基于内生性社会学习机制的股票市场参与决策研究

In the neo-classical paradigm, the interpretation of the "equity premium puzzle" relies on the assumption of limited market participation; however, under the high equity premium, the micro bodies do not fully participate in the market is in contrary to the principle of expected utility maximization. In the face of the challenge posed by the "limited participation paradox", this project seeks to analyze the micro formation mechanism of incomplete participation in a stock market under the perspective of social learning. By introducing cognitive constraints and social network structure, we apply an endogenous social learning mechanism to the decision-making circumstance of micro subjects in stock market participation. First, we introduce the Bayesian sequential link handling mechanism to the experiment of risk investments in securities, and conduct comparative static analysis under the condition of endogenous social learning. Secondly, starting from the decision-making model of the incomplete information stock market participation, we derive the optimal stock market participation in decision-making as well as the stock market participation rate under equilibrium conditions while take endogenous social learning mechanism into account. Finally, with the technology of agent-based simulation to simulate the interaction of stock market and asset price dynamic mechanism, we embed the endogenous learning principles into the information diffusion and social contagion process. The research of this project can reduce the cognitive threshold of stock market and the cost of social learning. Moreover, it can improve the welfare of investors and financial consumers, and it also has realistic significance for the improvement of efficiency of resource allocation in China's financial market.

在新古典范式下，"股权溢价之谜"的解释依赖于有限市场参与的假定，而高企的股权溢价下微观主体不完全参与市场却违背了预期效用最大化原则。面对"有限参与悖论"所提出的挑战，本项目试图从社会学习的视角剖析股票市场不完全参与的微观形成机理。通过引入认知约束与社会网络结构，将内生性社会学习机制应用到微观主体股市参与决策情境中。首先，在风险证券投资实验中引入贝叶斯序贯链接处理机制，并在社会学习内生化的实验条件下进行比较静态分析。其次，从不完全信息股票市场参与决策模型入手，在内生性社会学习机制下推导最优的股票市场参与决策以及均衡条件下的股市参与比率。最后，将内生性学习原理嵌入到信息扩散与社会传染过程，借助基于Agent的仿真技术来模拟股市参与动态与资产价格动态的交互影响机制。本项目的研究对降低股市认知门槛与社会学习成本，增进广大投资者与金融消费者的社会福利，提高我国金融市场的资源配置效率具有现实意义。

在新古典范式下，"股权溢价之谜"的解释依赖于有限市场参与的假定，而高企的股权溢价下微观主体不完全参与市场却违背了预期效用最大化原则。面对"有限参与悖论"所提出的挑战，本项目试图从社会学习的视角剖析股票市场不完全参与的微观形成机理。通过引入认知约束与社会网络结构，将内生性社会学习机制应用到微观主体股市参与决策情境中。第一，对投资主体社会性学习原理研究。通过实验经济学的方法，在风险证券投资实验中引入贝叶斯序贯理性处理机制，研究股票市场投资主体信息披露以及信息瀑布的形成原理。第二，基于真实世界中微观主体行为的调查研究。通过实证研究的方法探究不同社会学习模式对投资者金融决策的影响。第三，基于内生性社会学习机制下的投资者最优参与决策研究。从不完全信息股票市场参与决策模型入手，在内生性社会学习机制下推导最优的股票市场参与决策以及均衡条件下的股市参与比率。本项目的研究对降低股市认知门槛与社会学习成本，增进广大投资者与金融消费者的社会福利，提高我国金融市场的资源配置效率具有现实意义。