股票市场正反馈交易的空间溢出效应——基于新冠疫情冲击的计量检验
Spatial Spillover Effect of Positive Feedback Trading in Stock Markets:Based on Econometric Test Under the Shock of COVID-19 Pandemic
田树喜 1丁秀瑜 1王健1
作者信息
- 1. 东北大学 工商管理学院,辽宁 沈阳 110169
- 折叠
摘要
利用空间自相关正反馈交易模型,对新冠疫情爆发前后国际股票市场的正反馈交易进行了检验.结果表明,新冠疫情爆发后国际股票市场正反馈交易显著增强并呈现空间相关特征.相关国家反危机的调控措施,虽然一度抑制了股票市场下行,但同时强化了投资者非理性的外推性预期,加剧了股票市场正反馈交易的空间溢出效应.因此,在新冠疫情不断持续的情况下,监管当局应充分考虑反危机调控措施对投资者心理账户和市场预期的影响,防范疫情冲击下股票市场正反馈交易空间溢出的风险联动效应.
Abstract
Based on the spatial autocorrelation positive feedback trading model,the positive feedback trading was tested in the international stock markets around the outbreak of COVID-19 pandemic.The results showed that the positive feedback trading in the international stock markets enhanced significantly with spatial correlation after the outbreak of COVID-19 pandemic.Although the anti-crisis regulatory measures once reversed the decline of stock markets,they also strengthened the irrational extrapolation expectations of investors and aggravated the space spillover effect of positive feedback trading in the stock markets.Therefore,facing the persistence of COVID-19 pandemic,the regulatory authorities should take better account of anti-crisis regulatory measures,which may affect investors'psychological accounts and extrapolative expectations.Moreover,under the shock of COVID-19 pandemic,effective measures should be implemented to prevent the risk linkage due to the spatial spillover of positive feedback trading in the stock markets.
关键词
股票市场/外推性预期/正反馈交易/新冠疫情/空间溢出效应Key words
stock market/extrapolative expectation/positive feedback trading/COVID-19 pandemic/spatial spillover effect引用本文复制引用
出版年
2024
NETL
NSTL
万方数据