【作者】 徐元栋；

【导师】 武振业；

【作者基本信息】 西南交通大学 ， 管理科学与工程， 2004， 博士

【摘要】 有效市场假说是整个现代金融理论的基石。这一假说认为，投资人是理性的，人们以线性因果的方式对信息做出反应。由于投资者对信息的反应是一步到位的，所有的信息都反应在价格中，而新信息的到来是随机的，所以价格的变化也是随机的。以有效市场假说的思想为基础，Sharpe等提出了资本资产定价模型CAPM等；Ross又提出了套利定价理论APT；Black-Scholes建立了衍生产品的定价理论基础；Black-Scholes的期权定价模型，从而建立了现代投资理论体系。 80年代末期，随着现代数学统计技术的发展，存在着大量的金融异常现象在有效市场假说下却无法得到合理的解释。本博士论文在总结、吸收该领域国内外文献的基础上，对金融市场的异常现象与非线性现象进行了探讨。在提出一种新的有限理性概念的基础上，将这些异常现象纳入一个解释框架，并建立了股票市场相变模型。 论文的具体工作如下： (1) 对现代金融学的前提假设做了彻底反思，提出了新的逻辑前提并作为本博士论文的逻辑起点。 (2) 社会互动式研究方法是经济社会学的一种研究方法，该方法认为一个社会系统中的个人不是独立的，而是相互依赖的。一个具有说服力的经济学应该具备一种足以解释个体间相互依赖关系在行为决策中所起作用的分析方法，互动分析方法无疑为社会系统的研究提供了一个很好的思路。 (3) 在现代自然科学与经济学最新成果的基础上，提出了一个新有限理性概念。提出了灰色有效市场假说，并把金融市场上的有效性异常现象纳入了一个解释框架。 (4) 将社会模仿理论运用于股票市场，建立了股票市场相变模型，这是一个非线性动力模型。 (5) 从股票市场相变假说的角度，对股票市场非线性现象的机理提出了另一个解释框架。 (6) 从股票市场相变的角度，在卖空限制的条件下，研究了股票市场流动性产生的机理。 (7) 从股票市场相变假说的角度，对现有的行为金融学投资策略与相关理念进行了评述。更多还原

【Abstract】 Efficient market hypothesis is the foundation stone of modern finance theory. This hypothesis is thinking that the investor is the rational, and man is makes the reaction with the method of linearity effect to information. By the reason of investors reaction to information is once reached immediately, all information are all reacted in price. Because the information arrival of tomorrow is random, the change of price is random. Thought of Efficient market hypothesis is the foundation, and William F. Sharpe (1964) have put forward capital model of CAPM , Stephen A. Ross(1976) has put forward again pricing theory of APT, Fischer Black and Myron Scholes (1973) has built the pricing theory of Options , and investment theory system has been built.In last the 80’s, with the development of modern mathematics statistical technique, a large number of anomalies on stock market did not get explanation reasonably under Efficient market hypothesis.On the foundation that this doctor’s thesis sum up and absorbs this domain documents, nonlinear phenomena and anomalies of stock market are researched. After raising a kind of the new " bounded rationality ", this paper brings anomalies of stock market into a general explanation and put forward the phase transition hypothesis of stock market.The concrete content of thesis is as follows:(1) After reviewing lasted documents, it put forward one kind of possible behavioral finance frame.(2) The research method of Social Interaction is one kind of research method of economic sociology, and this kind of method is thought that individual in the social system is not isolated, and relies on each other, perfect economics should have enough to explain the relation among individual. The method of Social Interaction has provided a very good approach for the research of social system beyond doubt.(3) Based on the foundation of new achievements in nature science, it put forward a new bounded rationality. It puts forward gray efficient hypothesis of market, and bring into the anomalies of stock market into one explanation frame.(4) The Society Imitation theory was introduced into stock market, we built the phase transition hypothesis of stock market, and this is a no linearity model.(5) Following the points of view of phase changes hypothesis of stockMarket, mechanism of the nonlinear phenomena of stock market is put into another explanation frame.(6) Following the points of phase changes hypothesis of stock market, the liquidity of stock market was researched under the condition of short sale.(7) Following the points of view of phase changes hypothesis of stock market, the strategies and thought of investment was summed up under the behavioral finance.更多还原