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|Other Titles: ||The rumours and investment behavior in financial market|
|Authors: ||鄭宇超;Jheng, Yu-Chao|
|Keywords: ||謠言;金融市場;馬可夫鏈;投資;Romour;financial market;Markov Chain;Investment|
|Issue Date: ||2015-05-04 09:47:28 (UTC+8)|
The purpose of this study is to investigate the investor’s behavior with rumours. We assume that the rumours will benefit investors. We take account of those features the previous literature did not deal with, such as the probability the investor to recover his beliefs about the chance to earn profit. We focus on the decision-making problem of representative investor with rumours, analyzing the comparative statics of the optimum investment and the optimal expected utility. The method of Markov chain is used to study the impacts of rumours in the long run. Moreover, we consider the impacts of government policy to expose true information, as well as the influences of personality characteristics of investor such as level of education.
We find that the optimal amount of investment and the optimal expected utility rise when specific exogenous variables improve, such as profit rate, the original belief value and the new one, the probability of belief affected by rumours, the number of people who spread rumour and the degree of social intercourse. We also know that the optimal amount of investment and the optimal expected utility decrease when other exogenous variables decline, for example, loss rate, intertemporal confidence, the number of population at nearby region and the degree of stubbornness. However, considering the propobility of borrowing a fund, we find that the optimal amount of investment and the optimal expected utility decrease when interest rate rises.
If the level of education improves, the optimal amount of investment and the optimal expected utility will decline. On the contrary, when the government carries out a policy to expose true information, the optimal amount of investment and the optimal expected utility will increase. Finally, perfect information held by investors will cause the optimal expected utility of investors to increase; nevertheless, the optimal amount of investment changes depending on the state the perfect information concerned.
|Appears in Collections:||[Graduate Institute & Department of Economics] Thesis|
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