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Investor Structure And Stock Price Behavior--Simulation And Empirical Study

Posted on:2005-07-25Degree:DoctorType:Dissertation
Country:ChinaCandidate:M TianFull Text:PDF
GTID:1116360152468201Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
We set up a special model of Chinese stock market in this paper, founded on the investor structure and investors' different behavior assumption, using simulation method. We validate this model through empirical study. Finally, we analyze the effect of many regulations of Chinese stock market through this model, and then give out some suggestions.There are many shortcomings in Chinese stock market, such as lack of supervise organization of listed company, incomplete information revealing system, incomplete security supervise system, etc. Driving by there interest, big investors change to the manipulators in stock market as they have the advantages of both information and money. Small investors follow their actions as they lack of information and risk aware. Therefore, stock prices behavior in Chinese stock market has different characteristics from the maturity market.Thus, we bring forward a model based on the investor structure. It has following characteristics:Firstly, we not only assume the information acquiring ability asymmetry between manipulators and small investors but also assume that they use different method to price stocks. Manipulators price stocks with their inside information and their control targets, while small investors price them with history data.Secondly, we use an order driving model and a simulation method to analysis, different with the traditional equilibrium method. Thirdly, we assume different investors have different market power, different from the tradition competition assumption. Manipulators have more market power than small market through diversify their stockholdings, and they can make prices through trading with themselves; while small investors can only accept prices.Through this model, we find that: Firstly, information pre-revealing exists with manipulation. Secondly, prices can be predicted in this market. These two conclusions are verified by empirical analysis, which means that our model is accord with the real Chinese stock market.Finally, we analyze the effect on manipulations of many regulations of Chinese stock market through this model, and point out that: price limit, borrowing restrictions and transactions fee increasing have no real effect on manipulation; only investor structure improvement, rational investor entrance and insider trading management can improve market.
Keywords/Search Tags:stock price behavior, simulation study, investor structure, regulations
PDF Full Text Request
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