过度自信、市场流动性与投机泡沫  

Overconfidence, market liquidity and speculative bubbles

作　　者：石广平[1] 刘晓星[1] 姚登宝[1] 张旭[1] SHI Guang-ping;LIU Xiao-xing;YAO Deng-bao;ZHANG Xu(School of economics and management,Southeast University,NanJing,211189,China)

机构地区：[1]东南大学经济管理学院,江苏南京211189

出　　处：《管理工程学报》2018年第3期63-72,共10页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71273048;71473036)

摘　　要：本文首先从理论上揭示了过度自信和市场流动性对股市投机泡沫存在正向作用的内在机理,证明了不同程度的过度自信和市场流动性对泡沫影响的效应差异,然后结合时变转移概率马尔科夫区制转换理论(MS-TVTP),构建了包含投资者过度自信和市场流动性的中国股市泡沫动态演化机制模型(VNS三区制变量扩展模型),并利用2005年4月-2015年6月沪深300指数的相关数据进行了实证分析。结果表明:运用VEC模型提取的股市泡沫和实际情况吻合;与现有Hamilton模型和VNS模型及其简单扩展模型相比,VNS三区制变量扩展模型能够更好的刻画中国股市泡沫特征;沪深300指数泡沫变化可划分为潜伏、膨胀和破裂三种状态,与2008年金融危机期间比较,发现危机前后中国股市泡沫的区制效应更加明显;投资者过度自信的增加会增大泡沫从潜伏区制转换到膨胀区制的概率,市场流动性的负向变化使泡沫从膨胀区制转换到破裂区制的可能性增加。The violent fluctuations in the stock market, such as the one that took place in June 2015 in Chinese stock market, and another serious stock market crash in May 2007, have raised controversy about the existence of stock market bubbles in China. The evolution mechanism and influence factors of asset price bubbles have been an important research focus in the fields of economy and finance. Many theoretical researches, such as rational and irrational speculative bubbles models, and empirical researches based on Markov regime-switching model, have been used to explain and test the determinants and existence conditions of asset price bubbles. Investors＇ overconfidence and market liquidity have important impact on stock market bubbles, although the existing theoretical studies have found that the investors＇ overconfidence has a positive effect on stock market speculative bubbles. However, it hasn＇t been empirically tested. Although there are only a few researches about the influence of liquidity on stock bubbles that focuses on empirical analysis, systematic theoretical analysis is still scarce. This paper systematically examines the contribution of investors＇ overconfidence and market liquidity to the stock market speculative bubbles. Specifically, this study theoretically examines how varying degrees of investors＇ overconfidence and market liquidity influence stock market speculative bubbles as well as the inherent mechanism. A variables extending VNS three-regime-switching model is constructed to describe the dynamic evolution mechanism of the bubbles. Finally, empirical tests of the Chinese stock market bubbles are also made based on the proposed model. The research methods and main conclusions are included as follows： First, a theoretical framework about the impact of investors＇ overconfidence and market liquidity on the stock market speculative bubbles is established. By setting overconfidence parameter and market liquidity parameter, the expression of stock market speculation bubbles is deduced. Th

关 键 词：投机泡沫 市场流动性 过度自信 马尔科夫区制转换模型 时变转移概率 

分 类 号：F830.9[经济管理—金融学]