反饋

徐豔

（湖南大學工商管理學院助理教授）

中文名: 徐豔
職業: 教師

專業方向: 工商管理學
任職院校: 湖南大學

徐豔學術成果

1、論文

[1]Yan Xu, Chi Xie, Yanan Xu. Time-spatial revolution characteristics in the aftermath of the European debt crisis: Decoupling hypothesis of China, Advances in Information Science and Service Sciences, 2012, 6(10): 102-113

Abstract: In this paper, our general goal is to figure out the evidence of the decoupling hypothesis for Chinese economy from the very wave of European debt crisis. An augmented gravity model, through which the recent reviving of murky protectionism as exogenous variable, is proposed and estimated, employing the vector auto regression, impulse and variance decomposition techniques, based on the monthly dataset from 2007 to 2011. The results show that, spatial logistics weathering with the debt crisis since the late-2009, which suggests that Chinese economy is somewhat insulated from international forces before the debt crisis. This result strengthened existing literature. Furthermore, the empirical findings indicate that the Chinese economy are well-known external-driven, but traces of switching to domestic consumption are robust. Murky protectionism plays a minor but significant role in China’s trade activity.

[2]徐豔，謝赤.投資者信念異質與證券價格互動關係研究，管理學報, 2009, 6(10) :1361-1367

摘要：行為金融理論認為，投資者信念是證券價格的一個重要的影響因素。與傳統資產定價模型的同質信念假設不同，投資者信念異質更能反映現實證券市場中投資者的真實特徵，反映投資者的非完全理性。非完全理性的投資者所具有的異質的人格特徵、風險偏好，市場信息認知、態度和情緒等，將通過行為表現出來，反饋於市場併產生互動效應，對證券價格構成影響。本文從異質信念角度出發，分析投資者異質信念的形成機制及異質信念對證券價格的影響，並以中國證券市場的相關數據進行實證檢驗。研究發現，投資者信念異質與大盤價格指數之間存在長期均衡互動影響，且顯著互為Granger因果關係。中國證券市場投資者非理性情緒和信念所表現出的複雜和混沌特徵也在脈衝響應分析中得到間接的證明。

Abstract: Investor beliefs play a significant role in stock markets where the heterogeneous beliefs affect the determination of stock prices. The traditional asset pricing model assumes investors homogeneous beliefs. On the contrary, the proposition of investors’ beliefs heterogeneity is more close to the reality of the stock markets, in which investors are not in the perfect rationality. The very investors have heterogeneous personality, risk preferences, perceptions on the market information, different attitudes and sentiments, which in return affect the market and the stock prices. This paper studies the mechanism of emergence of heterogeneity beliefs and the impact on the stock prices. The empirical results suggest that there is a cointegrational Granger cause-effect relationship between institutional investors’ belief heterogeneity and stock market price index. Furthermore, the impulse test indicates that irrational sentiments and beliefs pose a complex chaotic shock on the price system.^[1]