A Research On Bounded Rationality-based Behavioral Asset Pricing Model

The traditional financial theory,which is based on the assumption of "rational person",cannot give a good explanation to the large number of "abnormalies" in the real market,which also reflects the limitation of the traditional financial theory to a certain extent.And behavioral finance on the financial market,the behavior of investors is not completely rational,unbiased and predictable related research,no doubt opened a new chapter in the field of financial theory research.In terms of domestic practice,the margin trading and short selling business has become an important part of China's A-share market operation mechanism.Taking into account China's emerging capital market in the system construction,especially in the margin trading and short selling as the representative of the credit trading system construction,there is a certain room for improvement;for the investment levels and ideas of various types of investors,there are also some room for improvement.Therefore,in order to understand the relationship between investors' irrationality and market mechanism,improve the level of investor investment decision-making and the decisionmaking of service securities market,this paper analyzes the bounded rational theory of securities market investors,the investor sentiment method applied to the empirical examination of the two aspects of margin trading and short selling.The main contents of this paper include the following five aspects:First,to establish a static asset pricing model based on the idea of bounded rationality.First,according to the two aspects of limited attention,and "sentiment function of anchoring and adjustment".The equilibrium pricing models are built on three different investor types,then we derive the demand function,balance the price and discuss the characteristics of the equilibrium.Finally,the model focuses on the "aggregated cancel" problem.The static model discusses the influence of two bounded rationality factors on gains and losses,rationality,demand,deviation,price,asymmetry and "aggregated cancel" under different market participants' assumptions.The static model shows that the effect of two bounded rationality factors is usually manifested as losses rather than gains;retail investors are more sensitive to market sentiment and are therefore forced to pay greater perceived loss as a cost;higher investor rationality or optimism of the market sentiment will lead to the increase in demand,then led to a rise in equilibrium prices;and two limited rational factors on the impact of equilibrium pricing there is an asymmetric effect.The TGARCH-M model of the empirical part of this paper also confirms the existence of this asymmetric effect.Second,on the basis of the static model,the transaction set is extended from single stage static to two stage dynamic,and the first order expectation is extended to the higher order expectation,and then the high order expected dynamic asset pricing model is established.Through the establishment of three different investors Type equilibrium pricing model,the equilibrium price is deduced and the equilibrium properties are discussed in comparative statics.The dynamic model shows that when the market sentiment is optimistic,investors will increase the demand for hedging,so the corresponding increase in aggregate demand,the price become increase,and vice versa;due to the existence of two types of bounded rationality,the early price of mispricing will increase,which will in turn reduce its impact on the latter part of the equilibrium price;higher order investors expect the strategy by the impact of pre-equilibrium price greater,so it is more emphasis on other players in the market strategy,rather than their own private information.Higher order expectations investors are more rational,and the firstorder expectation investors' rationality are more "bounded".Third,the B-W principal component method is used to construct the margin trading sentiment,and the short selling sentiment,and the effects of the market excess return is eliminated.Subsequent multivariate time series regression analysis showed that the margin trading sentiment had a positive effect on stock index earnings.For short selling transactions,the higher the indicators used to build the sentiment of the short selling,on behalf of the market on the more active short selling,the market become more "bearish",so the general direction of the two sentiments is the opposite.Higher investor access thresholds and stringent trading rules lead to a relatively high level of rationality for short selling investors.In addition,to different types of investor sentiment,the impact on the stock returns and volatility of the term structure are difference.Fourth,the empirical results of TGARCH-M models show that there is a significant negative correlation between the stock index and its own volatility,considering the different investor sentiment,there is a significant risk penalty effect.However,considering the different investor sentiment,the stock index is different from the asymmetric direction of the information shocks on the market.Only the regression results with margin trading sentiment have the "information leverage effect",that is,the asymmetric effect of different investors' sentiments will lead to increase or decrease of stock index volatility.Fifth,the vector autoregressive model test results show that: different types of investor sentiment impact on the stock index volatility are different,and with different periods,the corresponding results will be differences.The corresponding impulse response analysis further tests these results of the VAR model for 10 trading days.Finally,the variance analysis results show that the influence of the margin trading sentiment and the short selling sentiment have influence on the stock index volatility,and the influence of the changes of the margin trading sentiment is the biggest.All in all,this paper constructs the behavioral asset pricing model based on the three aspects of the bounded rationality,and carries on the data simulation analysis.By introducing the investor sentiment based on the idea of bounded rationality into the empirical test of China's margin trading and short selling,this paper demonstrates the application of bounded rational theory in the emerging trading mechanism of China's capital market.This article will help investors to further understand the capital market,and hope to serve the capital market regulation.