Research on Mechanism of Transmission on Impact of Emergency to Chinese Stock Market Based on Heterogeneous Agent Model

Abstract

The impact of the emergency on the stock market mainly performs at the variation of confidence of investors. The traditional financial theories consider that the direction of the variation is consistent, but it does not conform to the real situation of markets. This paper applied heterogeneous analytical approach which is based on behavioral finance to research the behavior of investors, then to construct the Heterogeneous Agent Model (HAM) of impact of emergency on Chinese stock market. In order to verify the conclusion of this model, this article selected the closing price of Shanghai Composite Index to estimate the parameters of HAM. Firstly, we constructed the multi-objective parameter optimization model. Secondly, we utilized the simulation method to study the different influences of internal characteristics of emergency on investor behavior and market performance. The simulation results showed that the internal characteristics of emergency had significant impact on investor behavior in Chinese stock market, and then affected the market performance after the outbreak of emergency.