CAJ | 학술논문

基于异质信念下证券定价模型的分析,用投资者的资金流向作为异质信念的代理指标进行实证研究,发现投资者的异质性信念是造成短期证券价格波动的重要原因,并且证券价格波动作为市场信息通过强化和更新投资者信念进行反馈。但是这种反馈机制对于不同的投资者的效果是不同的,普通散户反馈的效果明显,成熟的机构投资者基本不受影响。表现在证券市场上,创业板、中小盘和大盘证券价格波动会越来越小。
기우이질신념하증권정개모형적분석,용투자자적자금류향작위이질신념적대리지표진행실증연구,발현투자자적이질성신념시조성단기증권개격파동적중요원인,병차증권개격파동작위시장신식통과강화화경신투자자신념진행반궤。단시저충반궤궤제대우불동적투자자적효과시불동적,보통산호반궤적효과명현,성숙적궤구투자자기본불수영향。표현재증권시장상,창업판、중소반화대반증권개격파동회월래월소。
Based on the analysis of the asset pricing model under the heterogeneous beliefs and the choice of investors＇ capital flows as the proxy indicator for heterogeneous beliefs,the empirical research finds that the heterogeneity of investors＇ beliefs is an important cause of short-term fluctuations in stock price,and that stock price volatility can receive feedback through the strengthening and updating investors＇ beliefs.However,this kind of feedback mechanism has different effects on different investors： the feedback effect is obvious for general investors,and there is hardly any effect on sophisticated institutional investors.When embodied in the stock market,the volatility of stock price ranging from the Growth Enterprises Market,Small-cap stocks to Large-cap stocks is forever on the decrease.