羊群行为加剧股票价格波动吗.pdf

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1、346Vol.34,No.620146SystemsEngineering—Theory&PracticeJune,2014:1000-6788(2014)06-1361-08:F830:A?1123,,,(1. ,100083;2.,100191;3.DepartmentofEconomics,UniversityofCalifornia,SanDiego,LaJolla,CA92093)Æ,!

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3、erdbehaviorincreasestockpricevolatility?LIUXiang-dong1,LIUCheng1,LIUShan-cun2,LUJia-jun3(1.DonglingSchoolofEconomicsandManagement,UniversityofScienceandTechnologyBeijing,Beijing100083,China;2.SchoolofEconomicsandManagement,BeihangUniversity,Beijing100191,China;3.DepartmentofEconomics

4、,UniversityofCalifornia,SanDiego,LaJolla,CA92093,USA)AbstractResearchresultshaveevengiventheoppositeconclusionsonwhetherherdbehaviorincreasestockpricevolatility.Assumethatthechangeofviewfortradersbuyingorsellingismainlyaffectedbytheircognitiveabilityforthebasicvalueofstockandothertrad

5、ers’behaviors.Thispaperconstructsamathematicalmodeldescribingthechangeofmarketaverageinvestmentattitudeandstockprices,andanalyzesthestabilityofthemodelbyusingtherelatedtheoryofdiscretedynamicsystem,anddefinesthedegreeofherdingbehavioraccordingtowhetherthefinancialmarketisstable.Theresu

6、ltsindicatethat:inmildherdingeffectinterval,stockpricesaccordinglypresentperiodicmicro-amplitudefluctuations;inmoderateherdingeffectinterval,afterexperiencingaperiodofdampingvolatility,stockpricesconvergencetoequilibrium,andthereexistsanoptimaldegreeofherdingbehaviorwhichencouragesthest

7、ockpricetoapproachequilibriuminthefastestspeed;insevereherdingeffectinterval,stockpricesirrationallysharplyfluctuateinlargeamplitudeswhichcanleadtoseverestockmarketbubbleandthefinancialcrisis.Keywordsherdbehavior;stockpricevolatility;stabilityoffinancialmarket1bcÆ,

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