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Behavioral heterogeneity and excess stock price volatility in China

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  • Zhang, Wei
  • Zhou, Zhong-Qiang
  • Xiong, Xiong

Abstract

This paper investigates excess stock price volatility in China using a heterogeneous agents model (HAM) with fundamentalists and chartists. We use the dynamic Gordon price-dividend model to estimate the fundamental values of the CSI 300 index from April 2005 to December 2017. The value of excess stock price volatility is obtained by the deviation of the realized value from the fundamental value. After calibrating the HAM using the CSI 300 monthly data, we find that this model can significantly explain the booms and busts of the Chinese stock market in the sample period.

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  • Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
    • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:348-354
    DOI: 10.1016/j.frl.2018.06.004
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