股市价格波动研究.doc

1 股市价格波动研究 1 ——基于正反馈交易、羊群行为和持续性的分析方毅 1 、2 ,张屹山 1 、2 (1. 吉林大学数量经济学研究中心,长春 130012 ; ,长春 130012 ) 【摘要】基于 De Long 等(1990a) 和 De Long 等(1990b) ,本文引入羊群效应建立模型刻画股价变动,并通过将模型在无限清算期拓展,展现股价复杂变化。进一步,通过实证研究,我们发现中国股市存在显著的正反馈交易,而且 2004 年后市场的正反馈交易没有发生明显变化。在 McQueen 和 Thorley(1991) 的基础上, 我们不仅对进行了股价的随机游走检验; 而且还拓展了他们的方法, 进行了股价的可持续性检验, 发现 2004 年以后, 中国股市在前期连续上涨的情况下,价格持续上涨的趋势明显。正反馈交易以及可持续性导致了中国股市 2007 年的剧烈波动。政策制定要关注羊群行为,本着充分发挥市场价格机制的原则,“有所为,有所不为”。关键词正反馈交易羊群行为持续性价格波动中图分类号 文献标识码 A Study on Volatility of Stock Price —— View on Positive Feedback Trading, Herd Behavior and Continu ity Abstract : Based on De Long et al. (1990a) and De Long et al. (1990b), the paper introduces the herd behavior into a model to describe the stock price volatility, and it also extend the model when the liquidation is infinite to plex characteristics of the changes of stock price . Furthermore, by empirical study, we find that there exists significant positive feedback behavior and the behavior hasn ’t change significantly since 200 4, in the stock market of China . According to McQueen and Thorley (1991), we test the random walk hypothesis, and that we also extend the test to examine the continuity of the changes of stock price. It can be found that the stock price will have go up further when the price continuously rising in the prophase since 2004. Positive feedback trading and continuity result in the enormous volatility of Chinese equity market in 2007. Policy making should pay attention to herd behaviors in the market, and give full play to the market mechanism in the principle by the guideline of“ doing what should be done, while leaving others alone ”. Key words : Positive feedback trading ; herd behavior ; continuity ; price volatility . 1本文获得教育部重点研究基地重大项目“保持经济持续增长的经济政策机制宏观调控模式的计量研究”(项目编号: 06JJD790013 ),国家社会科学基金项目“经济增长、经济结构与就业的互动机理和互动模式研究”(项目编号: 07BJY020 )资助。作者简介: 1、方毅(通讯作者),男, 1976 年,湖北,吉林大学商学院,讲师。通讯地址:长春市前进大街 2699 号,吉林大学商学院( 130012 )。联系电话: ********** 。 Email : Danielfang@ 2、张屹山,男, 1949