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dc.contributor.author陈国进
dc.contributor.author陶可
dc.date.accessioned2012-12-30T11:57:03Z
dc.date.available2012-12-30T11:57:03Z
dc.date.issued2011-02
dc.identifier.citation系统工程,2011(2):1-8zh_CN
dc.identifier.issn1001-4098
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/14194
dc.description.abstract基于套利者提前获取股票价值低估等信息假设,在理性均衡分析框架下,探讨套利者导致泡沫的内在机制。主要结论是:在有噪声情况下,股票价格是套利者比例的增函数,当套利者达到一定比例后,股票价格将超过真实价值,套利者的"拥挤交易"导致价格出现明显泡沫;经验证据表明机构投资者的拥挤交易是蓝筹股泡沫产生的重要原因。Based on the information hypothesis on receiving underv alued stocks of ar bitrag eurs and a rat ional equilibrium analysis framework, we study the internal mechanism of the bubble and find that stock price is an increasing function o f the proportion of arbitrag eurs when there is noise. But when arbitrag eurs reach a certain proportion, stock price will supass the real value, and the crowed trading of arbitrag eurs will lead to obvious bubble. The empirical evidence suggests that the crowding trade of institutional investors is the important reason why blue chip bubble is coming into being .zh_CN
dc.description.sponsorship国家自然科学基金资助项目(71071132)zh_CN
dc.language.isozhzh_CN
dc.publisher系统工程编辑部zh_CN
dc.subject蓝筹股泡沫zh_CN
dc.subject拥挤效应zh_CN
dc.subject正反馈zh_CN
dc.subject机构投资者zh_CN
dc.subjectBlue Chip Bubblezh_CN
dc.subjectThe Crowding Effectzh_CN
dc.subjectPositive Feedbackzh_CN
dc.subjectInstitutional Investorszh_CN
dc.title机构投资者的拥挤效应与蓝筹股泡沫zh_CN
dc.title.alternativeThe Crowding Effect of Institutional Investors and Blue Chip Bubblezh_CN
dc.typeArticlezh_CN


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