融资融券最优初始担保水平及其参与者行为  

Optimally Initial Guarantee Rate and Investor's Behavior in the Margin Purchase and Short Sale

作　　者：孟科学[1] 邹进文[2] 

机构地区：[1]中南财经政法大学理论经济学博士后流动站,湖北武汉430073 [2]中南财经政法大学经济学院,湖北武汉430073

出　　处：《中南财经政法大学学报》2012年第3期56-62,143,共7页Journal of Zhongnan University of Economics and Law

基　　金：教育部人文社会科学研究青年基金项目"投资消费信心与金融系统互动机理研究"(11YJCZH200)

摘　　要：本文采用效用与均衡分析思想,从市场一般均衡角度,在理论上分析在融资融券契约运行中,投资者的行为选择以及融资融券最优初始担保水平的决定因素,研究发现:融资融券均衡初始担保水平决定于投资者对市场未来走势的预期、通货膨胀水平、消费时间偏好和证券交易成本等因素,且有内在的动态要求;合理的初始担保率有助于引导市场回归均衡和投资者实现帕累托最优,而且也可以配合其他政策措施成为实现宏观经济调控目标的重要工具。Based on the utility and general equilibrium method,the paper studies the investor's behavior choices and the influencing factors of the optimally initial guarantees in the margin purchase and short sale.The result shows that the optimally initial guarantees depends on the expectation to the trends of the stock price,inflation,transaction costs,and consumption time preference,at the same time,it's dynamic in inherent.A reasonable initial guarantee rate helps the market to return the equilibrium and investors realize Pareto optimization,as while as Cooperates with other policy measures to achieve macroeconomic goals.

关 键 词：融资融券 初始担保水平 投资者行为 通货膨胀 时间偏好 交易成本 

分 类 号：F831.5[经济管理—金融学]