基于多属性羊群行为的股票风险及其传染

以信息扩散和情绪传染为羊群行为形成驱动力,依据信息种类和来源、投资者改变交易量或交易方向以及订单买卖方向赋予羊群行为“内部”和“外部”、“隐性”和“显性”、“买入”和“卖出”等不同属性。在包含两只具有不同特性股票的人工股票市场中,对羊群行为形成机理及其对股票风险形成和传染的作用进行仿真研究。结果表明:投资者在无法获悉股票内在价值信息时,基于自信心和风险厌恶的情绪传染将引发显著的总体市场羊群行为;从单一股票风险形成来看,羊群行为导致股票价格波动扩大,其中隐性卖出羊群行为更好地解释了价格下跌风险;从股票间风险传染来看,当股票价格明显背离其内在价值时,内部羊群和外部羊群的交叉作用将导致风险传染发生。

The Study of Stock Risk and Its Contagion-Based on Multi-attribute Herding Behavior

Herding behavior,which was driven by information and emotion,was attributed with "internal" or "external","hidden" or "explicit","buy" or "sell" according to investors'' different information resources,changes in trade direction or trade volume by receiving the information and the trade direction of the submitted order. To study formation mechanism of herding behavior and its implication on stock risk and contagion,a artificial stock market containing two stocks with different characteristics has been constructed. The result has shown that total herding behavior was highly related to the average emotion in the stock market,that fluctuation of stock price was expanded by herding behavior significantly and hidden herding behavior has an explanatory for price falls in two stocks,that when the overall stock market soaring and the price of two stocks was much higher than its intrinsic value,risk contagion would be caused by interaction between internal herding and external herding.