非理性假设与中国证券市场发展研究

中国证券市场发展过程中一直存在股价波动大、估值高、内幕信息交易多、非理性投资者多等特征,经典的有效市场理论和投资者微观结构理论无法解释其产生的原因和过程.基于中国资本市场投资者是有限理性和异质性的假设,本文使用分形市场与混沌理论的研究范式,通过模拟建立异质性投资者非线性动力学模型,从内生性因素出发研究不同类型投资者学习变迁的机制,以及这种变迁机制形成中国资本市场特征的必然性.在此基础上,本文提出了完善中国资本市场发展的相关政策建议.

On Irrational Hypothesis and Growth of China' s Securities Market

Such as inside trading,irrational investors,assets price bubbles and abnormal fluctuation are main problems in the course of China capital market development.The Efficient Markets Hypothesis can’t explain the reasons for these problems.Therefore,Hypothesis in this article include that investors are heterogeneous and bounded rationality.The Fractal Market Hypothesis and Chaos theory are basic Frameworks in this article.We try to build up the nonlinear dynamics model based on heterogeneous agents in order to study the transition regime of investors’learning from an endogenous point of view.Finally,we propose some suggestions on the development of China capital market.