CAJ | 학술논문

放宽 DSSW 模型中的风险资产股利为常数和噪音交易者心目中的股利变化是一个纯粹正态分布随机过程的假设条件,分别构建了只有理性投资者和存在噪音交易者两种情况下的股票市场风险资产定价模型,并在对所建立的两类模型及其经济意义进行比较分析的基础上研究了噪音交易者对股票市场风险资产定价及其波动性的影响机理,对中国股票市场2005年6月-2008年8月期间发生的"异常现象"进行了合理解释.研究结果表明:噪音交易者能对股票价格及其波动性产生系统性影响,中国股票市场发生的"异常现象"在很大程度上是由噪音交易者造成的.从研究假设、研究结论以及实践应用等方面对 DSSW 模型进行了合理的拓展和深化.
방관 DSSW 모형중적풍험자산고리위상수화조음교역자심목중적고리변화시일개순수정태분포수궤과정적가설조건,분별구건료지유이성투자자화존재조음교역자량충정황하적고표시장풍험자산정개모형,병재대소건립적량류모형급기경제의의진행비교분석적기출상연구료조음교역자대고표시장풍험자산정개급기파동성적영향궤리,대중국고표시장2005년6월-2008년8월기간발생적"이상현상"진행료합리해석.연구결과표명:조음교역자능대고표개격급기파동성산생계통성영향,중국고표시장발생적"이상현상"재흔대정도상시유조음교역자조성적.종연구가설、연구결론이급실천응용등방면대 DSSW 모형진행료합리적탁전화심화.
Loosening the assumption conditions that dividends of the risk asset is a constant and the dividend change in the noise traders'mind is just a pure normal distribution random process in the DSSW model,this paper sets up the stock market risk asset pricing models under the circumstances that there is only the rational investor and that there exist noise traders in addition to the rational investors respectively,and discusses the effect mechanisms of noise traders on the the stock market risk asset price and its volatility,and reasonablly explains "anomaly phenomena" of Chinese stock market during the period from June of 2005 to August of 2008 on the basis of comparatively analysing the above-mentioned two models and their economic meanings.The results show,that noise traders Can.systematically affect the stock price and its volatility,and"anomaly phenomena" of Chinese stock market may largely be caused by noise traders.This paper expands and deepens the DSSW model from three aspects of research hypothesis,results and practical applications.