资产结构与证券价格的非线性动态模型

Abstract

Abstract: According to the behavioral finance experiments with real people, a mathematical model which describes relationship between the average market investment attitude and stock price is constructed.Firstly, the stability of the model is investigated by the related theory of nonlinear discrete dynamic system, and then contagion effect is identified based on whether financial market is stable.Numerical simulations indicate that there exists an optimal contagion effect in the region of rational contagion effect.It can make the stock price convergence to equilibrium price with the fastest speed.Furthermore, the relationship between capital structure and stock price volatility is also investigated in the region.Specifically, under the influence of rational contagion effect, when the numbers of long position traders and short position traders are roughly equal in the market, share price volatility shows a parallel trend with slight amplitude; when the number of long position traders are more (less) than the number of short position traders, share price volatility shows a decline (an upward) trend in huge amplitude.

Key words: capital structure, stock price volatility, contagion effect

CLC Number:

F830.9
F224

LIU Xiang-dong, LIU Cheng, WANG Li-min. Nonlinear Dynamic Model of Capital Structure and Security Price[J]. Chinese Journal of Management Science, 2012, 20(6): 9-17.

References

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Nonlinear Dynamic Model of Capital Structure and Security Price

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