我国证券市场中基于信息的市场操纵行为理论研究  

The research of stock price manipulation through information in Chinese stock market

作　　者：王春峰[1] 卢涛[1] 房振明[1] 

机构地区：[1]天津大学管理学院,金融工程研究中心,天津300372

出　　处：《系统工程理论与实践》2008年第5期1-10,共10页Systems Engineering-Theory & Practice

基　　金：国家杰出青年科学基金项目“中国证券市场波动性和流动性研究”(70225002);教育部优秀青年教师教学科研奖励基金(001-28)

摘　　要：建立基于中国证券市场条件的知情交易者市场操纵模型.通过引入融资融券保证金限制,分析了知情交易者、被动型理性交易者和半理性噪音交易者的交易策略,并获得市场操纵过程中各期的均衡结果.进一步分析融资融券保证金限制、半理性噪音交易者理性程度、似真信号准确性对均衡结果的影响,并提出相应的政策建议.Based on Chinese stock market, the model of stock price manipulation though private information is found, Conditional on restriction of financing and security loan, trading strategies of informed traders, passive rational investors and semi - rational noise traders are analyzed, and the equihbriums of stock manipulation in different periods are obtained. What＇ s more, influences of restriction of financing and security loan, the extent of ration of semirational noise trades and precision of signal closer to truth on stock market are discussed. At last, some adviees are presented.

关 键 词：市场操纵 半理性噪音交易者 融资融券 正反馈交易 似真信号 

分 类 号：F830[经济管理—金融学]