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投资者心理及偏好的差异会导致股票价格偏离其内在价值,即股价被高估或低估,但在股票市场长期走势中股价会逐渐恢复常态并靠近真实价值。在此基础上,文章通过构建STAR-GARCH模型研究投资者异质性对股票价格发现功能的作用机理,为股票市场监管行为和投资者的理性投资行为提供借鉴。通过实证研究发现:异质投资者结构性的良性转换推动了反映股票真实状况的价格形成,即在股票市场处于过度悲观或者过度乐观的时候,股票市场的信息已经被投资者所周知,股票市场的噪音交易者逐渐向理性投资者转变,表现为理性投资者占主导地位。
Differences in investor psychology and preferences can cause the stock price to deviate from its intrinsic value, ie, the stock price is overvalued or undervalued, but the stock price will gradually regain normality and close to the true value in the long run of the stock market. On this basis, the article studies the mechanism of investors’ heterogeneity on the function of stock price discovery through constructing STAR-GARCH model, which provides reference for the stock market regulatory behavior and investor’s rational investment behavior. Through empirical research, it is found that the structural benign conversion of heterogeneous investors promotes the price formation that reflects the true state of the stock. That is, when the stock market is overly pessimistic or overly optimistic, the stock market information has been well known to investors and the stock market Of the noise traders gradually shift to rational investors, the performance of rational investors dominate.