异质信念下内幕交易者市场操纵行为研究  

Study on Insider Manipulation with Belief Heterogeneity

作　　者：周奇 尤左伟[2] 刘善存[2] 韩景倜[1] ZHOU Qi;YOU Zuo-wei;LIU Shan-cun;HAN Jing-ti(School of Information Management and Engineering,Shanghai University of Finance and Economics,Shanghai 200433»China;School of Economics and Management,Beihang University,Beijing 100191,China)

机构地区：[1]上海财经大学信息管理与工程学院,上海200433 [2]北京航空航天大学经济管理学院,北京100191

出　　处：《中国管理科学》2020年第10期77-87,共11页Chinese Journal of Management Science

基　　金：国家自然科学基金资助面上项目(71771008,71371024)。

摘　　要：在竞争性理性预期均衡的框架下,建立起非知情交易者异质信念下风险资产定价模型,推导出关于风险资产的贝叶斯线性均衡价格函数,并基于此研究内幕交易者市场操纵行为,揭示操纵手法。研究结果表明非知情交易者的信念偏差对交易需求、均衡价格以及内幕交易者的操纵策略均有重大影响,而对市场深度没有影响。内幕交易者通过散布虚假消息使得非知情交易者成为虚假消息的跟随者可实现获利;内幕交易者在散布虚假消息时需要考虑非知情交易者的整体信念偏差;在线性均衡下,均衡价格与内幕交易者散布的虚假消息呈线性正相关。The belief bias of the uninformed traders is introduced to the market manipulation model.With the framework of the competitive rational expectations equilibria,a risky asset pricing model with belief heterogeneity of uninformed traders is built.A linear price function in the unique Bayesian linear equilibrium is derived,by which the market manipulation by one powerful insider is studied and thus revealed.The results of the study show that the belief bias of the uninformed traders significantly influences the demands of the informed and uninformed traders,the equilibrium price of the risky asset and the manipulation strategy of the powerful insider.But it doesn’t affect the depth of the market.The insider is assumed to be powerful enough to manipulate the price by designedly spreading false information to make the uninformed traders to trade by following the false information.The insider should take into account the belief bias of the unformed traders in order to maximize his profit when spreading false information.In the linear equilibrium,the equilibrium price has a positive linear correlation with the liquidation value expressed by the false information.

关 键 词：市场操纵 内幕消息 异质信念 信念偏差 理性预期均衡 

分 类 号：F830.9[经济管理—金融学]