非理性交易行为、股价波动与中国股市

在中国证券市场中,投资者并不是现代金融学理论所假定的交易"理性人",而是具有明显的"过度自信"、"羊群效应"、"处置效应"、"政策依赖"等非理性特征的非理性交易者.由于非理性交易者具有强化效应和风险分散效应的双重效应,在一定市场条件下,当非理性交易者对股票收益的预测偏差在一定范围内时,非理性交易者的增加可能引起股票溢价,也可能导致股票折价,而当其预测偏差超出一定范围后,非理性交易者的增加才会大大推动股价的波动.

Non-Rational Trade Behavior, Stock Price Undulation and Stock Market in China

Differing from the standpoint of classical finance theory, investors is non-rational in security market in China. They have obvious non-rational characteristics, such as overconfidence, herd behavior, disposition effect and policy dependence. Because non-rational investors have intensification effect and risk-dispersed effect, under some market condition, they may lead to stock spillover or discount when their forecast error on stock expected return is less than certain bound, but when their forecast error goes beyond the certain bound, they will impulse undulation of stock price.