Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity
Joint Authors
Wang, Chao
Wu, Songtao
He, Jianmin
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-09-28
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
An artificial stock market with agent-based model is built to investigate effects of different information characteristics of common factors on the dynamics stock returns.
Investors with limited information capacity update their beliefs based on the information they have obtained and processed and optimize portfolios based on beliefs.
We find that with changing of concerned information characteristics the uncertainty of stock price returns rises and is higher than the uncertainty of intrinsic value returns.
However, this increase is constrained by the limited information capacity of investors.
At the same time, we also find that dependence between returns of stock prices also increased with the changing information environment.
The uncertainty and dependency pertaining to prices show a positive relationship.
However, the positive relationship is weakened when taking into account the features of intrinsic values, based on which prices are generated.
American Psychological Association (APA)
Wu, Songtao& He, Jianmin& Wang, Chao. 2017. Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity. Discrete Dynamics in Nature and Society،Vol. 2017, no. 2017, pp.1-15.
https://search.emarefa.net/detail/BIM-1151673
Modern Language Association (MLA)
Wu, Songtao…[et al.]. Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity. Discrete Dynamics in Nature and Society No. 2017 (2017), pp.1-15.
https://search.emarefa.net/detail/BIM-1151673
American Medical Association (AMA)
Wu, Songtao& He, Jianmin& Wang, Chao. Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity. Discrete Dynamics in Nature and Society. 2017. Vol. 2017, no. 2017, pp.1-15.
https://search.emarefa.net/detail/BIM-1151673
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1151673