做市商制度下证券价格的形成机制分析  

Analysis on formation mechanisms of security price under market maker system

作　　者：赵骅[1] 张宗益[1] 杨武[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《管理科学学报》2007年第2期90-94,共5页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70272066)

摘　　要：证券价格的形成要受到交易机制的约束,也会受到投资者的风险偏好、信念以及对信息获知程度的影响.文章将把这两方面因素结合起来考虑,把信息不对称引入模型,对做市商市场的证券价格形成机制进行了均衡分析.结果表明,一方面,在存在做市商的证券市场,投资者根据自己的风险偏好、信念和获知信息进行交易以使预期效用最大化,交易指令的下达与执行传达了证券清算价值的信息.做市商通过对指令信息的观察而进行双向报价,为市场提供了流动性;另一方面,证券市场的有序运行不仅跟交易机制有关,还受到投资者的风险偏好、信念以及信息上的差异等的影响,这也是决定证券价格的关键因素.The formation of security price is both conditioned by trading mechanisms and affected by choice of risk preference and beliefs of the investors and the degree to which information is grasped. The paper combines these factors and introduces information asymmetry into the model to analyze the security price formation mechanism using Game Theory under market maker environment. Results show that on the one hand, investors do business to maximize their expected utility on the basis of their own risk preference, beliefs and acquired information, meanwhile the issue and implementation of trading order send out the information about liquidation value and then market maker provides liquidity for the market through bidirectional quoted price made on the observation of directive information; and that on the other hand, the orderly operation of security market is not only relevant to trading mechanisms, but also under influenced by investors＇ risk preferences, beliefs and differences in personal grasped information which are key factors to security price determination.

关 键 词：证券价格 做市商 风险偏好 信念 信息 

分 类 号：F830.91[经济管理—金融学]