CAJ | 학술논문

DSSW模型描述了在理性交易者和非理性交易者数量相等的设定下,正反馈交易者的交易行为以及金融资产价格的波动情况.针对中国股市特征,建立了扩展的六状态DSSW模型,讨论了信息交易者利用信息优势,借助正反馈交易者的跟风行为,操纵股价大幅波动,获取超额收益的行为.利用该模型分析了“庄家”内幕交易的五个阶段及其特征,据此提出建议:完善信息披露机制,加强对特殊波动股票的监控,改变股票盈利模式,树立价值投资理念.
DSSW모형묘술료재이성교역자화비이성교역자수량상등적설정하,정반궤교역자적교역행위이급금융자산개격적파동정황.침대중국고시특정,건립료확전적륙상태DSSW모형,토론료신식교역자이용신식우세,차조정반궤교역자적근풍행위,조종고개대폭파동,획취초액수익적행위.이용해모형분석료“장가”내막교역적오개계단급기특정,거차제출건의:완선신식피로궤제,가강대특수파동고표적감공,개변고표영리모식,수립개치투자이념.
Under the enactment of number equal of rational traders and irrational traders, the DSSW model describes the behavior of positive feedback traders and price fluctuation of financial asset. Aims at the character of Chinese stock market, this paper builds an extended six state DSSW model. This model describes information dealers take advantage of private information to attract positive feedback dealers buy stocks, so that they can control the stock price greatly fluctuating and gain excess returns. By the use of this model, it analyses the characters of five phases of Banker’s inside trading. At last pol-icy advices are given:improve information disclosure mechanism, strengthen the monitoring of special fluctuation stocks, change the stock profit model, set up the value investment idea.