The New Theory Of The Stock Market--Anomalies And Mechanism Of Fluctuation In The Stock Market Based On Ambiguous Uncertainty

Efficient market hypothesis is the foundation stone of modern finance theory. This hypothesis is thinking that the investor is the rational, and man is makes the reaction with the method of linearity effect to information. By the reason of investors reaction to information is once reached immediately, all information are all reacted in price. Because the information arrival of tomorrow is random, the change of price is random. Thought of Efficient market hypothesis is the foundation, and William F. Sharpe (1964) have put forward capital model of CAPM , Stephen A. Ross(1976) has put forward again pricing theory of APT, Fischer Black and Myron Scholes (1973) has built the pricing theory of Options , and investment theory system has been built.In last the 80's, with the development of modern mathematics statistical technique, a large number of anomalies on stock market did not get explanation reasonably under Efficient market hypothesis.On the foundation that this doctor's thesis sum up and absorbs this domain documents, nonlinear phenomena and anomalies of stock market are researched. After raising a kind of the new " bounded rationality ", this paper brings anomalies of stock market into a general explanation and put forward the phase transition hypothesis of stock market.The concrete content of thesis is as follows:(1) After reviewing lasted documents, it put forward one kind of possible behavioral finance frame.(2) The research method of Social Interaction is one kind of research method of economic sociology, and this kind of method is thought that individual in the social system is not isolated, and relies on each other, perfect economics should have enough to explain the relation among individual. The method of Social Interaction has provided a very good approach for the research of social system beyond doubt.(3) Based on the foundation of new achievements in nature science, it put forward a new bounded rationality. It puts forward gray efficient hypothesis of market, and bring into the anomalies of stock market into one explanation frame.(4) The Society Imitation theory was introduced into stock market, we built the phase transition hypothesis of stock market, and this is a no linearity model.(5) Following the points of view of phase changes hypothesis of stockMarket, mechanism of the nonlinear phenomena of stock market is put into another explanation frame.(6) Following the points of phase changes hypothesis of stock market, the liquidity of stock market was researched under the condition of short sale.(7) Following the points of view of phase changes hypothesis of stock market, the strategies and thought of investment was summed up under the behavioral finance.