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Positive Feedback Trading and Over-volatility of Assef Price

Author: WangMingCan
Tutor: OuYangYong
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: Asset prices Volatility Positive feedback trading
CLC: F293.3;F224
Type: Master's thesis
Year: 2010
Downloads: 87
Quote: 1
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Abstract

Asset price volatility has always been a fascinating topic, since the financial market, asset price volatility has been accompanied by the haunting masterpiece of human wisdom. Asset price volatility is the extreme form of the emergence and bursting of the bubble, it is no exaggeration to say that a bubble world financial history is a history of the rise and burst. The rise and burst the bubble of financial markets witnessed a boom and bust, the rise of the foam as if the eyes of investors comedy, it is often accompanied by a bubble memorable tragedy. Tulip bubble burst let maritime carriage Fu Helan crashing drained; Mississippi bubble to the Frenchman brought heavy losses; South Sea Bubble makes British company opened a century-long ban, but also makes the great Sir Isaac Newton sent a pair the madness of lament; Irving Fisher in 1929 declared that \bursting of the bubble is Japan's \Villa chicken, \It is these persistent and asset price bubbles, and the bubble burst after the painful lesson makes asset price volatility has become a very interesting topic, has attracted numerous economists and other wise, but it also makes a financial asset pricing school and the whole economics enduring topic. Combined with the actual situation of our country, our country is still an emerging market economies. Although China's capital market in the last 20 years has made great development, but we have taken a gradual reform, the capital market is still in the early stages of development, increasing national wealth in our country, a growing number of wealthy families while The corresponding financial planning market has not been synchronized development, while the depth and breadth of the capital market is also not enough. Prior to the U.S. subprime mortgage crisis deepened, the Wall Street financial crisis. U.S. financial crisis on the financial markets and allow people to re-examine the financial risks. As Chinese, we have to take seriously the asset bubble impact on people's lives. This paper analyzes the theory and practice of short selling restrictions in the positive feedback trading under the expanded asset price volatility, to build a feedback trading currency asset price volatility model, and then conduct an empirical analysis of this model. Empirical analysis mainly on the SSE 50 component stocks from January 1, 2008 to January 1, 2009 the daily yield for self-correlation analysis, and then on their daily return rate volatility analysis, combined with the two analysis results reflected positive feedback Exchange daily yield positive correlation indeed yield on asset prices fluctuate day to contribute. This paper is divided into five parts: the first part, a brief introduction of this writing background and significance, as well as research methods and structural framework, in general, on the content of this study, there is a basic understanding of the purpose: Part II, constructed a credit rationing model illustrates the asset price volatility impact on the economy doubled; Part III summarizes the positive feedback trading model is the theoretical basis for modeling find the basis of this article: The fourth part of the main theoretical part of this paper to construct a Positive feedback trading under the asset price equilibrium model, indicating positive feedback trading on asset price fluctuations; fifth part, through the SSE 50 constituent stocks of the third part of the empirical analysis confirms the conclusions of the model; sixth part, summarized the The paper concludes with deficiencies.

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