平准策略何以缓解金融市场认知偏差?——基于网络博弈视角的研究  

How intervention strategy alleviates market cognitive bias:a study based on network game

作　　者：牛晓健[1] 林仕伟 孙一菡 NIU Xiao-jian;LIN Shi-wei;SUN Yi-han

机构地区：[1]复旦大学经济学院,上海200433 [2]南京财经大学国际经贸学院,江苏南京210023

出　　处：《东南大学学报（哲学社会科学版）》2024年第1期55-68,151,共15页Journal of Southeast University(Philosophy and Social Science)

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”(71873039,71573051)成果之一。

摘　　要：金融市场参与者执行诸如行业增长目标设置、投资行为、信贷引导以及平准操作,行业认知偏差在多方博弈下相应而生。沿着“行业增长目标—行业认知偏差—行业未来回报”的逻辑链条构建网络博弈模型,探讨参与者行动对自身及其联动对象所产生的直接效应和网络效应,并基于奇异值分解取得平准策略。根据单条件均衡,投资人定价行为相对分析师增长目标的偏离会形成行业认知偏差,认知偏差与未来回报正相关,佐证市场会对定价偏差进行修正。根据多条件均衡,定价和信贷过度会降低自身及与其有超额联动关系行业的未来回报,增长预期主要透过超额联动影响未来回报。平准策略总效应稳健为正,能有效缓解认知偏差以及提升定价效率,建议政府以网络博弈视角制定干预策略以强化平准基金运作效率。Participants in the financial markets execute various actions such as setting industry growth targets,investment behaviors,credit guidance,and stabilizing operations.Industry cognitive biases arise correspondingly in multi-party games.This paper constructs a network game model along the logical chain of “industry growth targets—industry cognitive biases—industry future returns”to explore the direct and network effects of participants' actions on themselves and their linked entities.It also employs singular value decomposition to derive stabilizing strategies.According to the single-condition equilibrium,deviations in pricing behavior by investors relative to analysts' growth targets generate industry cognitive biases,which are positively correlated with future returns,thus supporting the idea that the market corrects pricing biases.In the case of multi-condition equilibrium,excessive pricing and credit will decrease the future returns of both the industry itself and those industries linked to it in excess.Growth expectations mainly affect future returns through these excess linkage relationships.Overall,the total effect of the stabilizing strategy remains robustly positive and effectively mitigates cognitive biases and enhances pricing efficiency.It is suggested that governments formulate intervention strategies from the perspective of network games to strengthen the operational efficiency of stabilizing funds.

关 键 词：网络博弈 增长目标 认知偏差 平准基金 

分 类 号：F832[经济管理—金融学]