关键词: 异质交易者, 乐观情绪, 悲观情绪, 异质交易者结构, 股票波动

Abstract: Compared with the mature stock market, the Chinese stock market has typical sentiment market characteristics. This is due to the lack of professional knowledge of individual investors, the characteristics of emotional trading, and the high proportion of individual investor transactions. As a result, the motive of institutional collusion is stronger than the supervision effect, and the institution cannot effectively play the role of value correction, which affects the healthy development of the stock market. In addition, the research of foreign scholars is mostly based on the mature market of their own country, and the research is not applicable to China; the domestic research is mostly based on empirical analysis, and the theoretical analysis is insufficient and rarely focuses on the emotional trading behavior of heterogeneous traders. Therefore, from the perspective of investor sentiment heterogeneity, this paper divides stock market investors into optimistic traders and pessimistic traders, and uses the CARA utility function to establish a mathematical model that conforms to the characteristics of China's stock market. The actual impact of changes in the proportion of emotional traders on stock price volatility. The research results show that: when the proportion of optimistic traders is small, as pessimism eases, the effect of optimism on stock price volatility is an inverted U-shaped curve; and as optimism rises, the ease of pessimism has the same effect on stock price fluctuations. Inverted U shape. When the proportion of optimistic traders is high, both the increase in optimistic investor sentiment and the easing of pessimism will boost stock price volatility. From the perspective of the heterogeneous trader structure, the effect of the proportion of optimistic investors on stock price volatility is a positive U-shaped curve, and higher levels of optimism and lower levels of pessimism will lead to the reversal of their effects. Numerical simulations are also carried out in this paper to verify the rationality of the results in this paper. The research results of this paper better explain the existence logic of bull and bear markets, false information disclosure and inefficiency of macro-control policies in the emotional market, and provide suggestions for optimizing the structure of traders, improving the quality of information disclosure, and preventing systemic risks in the stock market. theoretical basis.

Key words: heterogeneous tradersl, optimism, pessimism, heterogeneous trader structure, stock volatility