存在老鼠仓时证券市场多方博弈分析  

Research of Game among Securities Market Investors under Rat Trade Condition

作　　者：周仁才[1] 吴冲锋[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：《系统管理学报》2009年第5期487-491,共5页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70331001)

摘　　要：构建老鼠仓、做仓机构投资者和其他普通投资者的市场交易模型。从老鼠仓交易加剧市场信息不对称以及做仓机构投资者效用取向改变等角度,分析市场参与者的博弈特征,并利用理性预期均衡分析方法求解市场均衡。在此基础上,分析了老鼠仓交易对于市场价格、交易量、波动性等市场特征的影响。通过定量研究发现,老鼠仓交易扭曲了市场机制,削弱了市场价值发现功能,增加了市场波动性和信息不对称。A trade model including the rat, the institutional investor and the other individual investors is constructed in this article. The rat trade not only changes the institutional investor＇s utility, but also deepens the information asymmetry among investors. The model is resolved by using rational expectation equi- librium methods and the impact of rat trade on price, trading volume and price volatility is analyzed. Through the quantitative research, this paper shows that rat trade distorts the market mechanism, weak- ens the market＇s value discovery function and enlarges market volatility and information asymmetry.

关 键 词：理性预期均衡 信息不对称 老鼠仓 效用改变 

分 类 号：F830[经济管理—金融学]