Behavioral heterogeneity and excess stock price volatility in China

被引：9
作者：
Zhang, Wei [1 ,2 ]
Zhou, Zhong-Qiang [1 ]
Xiong, Xiong [1 ,2 ]
机构：
[1] Tianjin Univ, Coll Management & Econ, Room A620,6th Floor,25th Bldg,92 Weijin Rd, Tianjin 300072, Peoples R China
[2] Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2019年 / 28卷
基金：
中国国家自然科学基金;
关键词：
Behavioral heterogeneity; Stock prices; Excess volatility; Fundamental values; INVESTOR SENTIMENT; MARKET VOLATILITY; ISING-MODEL; CRASH; TOO;
D O I：
10.1016/j.frl.2018.06.004
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper investigates excess stock price volatility in China using a heterogeneous agents model (HAM) with fundamentalists and chartists. We use the dynamic Gordon price-dividend model to estimate the fundamental values of the CSI 300 index from April 2005 to December 2017. The value of excess stock price volatility is obtained by the deviation of the realized value from the fundamental value. After calibrating the HAM using the CSI 300 monthly data, we find that this model can significantly explain the booms and busts of the Chinese stock market in the sample period.
引用
收藏
页码：348 / 354
页数：7
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