摘要
基于非知情交易者操纵市场的假设,考虑交易者对基本面存在认知偏差,构建了市场操纵下的理性预期均衡模型,通过比较市场操纵出现前后价格的波动,分析谣言信号传播对股票价格的影响.结论表明:噪声信息在市场的传播过程中加剧了股票的波动,降低了价格中的信息含量,使股票价格偏离其基本面价值,产生了虚拟价值,随着跟随交易者数量的增多,股价的波动可能会更加剧烈,价格持续偏离.
This paper analyzes a rational expectation equilibrium model in which trader has a cognitive bias about the fundamental value to explore some implications of uninformed market manipulation. We discuss how rumors contagion influences the stock price by contrasting the manipulation model and benchmark model. It is shown that noise information aggravates the stock market volatility and reduces the price informativeness, which results in stock price deviation and generates virtual value. With the rise in the number of follow traders, the price fluctuates more intensely and keeps deviating from the fundamental value.
引文
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