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Research On Stock Bubbles And Investor Behaviors

Posted on:2011-06-02Degree:DoctorType:Dissertation
Country:ChinaCandidate:M H WangFull Text:PDF
GTID:1119330332972573Subject:Finance
Abstract/Summary:PDF Full Text Request
The study of bubbles has a more than 30 years'history and the study of investor behaviors, nearly 100 years. This dissertation focuses on stock price bubbles and investor behaviors. It includes almost every aspect of stock bubbles. Based on Predecessors' achievements, this dissertation tries to put out theoretical analysis and empirical test.The first chapter is the introduction. It elaborates the research purpose and significance of stock bubbles and investor bahaviors, gives a brief overview of some important and difficult points, and also a chart showing the basic framework of this article. In the end of this chapter is a summary of innovations. The second chapter is the literature review. This chapter list important documents used in this article.There are empirical analyses of the stock market bubble in the third chapter. Based on the method proposed in previous studies, we put two new methods of rational bubble testing in this paper-dynamic duration dependence and dynamic third state MDL method. We also applied them to the stock market. The empirical results show that the two methods have some innovations, and also have more effective test results.Chapter IV of this article is about the noise trading model and the irrational bubbles. By introducing different types of investors, such as noise investors and informed investors, and setting the information bias, we get the two types of investors to maximize the expected utility function respectively. In according with the principles of market equilibrium, we find the market equilibrium price. Then just considering informed investors, we can get another market equilibrium price. The difference is the irrational bubbles caused by intruducing irrational traders.In Chapter V, the momentum investors trading analysis is discussed. According to the research of momentum strategy, we compare the excess earnings of different conditions and analysis the maybe excess earnings if pulling in the sell short mechanism. Results show that under the short mechanism, the momentum strategy will make the operation more flexible and easy to get more profits. ChapterⅥof this dissertation is the empirical study of feedback trading behaviors. Through the improvement of existing models, we discuss the feedback trading under the GED tail distribution model, Markov switching model and interest rate model and analyze the relationship of Chinese stock market fluctuations and investors feedback trading.ChapterⅦis the research of investor sentiment. It uses investor sentiment index to analyze the problem. First, we list the current sentiment indexes, and give the analysis method of comprehensive indexes. Then, by analyzing the shock affect of sentiment index into stock market volatility, we want to explain the relationship between investor sentiment and stock market volatility. ChapterⅧis the policy recommendations. According to several issues raised in this article, we give specific and detailed policies and suggestions. Finally, ChapterⅨis a summary of this article and follow-up of future prospects.
Keywords/Search Tags:Irrational Bubbles, Noise Trading, Momentum Trading, Feedback Trading
PDF Full Text Request
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