运筹与管理2017，Vol.26Issue(2)：100-105,6.DOI:10.12005/orms.2017.0038
基于异质交易者定价模型的资产价格泡沫内生机理研究
Does Efficient Market Hypothesis Lose Effectiveness During a Price Bubble?
摘要
Abstract
The phenomenon of asset price bubbles as well as the financial crisis triggered by the bursting of the asset price bubble results in more questions about the existence and consistency of efficient market hypothesis.This leads to more and more interpretation from the perspective of behavioral finance: the collapse of the bubble is caused by the trading behavior of irrational investors.This paper proposes a heterogeneous agent pricing model where two types of rational traders coexist in an efficient market: short-term speculators and long-term fundamentalists, both sharing the same information set.In this framework, excess volatility created by the speculators'expectations is magnified by the share of long-term traders. Logically,this phenomenon leads to higher price volatilit and more dramatic crashes. Regulators should therefore be aware that efforts to limit rational speculation might, surprisingly, end up increasing volatility.关键词
有效市场假说/理性预期/异质交易者模型/资产价格泡沫Key words
efficient market hypothesis/rational expectations/heterogeneous agent model/asset price bubbles分类
管理科学引用本文复制引用
张一,吴宝秀..基于异质交易者定价模型的资产价格泡沫内生机理研究[J].运筹与管理,2017,26(2):100-105,6.基金项目
国家自然科学基金(71503035,71401028) （71503035,71401028）
东北大学基本科研业务费(162304015) （162304015）
