投资者决策行为与股价形成及波动

本文以行为金融学为主构建了投资者行为与股价形成的解释模型 ,认为决定股价形成的因素很多 ,可能有企业真实价值、投资者对企业真实价值的认可程度、市场制度约束变量、市场资金充裕供求关系变量等 ,这些变量之间可能有很强的独立性。因此 ,仅用表征投资者的变量解释股价形成是不够全面的。文章建立了在股价上升、下降、整理状况下 ,买入者与卖出者预期不一致时的市场变量组合 ,从而从逻辑上说明投资者意见分歧与股价的关系 ,并通过数学模型实证说明投资者意见分歧与股价并非同向单调关系。从市场变量组合还可得出 :投资者意见分歧大小与股价波动一致 ,因此用意见分歧变量解释股价波动更合理 ;投资者意见分歧与交易量变化是非同向的 ,因此以换手率表征投资者意见分歧大小不合理

Investors' Decision - making Behavior and the Formation and Fluctuation of Stock Price

Based on behavioral finance theory, the paper establishes an explanatory model of investors' behavior and stock price formation, arguing that there are many factors that determine the stock price formation. These factors may be enterprise real value, the level of investors' recognition of enterprise real value, the binding variable of market system, the variable of market capital sufficiency and the supply-demand relations. And among these variables there may be strong independence. It is, therefore, not all sided to explain stock price formation in terms of representative investors' variable. Through econometric analysis, the paper clarifies the relation between investors' divergence of views and stock price. In addition, there are two more conclusions derived from market variable combinations. On the one hand, since the level of investors' divergence of views and that of price fluctuation are identical, it is more rational to explain the fluctuation with investors' divergence of views. On the other hand, it is irrational to use turnover ratio to express investor's divergence of views due to the positive relation between investors; divergence of views and trade volume changes.