求助：买涨不买跌和价格波动 - 未名空间MITBBS历史存档

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求助：买涨不买跌和价格波动

求助：买涨不买跌和价格波动# Economics - 经济

m*y2004-07-31 07:07

1 楼

别的地方看网友讨论积芬商品提到股票的买涨不买跌，我突然有个想法，觉得这是股市容
易产生泡沫的一个根源。价格越高，需求越大。这里面是不是因为预期的不断改变，推动
需求曲线不断右移？我还没有仔细深究，但直觉应该可以用来解释股市频繁boom to
bust的根本所在。
不过我不是搞Finance的，一直只搞计量，但这和我现在想写的一篇论文中想发展的模型
有关系，这里有没有朋友比较熟悉Finance文献的，是否知道在这个方面已经有很成熟和
经典的模型和理论呢，并可以提供有关文献的？具体来说，有没有文献很好地解释在一些
特殊的市场上，为什么价格越高，越有需求。有没有一个模型很好在需求分析中导入预期
，分析价格信号是怎么传导和改变预期，从而调整需求曲线的，进而描述这个动态过程在
那里或什么条件下崩溃。
欢迎和你在这里或来信讨论。谢谢！
j*******[email protected]

R*E2004-07-31 07:07

2 楼

大宗商品的买账不卖跌，也是一样啊，他们的波动不比股市小

【在 m***y 的大作中提到】

: 别的地方看网友讨论积芬商品提到股票的买涨不买跌，我突然有个想法，觉得这是股市容
: 易产生泡沫的一个根源。价格越高，需求越大。这里面是不是因为预期的不断改变，推动
: 需求曲线不断右移？我还没有仔细深究，但直觉应该可以用来解释股市频繁boom to
: bust的根本所在。
: 不过我不是搞Finance的，一直只搞计量，但这和我现在想写的一篇论文中想发展的模型
: 有关系，这里有没有朋友比较熟悉Finance文献的，是否知道在这个方面已经有很成熟和
: 经典的模型和理论呢，并可以提供有关文献的？具体来说，有没有文献很好地解释在一些
: 特殊的市场上，为什么价格越高，越有需求。有没有一个模型很好在需求分析中导入预期
: ，分析价格信号是怎么传导和改变预期，从而调整需求曲线的，进而描述这个动态过程在
: 那里或什么条件下崩溃。

S*t2004-07-31 07:07

3 楼

Demand for a stock has nothing to do with its high(er) price. Only ax-ante
profits matters. Actually, higher price always leads to lower demand. That's
the reason why many high growing companies choose to split their stock price
and cut their stock in half or even more to attract more buyers.
Many investors often buy in an upward trend because they expect the stock
price will go up in the future and they feel current price is CHEAP.
The forming of a bubble is not because of high price, is becaus

【在 m***y 的大作中提到】

m*y2004-07-31 07:07

4 楼

对，所以我就是想从股市波动里找点灵感来研究其他市场的剧烈波动

市容
推动
模型
熟和
一些
预期
程在

【在 R*****E 的大作中提到】

: 大宗商品的买账不卖跌，也是一样啊，他们的波动不比股市小

m*y2004-07-31 07:07

5 楼

你说的是对，但和我的视角不一样，我关注的是，价格上升速度（一开始说价格越高需求
越大是不对，应该是价格上升速度越大），会不会和怎样影响预期和需求

to
市
推
模
熟
一
预
程

【在 S********t 的大作中提到】

: Demand for a stock has nothing to do with its high(er) price. Only ax-ante
: profits matters. Actually, higher price always leads to lower demand. That's
: the reason why many high growing companies choose to split their stock price
: and cut their stock in half or even more to attract more buyers.
: Many investors often buy in an upward trend because they expect the stock
: price will go up in the future and they feel current price is CHEAP.
: The forming of a bubble is not because of high price, is becaus

S*t2004-07-31 07:07

6 楼

This may make sense. But how do you define the velocity of price increasing
(change per day, week or month) and compare the velocity of different stocks
(compare with the market or peer stocks)?
BTW, don't ingore the market efficiency theory in your research. Price
immediately reflects all information available, implying velocity of price
changing has nothing to do with demand or anything else.

求
That's
price
relative
股
，
to
的
成
在
入
过

【在 m***y 的大作中提到】

: 你说的是对，但和我的视角不一样，我关注的是，价格上升速度（一开始说价格越高需求
: 越大是不对，应该是价格上升速度越大），会不会和怎样影响预期和需求
:
: to
: 市
: 推
: 模
: 熟
: 一
: 预

m*y2004-07-31 07:07

7 楼

But rational bubble theory suggests different, price can be sometime not
determined by fundmentals in market, overact, and behave in a way just
everyone think it should be that...
so if there is increasing rises of prices, "beliefs" can affect price in
self-fufilling propheicies...

需
ax-ante
stock
是
变
展
很

【在 S********t 的大作中提到】

: This may make sense. But how do you define the velocity of price increasing
: (change per day, week or month) and compare the velocity of different stocks
: (compare with the market or peer stocks)?
: BTW, don't ingore the market efficiency theory in your research. Price
: immediately reflects all information available, implying velocity of price
: changing has nothing to do with demand or anything else.
:
: 求
: That's
: price

S*t2004-07-31 07:07

8 楼

Finally, we have something in common. I like the word "beliefs". The word
"demand" is very confusing. Unlike most commodities, stock can be longed or
shorted. No matter stock price goes up or down, you always can find demand (
long or short) for the stock.
When stock price goes up, "beliefs" may push the price closer to or away from
the equilibrium point.
I don't know any paper addresses this issue. But I'm interested in your
research in this area. Keep me updated if possible. Thanks!

increasin

【在 m***y 的大作中提到】

: But rational bubble theory suggests different, price can be sometime not
: determined by fundmentals in market, overact, and behave in a way just
: everyone think it should be that...
: so if there is increasing rises of prices, "beliefs" can affect price in
: self-fufilling propheicies...
:
: 需
: ax-ante
: stock
: 是

y*d2004-07-31 07:07

9 楼

Positive feedback trading is a well-known and often regarded as irrational
phenomenon, De Long, Shleifer, Summers, and Waldmann (JF 1990) illustrate how
this type of behavior can be anticipated by informed speculators, consequently
price will deviate from fundamental value, a boom/bust scenario can be
obtained. But their model takes positive feedback trading as given. Some
models can generate rational positive feedback trading endogenously, for
example, Jiang Wang (REStud 1993). Scheinkman and X

【在 m***y 的大作中提到】

m*y2004-07-31 07:07

10 楼

But I have to avoid short trade, as I want to apply my analysis on prices of
durable commodity, i.e. housing.
Yesterday I find Stein (1995)QJE "trade volume and downpayment effect"
captured most of my ideas, which quite depressed me when I read it. However, I
try to add something new here.
Stein(1995）correctly pointed out the price boom-to-boost in housing market
can be at least partly attributed to the mortgage finanical instrument. When
house price rises, sitting owners feel richer and demand

【在 S********t 的大作中提到】

: Finally, we have something in common. I like the word "beliefs". The word
: "demand" is very confusing. Unlike most commodities, stock can be longed or
: shorted. No matter stock price goes up or down, you always can find demand (
: long or short) for the stock.
: When stock price goes up, "beliefs" may push the price closer to or away from
: the equilibrium point.
: I don't know any paper addresses this issue. But I'm interested in your
: research in this area. Keep me updated if possible. Thanks!
:
: increasin