反馈交易导致了理性投机的不稳定性吗?  

Does Feedback Trading Cause the Instability of Rational Speculation?

作　　者：陈聪[1] 胡昌生[1] CHEN Cong;HU Chang-sheng(Economics and Management School, Wuhan University, Wuhan 430072, China)

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《预测》2021年第1期53-59,共7页Forecasting

基　　金：国家自然科学基金资助项目(71671134)。

摘　　要：本文拓展了De Long等的模型,研究了正反馈交易者与理性投机者之间的关系。研究表明:第一,如果市场中出现一个准确信号,在正反馈交易者的反馈系数具有递减性、引入额外的无附加信息交易时期的情形下,理性投机会产生稳定效应。第二,如果这一信号含有噪音,理性投机可以在信号所含噪音成分较大的情况下产生稳定效应。第三,如果市场依次出现正确信号与噪音信号,资产价格会在不同时期对第一个信号表现出相反的反应;如果市场中缺乏理性投机者,资产价格会产生反转效应。基于研究结论,本文从遏制噪音交易比例等角度提供政策建议。This study extends the model of De Long et al.by including additional trading dates and informative signal.The results of our study are as follows.First,in the case of one noiseless signal,when the feedback coefficient of positive feedback traders is decreasing and the time interval between informative signal arrival and asset liquidation is long,rational speculators will stabilize asset prices.Second,if rational speculator’s signal is noisy,rational speculation can still stabilize asset prices as the information content of signal is very low.Third,if traders observe one noiseless and noisy signals in turn,asset price will show opposite reaction to the first signal in different periods;asset price will exhibit reversal effect if there are few rational speculators.Based on the above conclusion,the author provides policy recommendations such as curb the proportion of noise trading.

关 键 词：反馈交易 理性投机 稳定性 

分 类 号：F830.91[经济管理—金融学]