Trading Behavior Of Stabilization Fund Based On Behavioral Heterogeneity

According to the framework of behavioral heterogeneity,this thesis establishes a behavioral heterogeneous agent model for stabilization fund based on economic funda-mentals,which can guide the fund's trading behavior in stock markets.The main tasks are as follows:First,I investigate excess volatility in China's stock market with a heterogeneous agent model(HAM).Using the data of the CSI 300 from 2005 to 2017,I estimate the HAM with fundamentalist and chartist,and find that the model can explain the big fluctuations in the stock market(including stock price fluctuations and equity premium fluctuations).The estimation results show that behavioral heterogeneity is the main cause of excess volatility.Second,a HAM for trading behavior of stabilization fund is established based on economic fundamentals.The model includes three types of investors:fundamentalist,chartist,and stabilizer.The novel agent,stabilizer,as the proxy of stabilization fund,who can adjust its market fraction according to fraction equation based on price devia-tion.When market volatility becomes larger,more stabilizers enter the market and try to maintain a balance of positive and negative feedback forces by guiding investors'"animal spirit".As the volatility decreases,the stabilizers leave the market gradually,and their intervention intensity is weakened.Lastly,the dynamic performance of this HAM is studied though agent-based com-putational analysis and chaotic dynamic analysis.The results of agent-based computa-tional analysis show that the intervention threshold and the depth of stabilization fund,and market characteristics such as investor beliefs have a great impact on the stabilizing effect.The bifurcation diagrams and Lyapunov exponents from chaotic dynamic anal-ysis illustrate the stabilization mechanism of this model,and theoretically explain the results of agent-based computational analysis.In short,this thesis makes four contributions to the literature on stabilization fund and HAMs.1)I first build a trading model for stabilization fund based on behavioral finance theory,which can explain and guide the fund's trading behavior.2)Stabilizer,a novel agent,is introduced in the traditional HAMs,which provides new perspective for studying the issues involving government intervention.3)The trading behavior of stabilization fund is first studied though agent-based computational analysis and chaotic dynamic analysis.4)HAM is first used to explain the excess volatility of the equity premium,which provides more comprehensive evidence for HAM to explain the excess volatility in stock market.