Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 郑环环教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jebo.2016.07.001 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要Instead of heuristical heterogeneity assumption in the current heterogeneous agent models (HAMs), we derive the trading heterogeneity by introducing information uncertainty about the fundamental value to a HAM. Conditional on their private information about the fundamental value, agents choose different trading strategies when optimizing their expected utilities. This provides a micro-foundation to heterogeneity and switching behavior of agents. We show that the HAM with trading heterogeneity originating from the incomplete information performs equally well, if not better than existing HAMs, in generating bubbles, crashes, and mean-reverting prices. The simulated time series matches with the S&P 5http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0 in terms of power law distribution in returns, volatility clustering and long memory in volatility. (C) 2http://aims.cuhk.edu.hk/converis/portal/Publication/016 Elsevier B.V. All rights reserved.
着者He XZ, Zheng HH
期刊名称Journal of Economic Behavior and Organization
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/016
卷号13http://aims.cuhk.edu.hk/converis/portal/Publication/0
出版社ELSEVIER SCIENCE BV
页次64 - 8http://aims.cuhk.edu.hk/converis/portal/Publication/0
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0167-2681
电子国际标準期刊号1879-1751
语言英式英语
关键词Endogeneity; Heterogeneity; Information friction; Stock returns; Stylized facts
Web of Science 学科类别Business & Economics; Economics
