异质信念、融资买空与经济衰退期股市流动性研究  

Heterogeneous Beliefs,Short-buy and Stock Market Liquidity in Downturn

作　　者：许玥[1] 刘志新[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《湖南大学学报（自然科学版）》2011年第5期89-92,共4页Journal of Hunan University:Natural Sciences

基　　金：国家自然科学基金资助项目(70821061);教育部新世纪优秀人才支持计划资助项目(NCET050184)

摘　　要：基于投资者异质信念理论,构建理论模型,考察投资者异质信念、融资买空制度与经济衰退期股市流动性的内在关系.结果表明:经济低迷时期,投资者对经济复苏速度的异质预期将加剧股市流动性不足;由异质信念引起的'再买期权'使投资者延迟购买,是造成股市量能不济的重要原因.理论推导及数值仿真结果证实,允许融资买空有助于缓解经济衰退期流动性匮乏,加速股市止跌企稳.Based on the theory of investors＇ heterogeneous beliefs,this paper used a dynamic model to investigate the internal relationship between investors＇ heterogeneous beliefs,short-buy mechanism and stock market liquidity in downturn.It is confirmed that the investors＇ heterogeneous expectations for the economic recovery intensity will aggravate the deficiency of stock market liquidity in downturn,where the delayed purchase resulting from the ＂re-buy option＂ is a significant reason.Moreover,the model and numerical simulations have demonstrated that the introduction of short-buy mechanism will alleviate this shortage of liquidity and speed up the recovery of bear markets,which will provide valuable implications in the post-crisis times.

关 键 词：金融市场 股市流动性 异质信念 融资买空 再买期权 

分 类 号：G120[文化科学] O160[理学—数学]