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异质信念、卖空限制与我国股市的暴跌现象研究
陈国进, 张贻军
金融研究 2009年第4期,P80-90
#002102 20131014 (published)
本文在我国股市限制卖空的制度背景下,以Hong和Stein(2003)的异质信念模型为基础,运用固定效应条件Logit模型(CLFE) 检验了异质信念与我国股市个股暴跌之间的关系。研究发现,我国投资者的异质信念程度越大,市场(个股)发生暴跌的可能性越大。因此,采取各项措施降低投资者的异质信念、及时推出融资融券和股指期货等双向交易手段有利于降低我国股市发生暴跌的概率。 Based on Hong and Stein(2003)heterogeneous beliefs model, this paper employs Conditional Logit with Fixed Effect(CLFE) model to investigate the relationship between heterogeneous beliefs and the crash of individual stocks in the Chinese stock markets with short sale restriction. The results indicate that the crash phenomenon is more likely to occur when the more serious heterogeneous beliefs exist among investors. We suggest that the crash phenomenon will decrease and the market will be more stable if we take the measures to reduce differences of opinion among investors and the relaxation of short sales.
JEL-Codes:
Keywords: Heterogeneous Beliefs, Short Sale Restriction,Stock Price Crash 异质信念、卖空限制 暴跌


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