Study On Changes Of Investers’ Expectaion In Sharp Fluctuation Of Stock Price

Expectation theory is a connection of macroeconomics and microeconomics;meantime, it’s also intersection of economics and psychology. Expectation theoryrefers to the basic hypothesis of economics; therefore, it belongs to the foundation ofeconomics theory skyscraper. Lots of economists have presented their own opinionsabout mechanism of expectation formation, but since there aren’t enough analysis onrelationship and difference between various expectations theories, researchers maketheir own choices when selecting expectation theories. Otherwise, with the constantincrease of inflation rate and impressive fluctuation of commodity prices, there aretoo much discussion about inflation expectation and price expectation, however,there’s little reference to the mechanism of expectation, so it’s quite necessary tostudy expectation theory not only for its theoretical value but also for its practicalsignificance.The paper mainly involves3topics:(1) Relationships among the4expectationtheories and restrictions of different expectation theories (2) Law of trading volumeand price based on speculative demand (3) Research of the changes of investors’expectation in the fluctuation of stocks’ price.To the first question, when describing expression process, the4expectationtheories may coincide with each other or complement each other, therefore, it’snecessary to definite the relationship of the4theories for practical application, anddefining their restriction is also beneficial to resolve some actual problems.According to the formulas of4expectation theories, I introduce to mathematicaldeduction lagged operator, and prove that there’s a sequential embodied relationshipof static expectation, trend extrapolation expectation, adaptive expectation andrational expectation, furthermore, I respectively elaborate the expectation mechanismof the4expectation theories.To the second question, although expectation exist in many fields, it unfoldsmore obvious for the influence of emotion in the trades of financial products wherethe prices fluctuate sharply and frequently. As a result, I choose some speculativevarieties to do research. In the paper, I definite common commodity and virtualinvestment scheme, and analyze their value formation and price domination,afterwards I discuss the law of supply and demand of common commodity, andborrow analytical framework of western economics and analyze the law of trading volume and price based on speculative demand using dynamic equilibrium model, andget the relationship of the two elements.To the last question, the paper’s study object is Shanghai Stock Exchangecomprehensive index, I divide the data into3time period-June6th,2005to October16th,2007(corresponding index998-6124), October17th,2007to November6th,2008(corresponding index6124-1664) and November7th,2008to July31st,2009(corresponding index1664-3478). And I respectively establish6state spacemodels according to trend extrapolation expectation and adaptive expectation theoryas well as the law of trading volume and price based on speculative demand. Theresults show that the defined restrictions for the4expectation theories are effectiveand get the conclusion that expectation has the characteristics of duration andexaggeration in the sharp fluctuation of stock price.At last, according to the mathematical deduction and empirical analysis of thelaw of expectations changes when the price fluctuates sharply, I give someconclusions and suggestions to the movements’ macro-control effort.