多层次资本市场条件下交易者互动对资产价格的影响——基于中国股票和债券市场的研究  

The Effect of Strategic Interaction of Traders on Asset Price in a Multilevel Capital Market: A Study Based on Chinese Stock Market and Bond Market

作　　者：牛晓健[1] 吴客形 Niu Xiaojian;Wu Kexing(Department of International Finance,Fudan University,Shanghai 200433,China)

机构地区：[1]复旦大学国际金融系,上海200433

出　　处：《复旦学报（社会科学版）》2020年第2期180-191,共12页Fudan Journal（Social Sciences）

基　　金：国家自然科学基金面上项目“流动性压力、信息交互与价格联动---基于中国股票和债券市场多层复杂网络的风险交叉传播机制与控制修复策略研究”(项目批准号:71873039,71573051);上海市哲学社会科学规划课题(项目批准号:2011BJB005)、上海市“曙光计划”项目(项目批准号:11SG09);上海高等学校创新能力提升计划竞争性引导项目“上海国际型大都市建设的综合改革方案设计”、复旦大学中央高校基本科研业务费支持。

摘　　要：随着我国金融体系改革的不断深入,我国股票市场与债券市场的联动也日益频繁。在金融市场一体化的背景下,研究股票市场和债市市场之间的相互联动,以及交易者之间的相互博弈,对稳定金融市场和管控系统风险都具有重要的参考价值。本文基于异质性交易者的多市场模型,研究了我国股债市场的联动特征和交易者预期的演化机制。结果发现,在多层次资本市场条件下,不同类型交易者间的跨市场互动会使导致资产价格超调的可能性明显增加,并在此基础上用数值模拟的方式对资产价格的暴涨暴跌现象和交易者的预期波动现象进行了分析,主要结论是:交易者的跨市场互动是导致股票价格和债券价格暴涨暴跌的重要原因;交易者预期对股票价格的非线性影响是造成股票市场和债券市场大幅波动的主要原因;在大多数情况下股债市场是理性的,而在少数特定情况下股债市场是非理性的。据此,本文的研究对于监管者如何协调与稳定金融市场、防范系统风险提供了重要的决策参考依据。With the deepening of institutional reform in the financial sector, the co-movements between stock market and bond market become one of the most fundamental aspects of contemporary finance. Based on heterogeneous-agent model of multiple markets, this paper characterizes the co-movements of stock market and bond market, then analyses the evolution of trading strategies. We find that the overshooting in asset price can be caused by the strategic interaction between agents in a multilevel capital market. Besides, the high volatility of asset prices and of traders’ expectations is studied on the base of numerical simulation, the main results are as follows:(1) the cross-market interactions of traders leads to high volatility in both stock and bond prices,(2) the nonlinear impact of trades in stock prices is also one of the main causes of the volatility.(3) in most cases, the financial markets are rational, while in rare cases, the markets are irrational. This paper provides a decision-making reference against systematic risk and a solution stabilizing the financial markets.

关 键 词：预期互动 市场互联 价格超调 

分 类 号：F832.51[经济管理—金融学]