实物期权视角下外资银行进入时机研究

发布时间：2018-05-19 05:13

本文选题：实物期权 + 期权博弈　；参考：《山东大学》2012年博士论文

【摘要】：论文的研究对象为“外资银行进入时机”。目前关于外资银行进入的文献主要集中在进入动机、模式、区位选择等方面,进入时机的研究很少。但是掌握合理的进入时机,无论是对于外资银行、中资银行,还是监管者都非常重要。论文通过理论与实证相结合的方法,旨在对“外资银行进入时机”进行初步探索,尝试给出更为合理的外资银行进入时机的决策依据。论文采用实物期权方法研究外资银行进入时机问题。实物期权理论可分为传统的实物期权理论与期权博弈理论。传统的实物期权理论不考虑竞争者的影响,将进入者视为垄断者,其目标是利用期权定价的思想得到一个最佳的投资时机。期权博弈理论将实物期权理论与博弈论相结合,研究不确定环境下理性参与人之间的策略性投资问题。Dixit(?)(?) Pindyck(1994)所讨论的期权博弈模型是一经典模型。论文对该模型的结论进一步延伸,得出一系列推论。经典的期权博弈模型没有考虑先动优势,没有区分领导者与追随者是否同质,论文引入这两点对该模型进行重构,并得出相关结论。利用实物期权理论研究外资银行进入时机是可行的,但同时具有一定的特殊性。根据实物期权理论,外资银行进入动机理论受到一定的挑战。从业务经营的范围及外资银行的影响力来看,中国外资银行进入的动机总的来说是“客户追随”,论文采用“逐步回归法”验证了这样的观点。“客户追随”的动机说明外资银行对其客户具有一定的垄断力,从而在“时机”问题上适合传统的实物期权理论。论文利用生存模型对历年来中国外资银行进入时机进行实证检验,实证结果显示中国外资银行进入的时机与传统实物期权理论的结论基本吻合,但也体现出其独特性：政策对外资银行进入时机的影响非常大；来自于市场的不确定虽然阻碍外资银行进入,但是这一阻碍作用因为高额回报的驱使,显得不那么重要；实力越强的外资银行由于更具有等待能力,从而在进入时机上表现的不是很迫切。外资银行进入中国初期的主要服务对象还是来自于母国的客户或者与母国有关的业务,仍对客户具有一定的垄断力,所以长期来看,传统的实物期权理论依然具有适用性及指导性。虽然总体上中国外资银行进入动机的特征是“客户追随”,但是却逐渐显现出“当地市场利用”的特征。该特征表明,外资银行对其客户不具有垄断力,需要考虑竞争,因此期权博弈理论也有其适用性,这不可避免的涉及到“先动优势”。论文利用国内银行业1999-2010年700个样本数据,通过“相对进入次序”与“绝对进入次序”两个视角,采用最小二乘法,验证了中国银行业确实存在先动优势：越早进入,表现越好,在位时间越长,表现越好。因此,先动优势是外资银行进入中国时需要考虑的影响因素。论文根据期权博弈理论,利用先动优势、不确定性、当前现金流等影响因素分析了人民币零售市场上、农村金融市场上中资银行与外资银行进入时机上的期权博弈,并提出相关建议。在期权博弈模型下,对于监管者而言,光靠审慎性的监管措施并不够,必须有限制性的监管措施；在一定的市场环境下,批准弱银行进入、强银行等待未必不是好的选择。以上有关外资银行的进入时机的理论及实证研究是建立在全资进入的假设之下的。考虑到合资、参股等其他进入模式,又会使进入的时机发生变化。于是论文建立了进入模式对进入时机影响的实物期权模型。不考虑其他因素,“部分进入”本身体现为一种灵活性,并可以保证犯错的概率最小。同时,部分进入与全资进入相比有一定的优势,使得“立即部分进入”在特定的环境下成为最佳的选择。根据部分进入的实物期权模型,外资银行通过参股的方式尽早进入中国依然是一不错的选择。论文创新之处主要体现在以下三个方面：一、对Dixit and Pindyck(1994)经典期权博弈模型进行扩展：首先对该模型原有的结论进一步延伸,得出一系列推论；其次,在该模型的基础上引入先动优势、并区分企业是否同质,重新构建模型。二、利用传统的实物期权理论、期权博弈理论的结论及推论,根据中国外资银行进入时机的数据,做了一系列的实证分析：1、采用逐步回归法对中国外资银行进入动机进行实证检验,中国外资银行进入动机的总特征为“客户追随”。2、由于外资银行进入动机的总特征为“客户追随”,因此总体上来看,进入时机的实证可在“传统实物期权理论”框架下进行。论文采用“生存模型”方法验证,中国外资银行进入的时机与传统实物期权理论的结论基本相吻合,但是本身也具有独特性。3、利用700个样本数据,从“相对进入次序”与“绝对进入次序”两个视角,实证检验中国银行业确实存在先动优势。4、外资银行“当地市场利用”进入动机逐渐显现,表明期权博弈理论也有其一定的适用性。根据期权博弈理论,论文分析了人民币零售市场、农村金融市场中资银行与外资银行的期权博弈问题,并提出相关建议。三、以上的理论及实证是建立在外资银行全资进入的假设之下,但是考虑到合资、入股等其他进入模式,进入模式的不同也会对进入时机产生影响,因此论文构建“进入模式对进入时机影响的实物期权模型”,并据此分析中国外资银行入股中资银行的现实问题。
[Abstract]:The research object of this paper is " Foreign Bank Entry Time " . The current literatures about the entry of foreign banks mainly focus on entry motivation , mode , location choice and so on . However , it is very important for foreign banks , Chinese banks and regulators to enter the opportunity .

