中国公募REITs市场价格与投资者结构研究——基于多主体建模的分析  

Study on Price Formation and Investor Structure in China's Public REITs Market——Analysis Based on ABM

作　　者：顾宗源 GU Zongyuan(FICC Division,Shenwan Hongyuan Securities Co.,Ltd.,Shanghai 200031)

机构地区：[1]申万宏源证券有限公司FICC事业部,上海200031

出　　处：《管理现代化》2024年第3期57-65,共9页Modernization of Management

基　　金：国家社会科学基金青年项目(22CJL002)。

摘　　要：深入认识公募REITs市场运行规律,对实现中国金融高质量发展具有重要意义。通过构建包括基本面交易者、动量交易者和噪声交易者的多主体模型,并使用机器学习方法对20只REITs进行校准,模拟价格形成过程并分析交易者结构。结果显示,中国公募REITs收益率序列具有厚尾分布、自相关、波动集聚等特征。模型能够很好地模拟REITs市场价格形成过程,对未来收益率具有一定预测性。在REITs市场中,基本面交易者占主导,动量交易者次之,噪声交易者影响力微弱。建议监管机构应密切监测市场波动与风险暴露,发挥多主体模型在决策中的作用,同时加强投资者教育,避免投资者过度追求短期利益。Gaining a deep understanding of the operational patterns of the public REITs market is crucial for achieving high-quality financial development in China.By constructing an agent-based model comprising fundamental traders,momentum traders,and noise traders,and using machine learning methods to calibrate the model on 20 REITs listed before November 1,2022,the study sim-ulates the price formation process and analyzes the trader structure in the market.The results reveal that the return series of Chinese public REITs exhibit characteristics such as heavy tails,autocorrela-tion,and volatility clustering,similar to other financial assets.The model can effectively simulate the price formation process in the REITs market and possesses a certain predictive ability for future returns.In the REITs market,fundamental traders dominate,followed by momentum traders,while the influence of noise traders is negligible.The recommendations include closer monitoring of mar-ket volatility and risk exposure by regulatory authorities,leveraging the significance of agent-based models in regulatory decision-making,and enhancing investor education to emphasize long-term investment value and discourage excessive pursuit of short-term gains by considering fundamental factors.

关 键 词：REITS 基本面交易者 动量交易者 噪声交易者 XGBoost 

分 类 号：F832.5[经济管理—金融学]