投资者心理与股票价格形成的精炼贝叶斯均衡  

Psychology of investor and a perfect Bayesian equilibrium of security price formation

作　　者：周隆斌[1] 钟根元[2] 

机构地区：[1]中国华融资产管理公司博士后工作站暨即中国人民大学博士后工作站,北京100045 [2]上海交通大学安泰管理学院,上海200030

出　　处：《华中科技大学学报（自然科学版）》2005年第12期105-108,共4页Journal of Huazhong University of Science and Technology(Natural Science Edition)

摘　　要：在不完全竞争的市场结构下,将散户投资者过度自信这一心理特征引入至大户与散户的交易博弈框架,研究了投资者心理在价格形成与信息揭示过程中的作用机理.价格形成均衡的边界条件与散户心理特征有关.散户过度自信的平均水平越高,大户越容易通过其市场影响力操纵散户群体的信念和行为,隐瞒其私人信息进而操纵价格以获利;但散户心理状态的可预测性越差,大户越难利用此心理来获利.总之,散户的心理因素对股票价格形成的作用机理十分复杂,取决于其心理特征的平均水平及其可预测性的综合作用.In an incomplete competitive market structure, the authors introduced overconfidence, a type of small traders＇ psychology, into a transaction game between an institutional trader and plenty of small traders to investigate the principal of the stock price formation and information revelation. The equilibrium boundary condition for forming the stock price was concerned with the characteristic of the small traders. The higher the small traders＇ overconfidence become, more easily the institutional trader would disclose personal information and manipulate price to gain profit by market influence or manipulating the small traders brief and behavior. The perfect equilibrium depends on the traders＇ psychology. If the average level of the small traders＇ overconfidence becomes higher, the price manipulation by the institutional trader will be more easily and deep. While the worse the prediction of the small traders＇ psychology became, the more difficult the institutional trader would gain profit by this characteristic. The institutional trader can benefit through its manipulations, such as its influence of market, its control of counterparts＇ belief and behavior, and even hiding its private information. While the volatility of the overconfidence becomes higher, a proxy of the predictor of the traders＇ psychology, the manipulation will be more difficult. So, the relation between the small traders＇ psychology and the stock price formation is very complicated, depending on the average results of the mutual effects and the volatility of the traders＇ psychology.

关 键 词：投资者心理 交易博弈 分离均衡 混同均衡 噪声交易者 

分 类 号：F830.9[经济管理—金融学]