交易者异质性条件下系统风险冲击与企业创新能力对股票价格波动性的影响机理:理论模型与仿真分析

陈其安, 张慧

系统工程理论与实践 ›› 2020, Vol. 40 ›› Issue (11) : 2798-2809.

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中国科学院数学与系统科学研究院期刊网
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系统工程理论与实践 ›› 2020, Vol. 40 ›› Issue (11) : 2798-2809. DOI: 10.12011/1000-6788-2019-2097-12
论文

交易者异质性条件下系统风险冲击与企业创新能力对股票价格波动性的影响机理:理论模型与仿真分析

    陈其安, 张慧
作者信息 +

Effect mechanism of systemic risk shock and enterprise innovation ability on stock price volatility under the condition of trader heterogeneity: Theoretical model and simulation analysis

    CHEN Qi'an, ZHANG Hui
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文章历史 +

摘要

基于信息交易者和非信息交易者行为特征，建立数学模型从理论上研究交易者异质性条件下系统风险冲击与企业创新能力对股票价格波动性的影响机理，并利用MATLAB编程对理论模型结果进行仿真分析.研究结果表明：企业创新能力在任何系统风险冲击和交易者结构下都将发挥股票价格稳定器作用；在企业创新能力较高时，股票价格波动性与信息交易者持股比例负相关，与系统风险冲击之间的相关性因交易者结构不同而呈现出不同特征；在企业创新能力较低时，股票价格波动性与系统风险冲击正相关，与信息交易者持股比例之间呈U型关系；信息交易者持股比例较高的股票市场更具优胜劣汰选择机制.提升企业创新能力、提高信息交易者持股比例、完善信息披露制度是抵御系统风险冲击、保障股票市场稳定可持续发展的重要途径.

Abstract

Based on the behavioral characteristics of informed traders and non-informed traders, a mathematical model is established to theoretically research effect mechanism of systemic risk shock and enterprise innovation ability on stock price volatility under the condition of trader heterogeneity, and then the simulation analysis for the theoretical model results is made by MATLAB programming. The main results are as follows. The enterprise innovation ability will play the role of stock price stabilizer under any systemic risk shock and trader structure. When the enterprise innovation ability is high, the stock price volatility is negatively correlated with the informed trader's shareholding ratio, and the correlation between the stock price volatility and the systemic risk shock shows different characteristics due to different trader structures. When the enterprise innovation ability is low, the stock price volatility is positively correlated with systemic risk shock, and there is a U-shaped relationship between the stock price volatility and the informed trader's shareholding ratio. The market with a higher informed trader's shareholding ratio has a better market selection mechanism of survival of the fittest. Enhancing enterprise innovation ability, increasing informed traders' shareholding ratio, and improving information disclosure system are important ways to resist the systemic risk shock and ensure the stable and sustainable development of stock market.

关键词

系统风险冲击 / 企业创新能力 / 交易者异质性 / 股票价格波动性

Key words

systemic risk shock / enterprise innovation ability / trader heterogeneity / stock price volatility

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陈其安 , 张慧. 交易者异质性条件下系统风险冲击与企业创新能力对股票价格波动性的影响机理:理论模型与仿真分析. 系统工程理论与实践, 2020, 40(11): 2798-2809 https://doi.org/10.12011/1000-6788-2019-2097-12
CHEN Qi'an , ZHANG Hui. Effect mechanism of systemic risk shock and enterprise innovation ability on stock price volatility under the condition of trader heterogeneity: Theoretical model and simulation analysis. Systems Engineering - Theory & Practice, 2020, 40(11): 2798-2809 https://doi.org/10.12011/1000-6788-2019-2097-12
中图分类号： F830.9   

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基金

中央高校基本科研业务费（2020CDJSK02TD03）；国家社会科学基金重点项目（19AGL013）
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