机构投资者和中小投资者的博弈均衡分析  

The equilibrium of the game between institution investors and small investors

作　　者：张丽芳[1] 刘海龙[1] 

机构地区：[1]上海交通大学金融工程研究中心,上海200052

出　　处：《系统工程理论与实践》2008年第2期1-9,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70471025)

摘　　要：基于投资者风险厌恶、完全理性的假设,利用逆推法,在市场出清条件下求解了多个机构投资者和中小投资者的两期动态博弈模型.通过对均衡解的分析,得到以下结论:1)交易过程是流动性风险对价格产生影响的载体,没有交易需求,无论市场流动性如何,都不会对价格造成影响.此外,交易需求取决于投资者所持资产比例与其风险承受能力在整个市场中的比重是否相当;2)市场的风险承受能力对市场核心-价格有举足轻重的影响;3)由于机构投资者对价格的影响,其在股市中可以获得高于完全竞争环境下的超额受益;4)流动性大小与风险承受能力在市场中的分布有关,分布越分散,市场流动性越好.The paper resolves the dynamic Cournot-Stackerberg game between institution investors and small investors by dynamic recursive method. Through the analysis of the equilibrium, we conclude, 1 ） the endogenous liquidity risk has no impact on asset price unless trades on this asset take place. Moreover, whether trades take place depends on whether the proportion of the asset hold by the investor to the whole supply corresponds to that of the investor＇s risk beating capacity to the economy＇s total risk bearing capacity; 2）the economy＇s total risk beating capacity has great significance to asset price; 3 ）institution investors make more profit than in the completely competitive economy because their desired order-flow moves prices; 4）the liquidity has relations with the distribution of risk bearing capacity among investors.

关 键 词：机构投资者 中小投资者 古诺-斯坦博格博弈 均衡 

分 类 号：F830.9[经济管理—金融学]