| The phenomenon of abnormal fluctuations in China's stock market is very prominent.Except for the abnormal fluctuation of individual stocks,the abnormal fluctuation of stock indexes is also more frequent.Abnormal fluctuations in stock prices will increase the systemic risk of the entire financial system and distort stock price signals as an indicator of resource allocation.Therefore,it is of great significance to study the reasons for the abnormal fluctuations in the Chinese stock market.Existing research mainly studies this from different perspectives such as insider trading,irrational behavior and leveraged trading.Based on the existing literature,this thesis constructs an artificial stock market by using Netlogo software,simulates the abnormal fluctuation of stock price,and analyzes the risk of abnormal fluctuation.In order to study the influence of insider trading and irrational behavior on the abnormal fluctuation of stock price,this thesis adds informed traders,trend traders and noise traders to the constructed artificial stock market.The first two chapters represent the insider traders and irrational traders in the market.By adjusting the structure of market investors,this thesis simulates various situations in which stock prices fluctuate abnormally.Then,based on the original market model,leveraged traders are added,and the phenomenon of abnormal fluctuations in the market of leveraged traders is studied under a longer simulation cycle.The results of this thesis show that stocks with greater possibility of insider trading are more prone to stock price volatility.The irrational behavior of investors using technical analysis(trend trading)will magnify the possibility of abnormal fluctuations in stock prices.When any of the factors of insider trading and irrational behavior play a leading role in the market,the probability of abnormal stock price fluctuations will increase.Further,when there is leveraged trading behavior in the market,the stock price tends to rise abnormally and the staged cliff-like decline,which magnifies the possibility of abnormal fluctuations in the stock price.Increasing the proportion of leveraged traders in the market will magnify the extent to which stock prices fluctuate abnormally.In addition,through the calculation of the daily risk value(VaR)based on the GARCH model,this thesis finds that the VaR value can better reflect the risk of abnormal fluctuation of the stock price.When the stock price has a large abnormal fluctuation,the VaR value also increases accordingly.This means that the maximum possible loss of stock price in the future will increase.In general,the existence of leveraged trading will increase the overall risk of stock prices.The contributions of this thesis are:(1)First,the existing literature lacks the phenomenon of abnormal stock price fluctuation from the perspective of simulation.From the academic level to the actual level,studying the abnormal fluctuation of stock price is of great significance to the healthy development of security market.(2)Secondly,this thesis uses Netlogo simulation software to construct an artificial stock market,which can study the abnormal fluctuation of stock price from a dynamic perspective,and can consider individual interaction and heterogeneity at the micro level,and can measure trader behavior better.(3)Thirdly,this thesis validates the theoretical prediction or empirical views of the previous literature by constructing the artificial stock market,and deeply analyzes the relationship between insider trading,irrational behavior and leveraged trading and stock price volatility in a unified analytical framework.Frequent abnormal fluctuations provide a more comprehensive theoretical explanation for the Chinese stock market.And through simulation,this thesis can reproduce the abnormal fluctuations in many different situations,and have certain reference value in the aspect of preventing stock market disasters.According to the above research conclusions,this thesis proposes ways to reduce information asymmetry,improve disclosure and information transmission mechanism,enhance professional education for small and medium investors and reduce irrational investment behavior,strengthen supervision of investment banks,optimize the leverage structure of stock market,and finally improve the stability of China's stock market. |
PDF Full Text Request