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Initial value sensitivity of the Chinese stock market and its relationship with the investment psychology

Author

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  • Shangjun Ying

    (Finance School, Shanghai University of International Business and Economics, Shanghai 201620, P. R. China)

  • Xiaojun Li

    (Finance School, Shanghai University of International Business and Economics, Shanghai 201620, P. R. China)

  • Xiuqin Zhong

    (School of Computer Science & Engineering, University of Electronic, Science and Technology of China, Chengdu 611731, P. R. China)

Abstract

This paper discusses the initial value sensitivity (IVS) of Chinese stock market, including the single stock market and the Chinese A-share stock market, with respect to real markets and evolving models. The aim is to explore the relationship between IVS of the Chinese A-share stock market and the investment psychology based on the evolving model of genetic cellular automaton (GCA). We find: (1) The Chinese stock market is sensitively dependent on the initial conditions. (2) The GCA model provides a considerable reliability in complexity simulation (e.g. the IVS). (3) The IVS of stock market is positively correlated with the imitation probability when the intensity of the imitation psychology reaches a certain threshold. The paper suggests that the government should seek to keep the imitation psychology under a certain level, otherwise it may induce severe fluctuation to the market.

Suggested Citation

  • Shangjun Ying & Xiaojun Li & Xiuqin Zhong, 2015. "Initial value sensitivity of the Chinese stock market and its relationship with the investment psychology," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 26(11), pages 1-16.
    • Handle: RePEc:wsi:ijmpcx:v:26:y:2015:i:11:n:s0129183115501284
    DOI: 10.1142/S0129183115501284
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