证券市场平准基金是否有效:来自实验室市场的证据

发布时间：2017-12-30 18:15

本文关键词：证券市场平准基金是否有效:来自实验室市场的证据　出处：《世界经济》2011年12期 　论文类型：期刊论文

【摘要】：本文采用实验经济学方法构建了面临价值变化冲击和流动性冲击的实验室证券市场,选取真实的参与人进行虚拟证券交易。实验分别引入了交易行为透明和不透明的两类平准基金。实验数据表明,在不存在平准基金的市场中,证券价格偏离了理性预期的均衡水平,交易者存在非理性的定价行为。实验结果显示透明和不透明平准基金的存在都能显著降低市场价格对基础价值的偏离程度,提高市场的有效性,并且不影响市场的成交量。实验发现在引入透明平准基金的市场中,普通交易者在观察到平准基金的交易行为后,其报价决策的理性程度有所提高,透明平准基金在降低市场价格偏离的效应显著高于不透明的平准基金。
[Abstract]:This paper uses the method of experimental economics construction facing changes in the value of impact and liquidity shock laboratory stock market, selecting the real players in the virtual stock exchange. Experiment respectively introduces two types of flat transactions transparent and opaque fund. The experimental data show that, in the absence of the stabilization fund market, the stock price deviates from the the equilibrium level of rational expectations, traders are non rational pricing behavior. Experimental results show that transparent and opaque marketstabilizationfund there can significantly reduce the market price on the basis of the degree of deviation from the value of the effectiveness of the market, and does not affect the market volume. It is found in the introduction of the transparent stabilization fund market. The trading behavior of ordinary traders in the observed stabilization fund, the degree of rational price decision has increased, transparent stabilization fund in reducing the market price deviation The effect of the departure was significantly higher than the opaque fund.

【作者单位】：浙江大学经济学院;浙江大学实验社会科学实验室;华泰联合证券研究所;
【基金】：国家社科基金青年项目“股票市场安全预警与应急处理机制研究”(08CJY060)的阶段性研究成果
【分类号】：F832.51
【正文快照】： 一引言平准基金(stabilization fund)又称为干预基金(intervention fund),是政府通过特定的机构(证监会、财政部、交易所等)以法定方式建立的基金。平准基金通过逆向操作的方式来熨平市场的非理性波动,以达到稳定市场的目的。平准基金的存在是由于金融市场有别于普通的商品市

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