that asset prices deviate further from the fundamental value under the impact of social network,leading to high volatility of prices and increasing the risk of asset price.Moreover,greater price volatility,severer asset prices fluctuation and lower market efficiency arise with deepen dependence of investors’decision on social network.Finally,by investigating the inherent logic mechanism of social network,this paper exhibits evidence proving that investors’interactions in social networks effectively reduce investors’disagreements and further make investors’opinions more consistent on a local scale,which damages the diversity of investment decisions and exacerbates asset price deviations.