謠言與金融市場之投資行為

The Rumours and Investment Behavior in Financial Market

鄭宇超(Yu-Chao Jheng)

指導教授 ： 楊秉訓

淡江大學/商管學院/經濟學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00441

摘要

本文的研究目的在於瞭解投資者接觸謠言時，其決策是否受到謠言的影響而有所改變。我們假設謠言具有利多的性質，並考慮過往文獻未考慮到的部分，如投資者本身有可能信念回復的情況。並進一步考慮投資者在謠言發生後的決策問題，考慮政府政策的影響，以及投資者的人格特質可能受到教育程度的影響等課題。本文針對謠言對投資者的影響，以馬可夫鏈模型來討論長期之下投資者面臨謠言時的反應。
我們發現，最適投資金額與最適期望效用水準分別與財富、獲利率、原有信念值和新的信念值、受謠言影響的機率、謠言傳播者人數以及社交頻繁程度等外生變數呈正向關係，而與損失率、跨期自信程度、所在區域總人數和投資者頑固程度呈反向關係。在考慮有借貸行為的情形之下，比較靜態的結果與沒有借貸行為時的影響方向相同，且借貸利率與最適投資金額和最適期望效用水準呈現反向的關係。
在教育程度方面，我們發現投資者教育程度的提升，會使最適投資金額和最適期望效用水準下降。有關政府實施揭露真實訊息的政策方面，若政府愈能落實真實訊息的揭露，投資者的最適投資金額和最適期望效用水準皆會提高。最後，若投資者擁有完美訊息，將使投資者的最適期望效用水準提高，而最適投資金額是否增減則視完美訊息屬於何種自然狀態而定。

關鍵字

謠言 ； 金融市場 ； 馬可夫鏈 ； 投資

並列摘要

The purpose of this study is to investigate the investor’s behavior with rumours. We assume that the rumours will benefit investors. We take account of those features the previous literature did not deal with, such as the probability the investor to recover his beliefs about the chance to earn profit. We focus on the decision-making problem of representative investor with rumours, analyzing the comparative statics of the optimum investment and the optimal expected utility. The method of Markov chain is used to study the impacts of rumours in the long run. Moreover, we consider the impacts of government policy to expose true information, as well as the influences of personality characteristics of investor such as level of education.
We find that the optimal amount of investment and the optimal expected utility rise when specific exogenous variables improve, such as profit rate, the original belief value and the new one, the probability of belief affected by rumours, the number of people who spread rumour and the degree of social intercourse. We also know that the optimal amount of investment and the optimal expected utility decrease when other exogenous variables decline, for example, loss rate, intertemporal confidence, the number of population at nearby region and the degree of stubbornness. However, considering the propobility of borrowing a fund, we find that the optimal amount of investment and the optimal expected utility decrease when interest rate rises.
If the level of education improves, the optimal amount of investment and the optimal expected utility will decline. On the contrary, when the government carries out a policy to expose true information, the optimal amount of investment and the optimal expected utility will increase. Finally, perfect information held by investors will cause the optimal expected utility of investors to increase; nevertheless, the optimal amount of investment changes depending on the state the perfect information concerned.

並列關鍵字

Romour ； Financial market ； Markov chain ； Investment

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