摘要
金融市场归根到底是人的市场,金融市场异象与人性紧密相关。情绪反馈和交易诱导是金融市场中最为普遍的现象,既是人性的体现,也会对资产价格行为造成显著影响。本文构建了一个投机者对具有反馈交易特征的非理性投资者进行信息推断和交易诱导的情绪反馈模型,对投机者的需求函数、资产价格的稳定性及时间序列特征进行了讨论。研究结果表明:(1)投机者同时具有套利需求和投机需求,当市场中"噪音"不足时,投机者会主动地制造"噪音",诱导非理性投资者;(2)投机者对非理性投资者的诱导行为可导致资产价格的过度波动;(3)基本面交易者具有稳定市场的作用,并决定了不同市场动量的强弱。本研究为理解金融市场中的价格操纵行为和复杂性提供了参考。
Momentum and reversal are prominent anomalies in financial markets. Although traditional behavioral models have made some progress in explaining these anomalies, difficulties remain in explaining significant variations across different markets around the world. Empirical evidence suggests that momentum is on average stronger in developed markets and weaker in emerging markets. As a predictable asset price behavior, momentum can be viewed as a direct index to measure whether the market is efficient. Differences in momentum between developed and emerging markets indicate that predictable price behavior is more likely to exist in developed markets, while asset prices in emerging markets should reflect greater randomness, According to the EMH, price randomness is associated with market efficiency. Does this mean that asset pricing in emerging markets is more efficient？ Obviously, in reality, the opposite is true. Different types of investors have heterogeneous beliefs. Information asymmetry makes investors unable to acquire sufficient information, so there is an incentive to infer investors＇ beliefs. Many studies have shown that psychological biases of irrational investors are systematic, so their trading behavior should have a predictable pattern. It provides the possibility for speculators to infer the sentiment system of irrational investors. In reality, both information inference and inducement trading exist. Speculators can infer the trading behavior of irrational investors through market pricing and adopt favorable trading strategies accordingly. They can also manipulate market pricing by using their funding and information advantages, thus encouraging irrational investors to trade in favor of speculators. Deception and manipulation can be found everywhere in the markets, and smart market participants use deceptive schemes to ＂ phish for phools＂. From this perspective, a pronounced randomness in asset prices in emerging markets actually reflects rich information about investor behavior. To construct a
出处
《经济研究》
CSSCI
北大核心
2017年第5期189-202,共14页
Economic Research Journal
基金
国家自然科学基金面上项目(71671134)支持
关键词
反馈交易
交易诱导
投资者情绪
波动性
动量与反转
Feedback Trading
Trading Inducement
Investor Sentiment
Volatility
Momentum and Reversal
