市场微观结构、行为金融与股票价格调整:一个理论框架

从信息与价格之间的动态关系看,股票价格调整过程的本质是投资者更新信息、修正信念的过程。在投资者心理因素内生化考虑的层面上,市场微观结构理论和行为金融理论共同刻画了这一过程。市场微观结构理论基于结构性摩擦研究了交易制度对该过程的作用机理;行为金融理论基于认知偏差研究了投资者心理对该过程的作用机理。投资者认知偏差将通过信息更新和信念修正环节影响价格调整过程,并最终进入到股票价格之中。这是投资者心理在金融市场作用机理的关键所在,也是市场微观结构理论和行为金融理论有机联系的逻辑所在。

Market Microstructure, Behavior Finance and Stock Price Adjustment: A Theoretic Framework

From the dynamic relationship between the information and the price, the essence of the stock price adjustment process is a updating process of information and belief. While take the investor psychology into consideration endogenicly, both the market microstructure and the behavioral finance describe this process. Based on the structural friction, the market microstructure theory investigates how the trading mechanism imposes to it. And based on the cognition biases, the behavioral finance does how about the investor psychology too. Basically, the cognition biases can be impounded into the price through the updating of information and belief. This is the critical to the market, as well as the interaction of the two theories.