摘要
本文从行为金融学角度研究交易成本对股指期货市场波动性影响,得到结论认为交易成本对波动性的影响与噪声交易者理性程度有密切关系。当市场噪声投资者理性程度较高时,适当采取提高交易成本的措施能够降低市场波动性;当市场噪声投资者非理性程度很高时,提高交易成本反而对降低市场波动性不利。本文结论将有助于解决国内外对此问题的争论,为我国即将建立的股指期货市场提供政策参考。
In this paper, we try to consider the effects of the transaction costs on the undulation in the stock index futures market from the perspective of behavioral finance. Using model of the evolutionary game theory, we find the effects of costs have something to do with the noisy traders＇ behavior. When noisy traders are sensible enough, raising transaction costs could reduce the undulation in the stock index futures market; otherwise, raising transaction costs cannot achieve this purpose. This paper helps to explain why there exists a debate on this problem, offering strategic advice on the construction of the stock index futures market in China in the near future.
出处
《山东财政学院学报》
2009年第2期82-85,共4页
Journal of Shandong Finance Institute
关键词
交易成本
演化博弈
噪声交易者
Transaction Costs
Evolutionary Game Theory
Noisy Trader
