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Research on the Transmission Mechanism of the Impact of the Stock Mraket of the Emergencies Based on Heterogeneous Agent Model

Author: ChenYong
Tutor: FengJin
School: Harbin Institute of Technology
Course: Finance
Keywords: Unexpected Events Stock Market Heterogeneous Agent Model Stability ofthe System Transmission Mechanism
CLC: F832.5
Type: Master's thesis
Year: 2013
Downloads: 2
Quote: 0
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Abstract


Unexpected events impact on the stock market has become aone of the issues ofscholar and managers most concern, and the current research has focused on theevent study method, not the formation of unexpected events impact on the stockmarket in general research methods and conclusions. In this paper, we used theheterogeneity of investor behavior analytical framework, research emergenciesimpact on China’s stock market conduction mechanism.Firstly, combined with the existing research results, we defined the unexpectedevents, and classified the emergencies by basic taxonomy and the marketperformance of the stock market after the impaction; Secondly, we analyzed theemergencies impact on China’s stock market conduction mechansm. Thirdly, in theexisting research results derived based on the impact of unexpected events nonlinearfunction; based on the heterogeneous agent model and considered on the basis of therelevant provisions of China’s stock market and restrictions established emergenciesimpact on China’s stock market heterogeneous agent model. Forthly, we use theLyapunov second theorem proved that the heterogeneous agent model isasymptotically stable; and the use of research results of approximate systemdemonstrated that the heterogeneous of agent model with impaction conditions islocally asymptotically stable. The result indicates that the heterogeneity of this agentmodel to build the final output value does not depend on the initial input value.We build a multi-objective parameter optimization model, using the ShanghaiComposite Index from January1,2007to December31,2012closing price caculatethe heterogeneity of China’s stock market agent model parameters. The resultsindicates that China’s stock market is higher degree of irrationality. The use ofsimulation to study the incident before the impact on China’s stock market stockmarket environment before the impaction of emergencies and internal features of theemergencies after impact on China’s stock market investor behavior and marketperformance. Simulation results show that the market environment before theoutbreak of unexpected events directly affect the investor behavior thereby affectingperformance of the stock market after the outbreak of unexpected events; internalfeatures of emergencies directly affect the behavior of investors in the stock marketand thus there is a significant affecting of market performance after the outbreak ofunexpected events. In addition, the study also found that unexpected events impactstrength reaches a certain extent, the impact of unexpected events in the stockmarket after the market charting in investment strategies fail, the market chartinvestor was significantly decreased, while the proportion of fundamental investors significant rise, the market performance is more rational. However, the thresholdvale of the strength of the impaction of unexpected events on the stock marketmakes the performance of the stock market more rational remains is to be furtherstudied.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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