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dc.contributor.author陈国进
dc.contributor.author陶可
dc.date.accessioned2012-12-31T03:14:56Z
dc.date.available2012-12-31T03:14:56Z
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/2288/14230
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 o n receiving underv alued stocks of ar bitrag eurs and a rat ional equilibrium analysis framewo rk, w e study the inter nal mechanism of the bubble and find that stock price is an increasing function o f the pr opo rtion o f arbitrag eurs when ther e is noise. But w hen arbitrag eur s reach a cer tain propor tion, sto ck pr ice w ill supass the real value, and the cr ow ed trading of arbitrag eurs will lead to obvio us bubble. The empirical ev idence sug gests t hat the crow ding trade of institutional investo rs is the important reason why blue chip bubble is coming into being .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 Cr owding 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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