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Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity.
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- Author(s): Wu, Songtao; He, Jianmin; Wang, Chao
- Source:
Discrete Dynamics in Nature & Society; 9/28/2017, p1-15, 15p- Subject Terms:
- Source:
- Additional Information
- Abstract: 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. [ABSTRACT FROM AUTHOR]
- Abstract: Copyright of Discrete Dynamics in Nature & Society is the property of Hindawi Limited and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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