The theory of real options can be divided into traditional real option theory and option game theory . The traditional real option theory does not take into account the influence of competitors . The target is to use the idea of option pricing to get a best investment opportunity . The theory of option game combines the theory of real options and game theory to study the strategic investment problem between rational participants in the environment . The option game model discussed in Pindyck ( 1994 ) is a classical model . The paper further extends the conclusion of the model , and draws a series of inferences . The classical option game model does not consider the first mover advantage , does not distinguish between the leader and the follower , the paper introduces the two points to reconstruct the model , and obtains the relevant conclusion .

It is feasible to use real option theory to study entry timing of foreign banks , but at the same time , it has some particularity . According to the theory of real options , the theory of foreign banks ' access to motivation is challenged .

From the scope of the business operation and the influence of foreign banks , the motivation of the entry of foreign banks in China is generally " customer follow " . The paper uses the " stepwise regression method " to prove the view . The motive of " customer follow " indicates that foreign banks have certain monopoly power on their clients . The empirical results show that the timing of the entry of foreign banks in China is basically consistent with the conclusion of traditional real option theory , but also reflects its uniqueness : the influence of policy on the entry timing of foreign banks is very large ;
Uncertainty in the market , while hindering the entry of foreign banks , is less important because of high returns .
In the long run , the traditional real option theory still has applicability and guidance because of the fact that the stronger foreign banks are still waiting for their ability , so it is not urgent to show in the time of entry . The main service objects of foreign banks entering China are still customers from the home country or the business related to the home country . Therefore , the traditional real option theory still has applicability and guidance in the long term .

This paper , based on the theory of option game , uses the first - mover advantage , uncertainty , current cash flow and so on to analyze the influence factors that foreign banks need to consider when entering China .
Under certain market environment , approval of weak bank entry , strong bank wait may not be a good choice .

The theory and the empirical research on the entry timing of foreign banks are established under the assumption of full - capital entry . In view of the joint venture , participation and other entry modes , the timing of entry is changed .

The innovation of the thesis is mainly embodied in the following three aspects :

Firstly , the classical option game model is extended to the model of the classic options of Digeand Pindyck ( 1994 ) : firstly , the original conclusion of the model is extended to obtain a series of inferences ;
Secondly , the first mover advantage is introduced on the basis of the model , and whether the enterprise is homogeneous and the model is reconstructed .

Second , using the theory of traditional real options , the conclusion and inference of option game theory , a series of empirical analysis is done according to the data of the entry timing of foreign banks in China .

Thirdly , the above theory and demonstration are established under the assumption that foreign banks are fully funded , but taking into account other entry modes , such as joint venture and equity participation , the different entry modes will have an impact on the entry timing , so the thesis constructs the Real Option Model which affects the entry timing , and analyses the real problems of Chinese foreign banks in China - funded banks .
【学位授予单位】：山东大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.3;F224

【引证文献】