主管:中国科学院
主办:中国优选法统筹法与经济数学研究会
   中国科学院科技战略咨询研究院

Chinese Journal of Management Science ›› 2019, Vol. 27 ›› Issue (10): 12-21.doi: 10.16381/j.cnki.issn1003-207x.2019.10.002

• Articles • Previous Articles     Next Articles

Investor Heterogeneous Beliefs, Expect Evolution and Stock Market Liquidity

YIN Hai-yuan, Zhu Xu   

  1. International Business School, Shaanxi Normal University, Xian 710119, China
  • Received:2018-08-22 Revised:2018-09-19 Online:2019-10-20 Published:2019-10-25

Abstract: The paper attempts to explore the internal relationship between heterogeneous beliefs and market liquidity, from the perspective of investor cognition and information asymmetry. Describing the investor's prior's beliefs with cognitive bias and making information asymmetry as the motivation for the renewal of posterior heterogeneous beliefs, investors adjust their beliefs according to the Bayesian learning process by using the information set they currently possess, and generate new posterior beliefs to trigger different decision-making behaviors. It has caused market shocks and changed the liquidity of stocks.
The relationship between heterogeneous beliefs and liquidity in two-phase transactions is studied. There are n types of investors. Heterogeneous beliefs are defined as different expectations of the intrinsic value of stocks. The current information set owned by the investor can be divided into the real intrinsic value information V* and the noise information εi,t of the stock. All investors will receive the same information about the true intrinsic value of the stock, but investors will judge it according to their own cognitive bias as V.So in fact each type of investor judges the information structure forIi,t=V+εi,t.According to Bayes rule, the posterior belief of investors can be constructed. In addition using Samuelson's Over Lapping Generation Models (OLG) considers the relationship between investor heterogeneous beliefs and stock liquidity in the two-period trading process.
It is found that the degree of volatility of investor heterogeneous beliefs, investor risk aversion and information asymmetry are negatively correlated with stock market liquidity; while investor size is positively correlated with stock market liquidity. Further, it is assumed that the process of investor expectation evolution is a Markov Decision Process (MDP). Using MATLAB to numerically simulate the multi-period transaction process is verified that the above rules are still valid in the case of investors' expected evolution. The conclusion of this paper extends research scope of behavioral finance and market microstructures, and has certain reference value for investors to optimize decision-making behavior.

Key words: heterogeneous beliefs, expect evolution, stock market liquidity, cognitive bias, information asymmetry

CLC Number: