Investors’Heterogeneity And The Stock Price Volatility

Modern finance theory is based on rational man hypothesis and efficient markethypothesis. Classic of the capital asset pricing theory with its almost perfect simpleassumptions and graceful form has been constantly improved into a relatively maturesystem of theoretical research framework by the scholars in the field of economicsresearch in a long time. However, with various financial visions were found insuccessions, the classic asset pricing theory seems insufficiently to explain theexistence of various “mysteries” in the stock market, and the two major theoreticalfoundations are questioned by people gradually. At the same time, some evidence alsoshows in empirical research, the classical theory of assets can not explain the varietyof financial visions in the stock market while the behavior asset pricing theory hasdeep development of behavioral finance conveniently. Investors’ heterogeneity wasintroduced into behavioral asset pricing theory which successfully explained some ofthe stock market “mystery”, that is financial visions. Therefore, it has great theoreticaland realistic significance to introducing investors heterogeneity into the study of assetpricing.In this paper, it exists research results and literature data in domestic and foreignabout the relationship of investors’ heterogeneity and the share pricesfluctuate.respectively, from the theoretical and empirical generalizes.Then it says theinvestors’ heterogeneity and related theory knowledge of asset pricing theory in detail,which is the precondition of heterogeneous effect on stock price mechanism research.Put investors heterogeneous beliefs as a variable into the asset pricing model, andmodel the relationship of investors’ heterogeneity and stock price change of direction.And on the basis of relevant theories and models, this paper uses the “bull-bearindex” as investors heterogeneous agent variable, and put it in the ARCH classmodels, use our csi300index on the relevant empirical analysis, to explan therelationship between investors’ heterogeneity and monthactive relationship stockmarket volatility according to the results consistent with the theory and model.