股票价格波动的价值回复模型
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摘要
股票价格决定理论一直都是现代金融经济学理论研究的核心问题之一。股票价格的波动遵循何种分布、有无规律可循,关系到股票价格的确定及股权类金融衍生产品的定价问题。摒弃了传统股价波动模型关于股价期望收益率恒定不变的假定,建立了股票价格波动的价值回复模型,并在此基础上对股票价格的期望收益率进行了内生化处理,并推导了上市公司价值的波动模式,以便更好地理解现实中股票的价格波动现象和为现实中的股票和股权类金融衍生产品进行定价。
Based on the value reversion phenomenon of the stock prices, this paper builds a more realistic model of stock price volatility- value reversion model of the volatility of stock price. This model abandons the assumption of the traditional model that the expected rate of return on stock price is constant, analyses the value reversion phenomenon of the stock price in depth, and discusses the impact of the company value on its stock price and of the market efficiency on the the reversion speed of stock price. On this basis, it performs an endogenous treatment of the expected rate of return μ on stock price, finds some new features of the expected rate of return(such as negative correlation with the stock value, the phenomenon of random disturbance, etc.), and analyzes their reasons in depth.
Based on the value reversion phenomenon of the stock prices, this paper builds a more realistic model of stock price volatility- value reversion model of the volatility of stock price. This model abandons the assumption of the traditional model that the expected rate of return on stock price is constant, analyses the value reversion phenomenon of the stock price in depth, and discusses the impact of the company value on its stock price and of the market efficiency on the the reversion speed of stock price. On this basis, it performs an endogenous treatment of the expected rate of return μ on stock price, finds some new features of the expected rate of return(such as negative correlation with the stock value, the phenomenon of random disturbance, etc.), and analyzes their reasons in depth.
引文
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[8]赵巍,何建敏.股票价格遵循分数Ornstein-Uhlenback过程的期权定价模型[J].中国管理科学,2007(3):1-5.
[9]余文利,廖建平,马文龙.一种新的基于隐马尔可夫模型的股票价格时间序列预测方法[J].计算机应用与软件,2010(6):186-189.
[10]林勇,郭林军.有效市场假设与分形市场假设[J].预测,2002(2):34-38.
[11]范申,王晓天,文志雄.重分式Poisson过程——一个新的股票价格运动模型[J].武汉大学学报:理学版,2005(1):15-19.
[12]顾钰.我国股票市场价格波动与成交量关系的实证分析[J].现代商业,2010(32):36.
[13]马永亮,叶昕,姜国华.价格波动性与股票预期回报——基于中国市场的初步证据[J].上海立信会计学院学报,2011(1):57-66.
[14]Rubinstein M.,“Non-parametric Teats of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23,1976,through August31,1978”[J].Journal of Finance,1985,40(2):455-480.
[15]Rubinstein M.,“Implied Binomial Trees,”[J].Journal of Finance,1994,49(3):771-818.
[16]Jackwerth J.C.,and M.Rubinstein,“Recovering Probability Distributions from Option Prices,”[J].Journal of Finance,1996,51(5):1611-1631.
[17]Romer,D.“Advanced Macroeconomics”[M].McGrawHill Education,4th Edition,2011.
[2]Fama,and Eugene F.,“The Behavior of Stock Market Prices”[J].The Journal of Business(Chicago,Ill.),1965,38(1):34-105.
[3]Black F.,and M.Scholes,“The Pricing of Options and Corporate Liabilities”[J].Journal of Political Economy,1973,81(3):637-659.
[4]Richardson M.,and T.Smith,“A Test for Multivariate Normality in Stock Returns”[J].Journal of Business(Chicago,Ill.),1993,66(2):295-321.
[5]Trabelsi,A.,and Oueslati,A.,“The Dynamics of Stock Price Adjustments to New Information:Empirical Evidence from the Tunisian Stock Exchange Market”[J].Finance,2004,18(2):23-52.
[6]Vagnani,G.,“The Black-Scholes Model As A Determinant of the Implied Volatility Smile:A Simulation Study,”[J].Journal of Economic Behavior&Organization,2009,72(1):103-118.
[7]翟爱梅,王雪峰,冯英浚.股票价格的塑性理论模型[J].哈尔滨工业大学学报,2005(9):1277-1279.
[8]赵巍,何建敏.股票价格遵循分数Ornstein-Uhlenback过程的期权定价模型[J].中国管理科学,2007(3):1-5.
[9]余文利,廖建平,马文龙.一种新的基于隐马尔可夫模型的股票价格时间序列预测方法[J].计算机应用与软件,2010(6):186-189.
[10]林勇,郭林军.有效市场假设与分形市场假设[J].预测,2002(2):34-38.
[11]范申,王晓天,文志雄.重分式Poisson过程——一个新的股票价格运动模型[J].武汉大学学报:理学版,2005(1):15-19.
[12]顾钰.我国股票市场价格波动与成交量关系的实证分析[J].现代商业,2010(32):36.
[13]马永亮,叶昕,姜国华.价格波动性与股票预期回报——基于中国市场的初步证据[J].上海立信会计学院学报,2011(1):57-66.
[14]Rubinstein M.,“Non-parametric Teats of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23,1976,through August31,1978”[J].Journal of Finance,1985,40(2):455-480.
[15]Rubinstein M.,“Implied Binomial Trees,”[J].Journal of Finance,1994,49(3):771-818.
[16]Jackwerth J.C.,and M.Rubinstein,“Recovering Probability Distributions from Option Prices,”[J].Journal of Finance,1996,51(5):1611-1631.
[17]Romer,D.“Advanced Macroeconomics”[M].McGrawHill Education,4th Edition,2011.