认知偏差下的市场操纵和股价波动分析  

A Research on Market Manipulation and Stock Price Volatility Based on Heterogeneous Beliefs

作　　者：刘溪 刘善存[2] 曾庆铎[2] 陈彬彬[2] 邴涛[2] LIU Xi;LIU Shan-cun;ZENG Qing-duo;CHEN Bin-bin;BING Tao(School of Economics and Management, Beijing Jiaotong University, Beijing 100044, China;School of Economics and Management, BeiHang University, Beijing 100191, China)

机构地区：[1]北京交通大学经济管理学院,北京100044 [2]北京航空航天大学经济管理学院,北京100191

出　　处：《数学的实践与认识》2019年第11期13-20,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71371024,71171146);广义虚拟经济研究专项资助项目(GX2013-1014(M))

摘　　要：基于非知情交易者操纵市场的假设,考虑交易者对基本面存在认知偏差,构建了市场操纵下的理性预期均衡模型,通过比较市场操纵出现前后价格的波动,分析谣言信号传播对股票价格的影响.结论表明:噪声信息在市场的传播过程中加剧了股票的波动,降低了价格中的信息含量,使股票价格偏离其基本面价值,产生了虚拟价值,随着跟随交易者数量的增多,股价的波动可能会更加剧烈,价格持续偏离.This paper analyzes a rational expectation equilibrium model in which trader has a cognitive bias about the fundamental value to explore some implications of uninformed market manipulation. We discuss how rumors contagion influences the stock price by contrasting the manipulation model and benchmark model. It is shown that noise information aggravates the stock market volatility and reduces the price informativeness, which results in stock price deviation and generates virtual value. With the rise in the number of follow traders, the price fluctuates more intensely and keeps deviating from the fundamental value.

关 键 词：认知偏差 理性预期均衡 虚拟价值 市场操纵 

分 类 号：F830.91[经济管理—金融学]