分红波动程度对股价演化特征的影响分析  

Analysis on the Influence of Dividend Volatility on the Evolution Characteristics of Stock Price

作　　者：郭战兵 张盼盼 马雨帆 GUO Zhanbing;ZHANG Panpan;MA Yufan(School of Economics and Management,Hebei University of Technology,Tianjin 300401,China)

机构地区：[1]河北工业大学经济管理学院,天津300401

出　　处：《复杂系统与复杂性科学》2024年第4期73-80,共8页Complex Systems and Complexity Science

基　　金：国家自然科学基金(72002065)。

摘　　要：为探讨分红波动程度对股价演化特征的影响,构建了异质投资者资产定价模型,通过理论推导、数值模拟和实证检验方法进行了分析。研究结果表明:股价演化形态对趋势投资者的学习强度敏感。当学习强度较小时,股价能收敛到其基本价值;超过某个临界值时,股价会偏离基本价值并形成新的均衡价格;随着学习强度进一步增加,股价演化会呈现闭环周期形式。分红波动程度存在阈值,在阈值两侧分红波动程度对股价波动程度的影响不同。To explore the impacts of dividend volatility on the evolution characteristics of stock prices,this paper constructs a heterogeneous investor model,and analyzes this model through theoretical derivation,numerical simulation and empirical testing.The main research conclusions include:The state of stock price evolution is sensitive to the learning intensity of the trend investors.When the learning intensity is low,the stock price would converge to its basic value.When a certain threshold is exceeded,the stock price deviates from its basic value and shows a new equilibrium.With the further increase of learning intensity,the stock price will show a closed-loop cyclic solution.There is also a threshold for the dividend volatility.The impacts of dividend volatility on the volatility of stock price are in the opposite direction on two sides of this threshold.

关 键 词：分红波动 股价演化特征 时变风险厌恶 动态金融系统 

分 类 号：F830.91[经济管理—金融学]