投资者情绪、市场波动与股市泡沫

经济理论与经济管理 ›› 2008, Vol. ›› Issue (2): 45-50.

投资者情绪、市场波动与股市泡沫

朱伟骅, 张宗新

复旦大学金融研究院上海 200433

收稿日期:2007-09-18 出版日期:2008-02-16 发布日期:2012-03-01
基金资助:
国家社会科学基金资助项目(06CJY038)

INVESTOR SENTIMENT,MARKET VOLATILITY AND STOCK MARKET BUBBLE

ZHU Wei-hua, ZHANG Zong-xin

Institute for Financial Studies Fudan University, Shanghai 200433, China

Received:2007-09-18 Online:2008-02-16 Published:2012-03-01

摘要/Abstract

摘要： 我国投资者情绪容易受到噪音交易者影响,其他类型交易者可利用噪音交易者的交易策略在博弈中获取超额利润,这为投机性泡沫的产生提供了微观基础。在市场波动机制中,投资者情绪与股价变化存在动态关系,股价泡沫存在内在持续性,引发市场正反馈效应,从而促成投机性泡沫的生成。

关键词: 投资者情绪, 投资者结构, 投机性泡沫, 赫斯特指数

Abstract: Investor sentiment is easily influenced by noise traders in China's stock market,the other trpies traders use noise traders's strategy gain abnormal retrun,which provides the micro basis for speculative bubble.According the mechanism of market volatility,there exists an dynamic relationship between investment sentiment and stock price movemnet,price bubble has intrinsic persistance,which result in the positive feedback effect and bring out the speculative bubble.

Key words: investor sentiment, investor structure, speculative bubble, Hurst index

中图分类号:

F830.91

朱伟骅, 张宗新. 投资者情绪、市场波动与股市泡沫[J]. 经济理论与经济管理, 2008, (2): 45-50.

ZHU Wei-hua, ZHANG Zong-xin. INVESTOR SENTIMENT,MARKET VOLATILITY AND STOCK MARKET BUBBLE[J]. Economic Theory and Business Management, 2008, (2): 45-50.

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