CAJ | 학술논문

在考虑中国投资者行为特征的基础上，运用前景理论建立具有有限理性的信息交易者和噪声交易者的动态投资决策模型，通过对模型均衡点的稳定性进行分析并结合计算实验的方法研究利好、利空信息在市场低迷、过渡和繁荣3个不同时期的作用情况及其作用机理。研究结果表明，在市场低迷时期，由于流动性风险过大带来的交易成本大幅增加，导致市场对利空信息的反应大于利好信息；在过渡时期，信息交易者成为调控市场的有效主体，市场对利好、利空信息的反应都是敏感的，利好信息使市场走向繁荣，利空信息使市场走向低迷；当市场处于繁荣时期，由于信息交易者和噪声交易者的交互作用，导致利好信息不但会降低市场的稳定性，还很容易引发大规模的市场波动，而市场对利空信息的反应却不大。研究结果可对市场实施信息调控提供理论指导，以维护中国证券市场长期良好发展。
재고필중국투자자행위특정적기출상，운용전경이론건립구유유한이성적신식교역자화조성교역자적동태투자결책모형，통과대모형균형점적은정성진행분석병결합계산실험적방법연구리호、리공신식재시장저미、과도화번영3개불동시기적작용정황급기작용궤리。연구결과표명，재시장저미시기，유우류동성풍험과대대래적교역성본대폭증가，도치시장대리공신식적반응대우리호신식；재과도시기，신식교역자성위조공시장적유효주체，시장대리호、리공신식적반응도시민감적，리호신식사시장주향번영，리공신식사시장주향저미；당시장처우번영시기，유우신식교역자화조성교역자적교호작용，도치리호신식불단회강저시장적은정성，환흔용역인발대규모적시장파동，이시장대리공신식적반응각불대。연구결과가대시장실시신식조공제공이론지도，이유호중국증권시장장기량호발전。
Taking into consideration the behavior of investors, we set up a model to describe the decision-making of the investors with bounded rationality in the stock market with the prospect theory, which included the information trader and the noise trader. On the foundation of the study on the stability of the model, we studied the roles of good and bad information in stock market from the stagnant to the flourishing with the method of computational experiment, and obtained the results as follow. During the stagnant, the market reaction to bad news is bigger than that of good news because of the liquidity risk. During the transition, the market reaction to both bad and good news is sensitive, for information traders play an important role at this stage. The good news makes the market flourishing and the bad news lead to a sluggish market. However, in contrast with the stagnant, in the boom period, the good news could induce the bigger response than the bad news, since the co-existence of the informed traders and noise traders. Moreover, the good news could also reduce the stable area and be easy to cause the market fluctuation when the force of the news is strong enough. The result of this paper is useful for government to adjust and control stock market using the appropriate information.