| Heterogeneous Beliefs, Trading Volume, and Seemingly Emotional Stock Market Behavior |
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| 作者姓名： | 陈展辉 杨炘 |
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| 作者单位： | School of Economics and Management Tsinghua University，School of Economics and Management，Tsinghua University，Beijing 100084，China，Beijing 100084，China |
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| 摘 要： | Various information types and rational learning methods have shown that heterogeneous belief changes in a rational expectation model can explain many empirical findings in stock markets, such as mo-mentum, contrarians, and technical trading. The methods have also shown that momentum and price movements can coexist in an asset market with only rational agents. The purpose of this paper is to provide a rational economic theory to explain these phenomena. Results of a dynamic programming model with het-erogeneous beliefs show that the dynamic interactions between information diffusion and belief changes create continuation and reversals. The duration and magnitude of momentum and price movements are as-sociated with trading volume. Therefore, rational investors should incorporate price and volume information in their trading decisions.
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| 关 键 词： | 贸易 市场 经济 国际 |
| 收稿时间： | 6 October 2005 |
| 修稿时间： | 2005-10-062006-01-10 |
Heterogeneous Beliefs, Trading Volume, and Seemingly Emotional Stock Market Behavior |
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| Zhanhui Chen, &#x; ,Xin YANG, &#x; &#x;.Heterogeneous Beliefs, Trading Volume, and Seemingly Emotional Stock Market Behavior[J].Tsinghua Science and Technology,2007,12(3):352-360. |
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| Authors: | Zhanhui Chen &#x; Xin YANG &#x; &#x; |
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| Institution: | School of Economics and Management, Tsinghua University, Beijing 100084, China |
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| Abstract: | Various information types and rational learning methods have shown that heterogeneous belief changes in a rational expectation model can explain many empirical findings in stock markets, such as mo-mentum, contrarians, and technical trading. The methods have also shown that momentum and price movements can coexist in an asset market with only rational agents. The purpose of this paper is to provide a rational economic theory to explain these phenomena. Results of a dynamic programming model with het-erogeneous beliefs show that the dynamic interactions between information diffusion and belief changes create continuation and reversals. The duration and magnitude of momentum and price movements are as-sociated with trading volume. Therefore, rational investors should incorporate price and volume information in their trading decisions. |
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| Keywords: | heterogeneous belief rational expectation equilibrium anomalies trading volume |
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