Research On Evolutionary Game Of Behavior Of Security Investors In China And Equilibrium

In recent more than 20 years, foreign and domestic research on the investor behaviors has indicated that there is internal weakness in the EMH basing on the complete rationality hypothesis of investor. In reality, the investors on securities market are not the rational persons as described in the theory of traditional popular finance, but often behave limited rationality such as the investors' particular psychology error on uncertain condition and the "sheep group effect" on the investors' group behaviors. As a new capital market, our domestic security market especially possesses many non-efficiency characters, with more serious phenomena of noise trading than western developed security market. The market dominated by the noise trader often bears very high risk and venture with a result of price risk, which will destroy the reasonable collocation of sources, lead to a low efficiency of market information, and accumulate a lot of dormant risk. Therefore, it is very necessary and important to study the domestic investors' behaviors, especially their evolutionary mechanism.The purpose of this paper is to research the investors' decision-making behaviors and their evolutionary equilibrium result, mostly by the view of behavior finance theory and evolutionary game. In the logical framework of this paper, at first I orderly build up three evolutionary game models for security investors under condition of pure rationality trader, pure noise trader and common trader. Then, basing on the common trader model, I take into account of the practical condition of China, and analyze the parameters during period of 2001-2007 year, which impacting on the evolutionary mechanism of domestic security market, such as the measure of absolute risk aversion, the profit rate of no risk asset, the exchange cost, the base risk, the forecast warp and variance of profit rate of risk asset by noise trader, and so on. At last, according to the result of empirical research on the evolutionary equilibrium about the behavior of domestic security investors, I manage to find out the condition for our domestic security market to converge at rational trade tactic, and provide some corresponding policy' s advice.