基于代表性异质投资者的金融危机传染微观机理研究
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摘要
本文从交易者具有异质性的微观假设入手,将市场参与人按其交易期限和交易策略分为基础投资者(基础因素)、技术投资者(技术因素)和国际投资者(国际因素)。通过结合离散选择模型,构建了具有时变权重系数的异质交易者定价模型,时变权重系数即代表了各因素对价格变化的动态影响效果,其中国际因素的影响权重即可作为金融危机传染的判断依据和强度衡量。以2008年全球金融危机为背景,选取中国上证指数和美国道琼斯指数月度数据为对象进行了实证研究,结果表明美国市场价格在大部分时间内是由基础因素主导的,但是在金融危机期间,国际因素的影响作用显著上升,技术因素的影响效果则一直不够明显;对于中国市场,技术因素在大部分时间内起到了决定性的作用,但是在金融危机期间国际因素则处于主导地位,表明遭受了国际金融危机的传染,基础因素对价格变化的影响效果始终不够明显。
In this paper we consider the formation of market price is induced by three kinds of heterogeneity traders: fundamentalists,chartists and internationalists. By introducing the discrete choice model,the model convert into the vector error correction mechanism with time-varying coefficients,and the time-varying weighting coefficients represent the various factors on the dynamic impact of the effect of price changes. Furthermore,the weights of internationalists indicate the correlation between the markets,which is the measure of contagion. The model is estimated for the U. S and Chinese stock markets monthly data surrounding the 2008 subprime crisis.The results indicate that the U. S stock market is dominated by fundamentalists in most of the time,but during the crisis period,the influence of internationalist is raised apparently; for the Chinese stock market,the chartist is the main source of price changes,the attention to foreign markets is increasing during the crisis period. However,there is no clear evidence of fundamentalists for price changing.
In this paper we consider the formation of market price is induced by three kinds of heterogeneity traders: fundamentalists,chartists and internationalists. By introducing the discrete choice model,the model convert into the vector error correction mechanism with time-varying coefficients,and the time-varying weighting coefficients represent the various factors on the dynamic impact of the effect of price changes. Furthermore,the weights of internationalists indicate the correlation between the markets,which is the measure of contagion. The model is estimated for the U. S and Chinese stock markets monthly data surrounding the 2008 subprime crisis.The results indicate that the U. S stock market is dominated by fundamentalists in most of the time,but during the crisis period,the influence of internationalist is raised apparently; for the Chinese stock market,the chartist is the main source of price changes,the attention to foreign markets is increasing during the crisis period. However,there is no clear evidence of fundamentalists for price changing.
引文
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[2]Dimitrios V,Theodore D.Detecting shift and pure contagion in east Asian equity markets:a unified approach[J].Pacific Economic Review,2013,15(11):401-421.
[3]Fabrizio M N,Enrico A.Dating the timeline of financial bubbles during the subprime crisis[J].Journal of Financial and Quantitative Analysis,2013,31(2):231-255.
[4]韦艳华,齐树天.亚洲新兴市场金融危机传染问题研究——基于Copula理论的检验方法[J].国际金融研究,2008,24(9):22-29.
[5]杨柳勇,周强.资产证券化与金融危机的国际传染——一个理论模型及经验检验[J].国际金融研究,2012,28(12):46-53.
[6]周舟,董坤,汪寿阳.基于欧洲主权债务危机背景下的金融传染分析[J].管理评论,2012,24(2):11-20.
[7]游家兴.经济一体化进程会放大金融危机传染效应吗?——以中国为样本[J].国际金融研究,2010,26(1):89-96.
[8]Menkhoff K L.Speculative behaviour and complex asset price dynamics:a global analysis[J].Journal of Economic Behavior and Organization,2009,49(12):173-197.
[9]Boswijk,Statman M.Behavioral capital asset pricing teory[J].The Journal of financial and Quantitative Analysis,2012,34(1):323-349.
[10]Gravelle T,Kichian M.Detecting shift-contagion in currency and bond markets[J].Journal of International Economics,2006,68(3):409-423.
[11]Kalyan T.Revenue Management under a general discrete choice model of consumer behavior[J].Management Science,2004,21(3):15-33.
[12]Kaminsky G,Reinhart C.On crisis,contagion,and confusion[J].Journal of International Economics,2000,51(1):145-168.
[13]Hommes M.Chartist,noise and fundamentals in the London foreign exchange market[J].Economic Journal,2013,34(1):149-159.
[14]Gordon R.Heterogeneity of agents,transaction costs and the exchange rate[J].Journal of Economic Dynamics and Control,2005,29(3):691-719.
[15]Grauwe D.Dynamics of competition between collectivity and noise in the stock market[J].Journal of Economic Dynamics and Control,2009,32(11):33-55.
[16]Taylor J B.The financial crisis and the policy responses:an empirical analysis of what went wrong[J].NBER Working Papers,2010,60-80.