投资者异质性与证券市场定价——理论模型与中国的经验证据

本文从投资者异质性的客观现实出发,通过对投资者二维视角的交叉分类与相关行为的探讨,提出了一种按交易特点与行为依据的新的分类方案,即将投资者分为套利交易者、价格预期交易者和量能变动交易者三类。在此基础上分别建立了各类投资者的需求函数,通过对证券市场供求函数的讨论,利用均衡分析方法构建了基于投资者异质性的证券市场定价模型,并以我国证券市场1999-2011年的月度数据为样本进行了实证分析。实证结果表明:我国证券市场价格主要由价格预期交易者的诱导性策略行为与量能变动交易者的羊群行为决定,套利交易者的套利行为对市场价格没有显著的影响,证券市场扩容也未对市场价格的形成产生系统性冲击。

Investor Heterogeneity and Securities Market Pricing: Theoretical Model and Empirical Evidence from China

Based on the objective reality of investor heterogeneity,by discussing investors’cross-dimensional perspective classification and related behavior,this paper offers a new classification consistent with the characteristics and behavior of transaction.All investors are classified into three catagories:arbitrage trader,price expecting trader and quantity changing trader.Based on this,we establish different investors’demand functions.By analyzing the supply and demand functions in security market,a new securities market pricing model is developed depending on the investor heterogeneity.We test this model empirically using monthly data of Chinese securities market from 1999 to 2011.Results indicate that,the securities assets’price is determined mainly by the price expecting traders’induced strategic behavior and the quantity changing traders’herding behavior.The arbitrage traders’arbitrage behavior has no significant effect on the price.Meanwhile,securities markets’expansion has no systemic shock on the securities assets’price.