A BEHAVIOURAL MODEL OF THE DOT.COM …（行为模型的点。）.pdfVIP

1 A BEHAVIOURAL MODEL OF THE DOT.COM BUBBLE AND CRASH Abstract This paper looks at stock market bubbles and crashes from an inter-disciplinary perspective, with particular reference to the high-tech bubble and crash of the late 1990s and early 2000s. It suggests that psychology and sociology are at least as important as finance and economics for the explanation of such phenomena. The initial issue is how stock market bubbles start. Kindleberger and Aliber (2005) argued that bubbles typically begin with a justifiable rise in stock prices. The justification may be a technological advance or a general rise in prosperity. Examples of technological advance stimulating stock price rises might include the development of the automobile and radio in the 1920s, and the emergence of the internet in the late 1990s. Cassidy (2002) suggested that this initial stage is characterised by a new idea or product, which causes changes in expectations about the future. Early investors in companies involved with the innovation make very high returns, which attract the attention of others. The early investors can be seen as making information trades, which are share trades arising from new information. A general rise in prosperity can stimulate the emergence of a stock market bubble by allowing the accumulation of saving (Galbraith 1988). Those savings are available for investment. The facility of borrowing in order to enhance the level of stock holding also strengthens the conditions for the development of a bubble. Stock purchases from accumulated savings or from borrowing could be seen as liquidity trades. The purchase of shares is encouraged by the availability of finance for their purchase. The Liquidity Theory of Asset Prices Pepper and Oliver (2006) have proposed the Liquidity Theory of Asset Prices. Their suggestion is that a major driver of stock markets is the amount of liquidity av