噪声交易和股票流动性关系的行为金融学解释.pdfVIP

2005 年5 月 华 东 经 济 管 理 M ay. , 2005 第19 卷第5 期 East China Economic Management Vol . 19, No. 5 吕学梁, 杨春鹏 ( 青岛大学 经济学院, 山东 青岛 26607 1) [ ] 行为金融学研究的进展为传统的金融市场微观结构理论的发展提供一种新的思路文章根据噪声交 易者模型, 考虑了噪声交易者的认知偏差和反应不足, 构建了一种新的价格冲击模型, 对于噪声交易和股 票流动的关系给出了一种新的行为金融学解释, 并且通过设定参数进行模拟, 具体描绘了噪声交易对于股 票流动性的影响 [ ] 噪声交易者; 股票流动性; 金融市场微观结构理论; 价格冲击模型 [ ] F4067 1 [ ] A [ ] 1007 5097 ( 2005) 05 0 128 04 An Explanation of the Relation of Noise Trade and Stocks Liquidity Based on Beha ior Finance LXuel ang , YA N G Chunpeng ( E conomy Colleg e, Qing dao Univ er sity , Qing dao 26607 1, Ch ina) Abstract: T he prog ress of behav o r f nance off ers some new deas for t he development of trad t onal M crostructur e T heory of F nanc al M ar ket . Based on the model of no se trader, cons der ng b as and underreact o n of no se tr ader , w e construct a k nd of new pr cempact model , off er a new explanat on of the relat on of no se tr ader and stocks l qu d ty based on behav or f nance, and d scr be concrectly the nfluence of no se trader on stocks l qu d ty. Key words: no se trader; stocks l qu d ty; M crostructure T heory of F nanc al Mar ket ; the model of pr cempact , : 1958 ( James Tobin) , ( 1) ( immedia , cy), (2) ( width), : Black ( 1971) , (3) (depth), , , Glen ( 1994) , ; Amihud Mendelson (4) (resiliency), ( 1989) , , ;