DSSW模型的交易者行为风险度量方法  

A Study of Trader Behavior Risk Measurement Based on DSSW Model

作　　者：丁韶华[1] 陈庭强[2] 何建敏[2] 尹群耀[2] 

机构地区：[1]南京大学工程管理学院,南京210093 [2]东南大学经济管理学院,南京211189

出　　处：《北京理工大学学报（社会科学版）》2012年第3期39-43,55,共6页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：国家自然科学基金资助项目(70671025;71071034);教育部人文社科研究基金资助项目(09YJ A630021);江苏省自然科学基金资助项目(BK2009290)

摘　　要：在DSSW模型及噪声交易理论研究的基础上,引入市场风格和情绪指数变量,构建投资者证券交易风险度量模型,分析证券市场交易者行为风险与资产价格、无风险利率、风险资产股利、风险规避系数、市场预期价格、理性投资者所占比例、投资者情绪指数、理性投资者持有的风险资产数量及噪声交易者错误认知等变量之间的相关性及证券市场风格与投资者行为风险之间的相关性。理论分析表明:一般情况下,噪声交易行为具有情绪感染和放大效应、风险资产持多和价格压力效应以及市场风格与风险资产偏好、行为风险的同向效应。Based on the DSSW model and the theory of noise trading, this article introduced market style and mood index variables, and built the measurement model of investor behavior risk, and explored the correlations between the behavior risk of stock market investors and asset prices, risk-free interest rate, the dividend of risk assets, risk aversion coefficient ,the market expected price, the proportion of rational investors, investor sentiment index, the amount of risk assets held by rational investors, and the wrong cognitive of noise traders, and the correlations between the style of the stock market and investor behavior risk. Theoretical analysis show that, in the ordinary circumstances ,noise trading behavior possessed the mood infection and amplification effect,and holding more risk assets and price pressure effect, and market style and risk assets preferences, and behavioral coincidental effect.

关 键 词：噪声交易 DSSW模型 交易者行为风险 度量模型 

分 类 号：F83[经济管理—金融学]