Abstract This paper studies the statistical characteristics of stock market return and measures the market volatility with heterogeneous traders in the stock market by analyzing the relationship of the exceed volatility of stock markets and the irrational traders’ behavior with the participation of irrational and rational traders model. The result shows that the model with multi-lagged periods return interprets the formation process of stock market return better. Further discussion is made on the boundary of stock market volatility of rational expectation equiliubrium and irrational expectation equiliubrium.
2013, Vol. 1 
