Developing A Heuristic Heterogeneous Agent Model For Government Intervention During Stock Market Crashes In China

Huang, Ping (2025) Developing A Heuristic Heterogeneous Agent Model For Government Intervention During Stock Market Crashes In China. PhD thesis, Perpustakaan Hamzah Sendut.

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Abstract

The chinese stock market, characterised by a predominance of inexperienced retail investors and high levels of speculation, is notably marked by active government intervention aimed at managing major financial risks and stabilising financial markets. However, there is a scarcity of research on theoretical models that guide such intervention. This study seeks to fill that gap by developing a heuristic government model that provides guidance. The heuristic characteristics of the model are reflected in two key aspects: (1) both investors and the government utilize a simple moving average to calculate the fundamental value of the stock market; and (2) the government employs a simple linear model to determine the intervention threshold and intervention fraction. The study begins by examining excess volatility in china’s stock market using a heuristic heterogeneous agent model (h-ham) comprising mean-reverting and trend-following investors. It then develops a novel heuristic government ham (hg-ham) by introducing a government agent to provide guidance for government intervention. The model parameters are estimated using daily data from the chinese stock index 300 (csi 300) spanning 2006 to 2022, covering three significant periods of market fluctuation: the 2008 financial crisis, the 2015 chinese stock market crash, and the covid-19 epidemic.

Item Type: Thesis (PhD)
Subjects: H Social Sciences > H Social Sciences (General) > H1-99 Social sciences (General)
Divisions: Pusat Pengajian Siswazah Perniagaan (Graduate School of Business) > Thesis
Depositing User: Mr Hasmizar Mansor
Date Deposited: 12 May 2026 01:05
Last Modified: 12 May 2026 01:05
URI: http://eprints.usm.my/id/eprint/64152

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