基于股市投资者情绪的非理性投机泡沫模型研究

黎  超; 胡宗义; 施淑蓉

基于股市投资者情绪的非理性投机泡沫模型研究

引用本文：黎超，胡宗义，施淑蓉.基于股市投资者情绪的非理性投机泡沫模型研究[J].财经理论与实践,2018,(5):51-57

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作者	单位
黎超，胡宗义，施淑蓉	（湖南大学金融与统计学院，湖南长沙 410079）

中文摘要:针对股市非理性投机泡沫研究的不足，通过引入投资者情绪构建基于噪声交易者模型的非理性投机泡沫模型，以此研究噪声交易者的认知偏差，其在投资过程中所带有的情绪及其对风险资产历史基础价值冲击的过度反应对股市投机泡沫的影响。结果表明：市场中带情绪的噪声交易者数量越多，股价中的非理性投机泡沫成分越大，其波动程度也越剧烈。

中文关键词:噪声交易者投资者情绪非理性投机泡沫

Study on Irrational Speculative Bubble Model Based on Stock Investor Sentiment

Abstract:Due to the insufficiency of the irrational stock bubble research, this paper extends the noise-trading model by adding the bounded rational investors' sentiments and then constructs an irrational speculative bubble model, which can explore the role of noise traders' misperceptions in the evolution of speculative bubbles, as well as their inherent sentiments during investment and their overreactions to the historical impacts of fundamental values about the risky assets. In addition，this paper also explore the plausible range of the irrational bubbles. The simulated results show that the larger the proportion of noise traders accompanied by sentiment who exist in the market, the higher is the degree of irrational speculative bubbles that are included in risky assets, and the more volatile are the stock market bubbles.

keywords:noise traders investor sentiment irrational speculative bubbles behavioral finance

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