市场主体博弈对中国股市过度波动影响研究

发布时间：2018-06-29 08:51

本文选题：市场主体 + 分离均衡　；参考：《南京航空航天大学》2013年硕士论文

【摘要】：经过二十多年的发展，中国股票市场无论是在投资者的数量和类型方面，还是在政府建立和健全相关制度方面，都取得了重大的进步。但是，中国股票市场价格波动频率高，波动幅度大，股市过度波动特征明显。股价的过度波动使得股市难以充分发挥资源配置的功能，容易造成金融体系的不稳定，进而给实体经济带来冲击。股票市场信息的非对称性，决定了市场博弈各方的行为，也带动了股票价格的波动，过度的价格波动更是由市场博弈各方的信息博弈行为所决定的。政府、机构和个人投资者作为股票市场的主要参与主体，自觉不自觉地参与到股市信息运行过程。因此，研究市场主体博弈对中国股市过度波动影响，并提出相关的政策建议，促进股票市场的健康、规范发展，，是一个具有重要理论和现实意义的课题。本文首先分析了股价过度波动的危害，并回顾了前人的相关研究成果。接着，针对市场主体行为对股价波动影响的过程，运用博弈论的原理，分别建立了政府与投资者的信号博弈模型，机构与个人投资者的演化博弈模型以及政府、机构和个人投资者的三方博弈模型，重点探讨博弈均衡实现过程中，各方博弈主体行为对股市过度波动的影响。研究发现：政府与投资者信号博弈出现分离均衡时，政府可以对投资者的行为进行引导，而在政府运用政策调控股市的实践中，受到政策目标、政府与投资者对信息反应灵敏程度、投资者收集信息成本等多方面因素的影响，分离均衡无法实现进而出现股市过度波动。机构与个人投资者的演化博弈具有多重均衡的特征，博弈模型均衡点不同，股市波动程度不同。政府、机构和个人投资者三方博弈实质为机构投资者作为中间信息加工和传递者，实现政府、机构与个人投资者的信息博弈。然后，基于市场主体博弈的视角，提出了提高政府宏观调控股市能力、完善股票市场信息传递机制、培育机构理性投资的专业素养以及改善个人投资者学习演化机制等方面的政策建议。最后，对未来的研究进行了展望。
[Abstract]:After more than 20 years of development, China's stock market has made great progress both in terms of the number and type of investors, as well as in the establishment and improvement of the relevant system of the government. However, the price fluctuation of the Chinese stock market is high, the volatility is large, the volatility of the stock market is obvious. The excessive volatility of the stock price makes the stock market difficult. In order to give full play to the function of resource allocation, it is easy to cause the instability of the financial system and impact on the real economy. The asymmetry of the stock market information determines the behavior of the parties in the market game and the fluctuation of the stock price. The excessive price fluctuation is determined by the information game behavior of the market players. As the main participation subject of the stock market, the government, institutions and individual investors consciously and unconsciously participate in the process of the stock market information operation. Therefore, it is of great theoretical and practical significance to study the market subject game to influence the excessive volatility of the Chinese stock market, and to put forward relevant policy suggestions to promote the health of the stock market and standardize the development. Subject.
This paper first analyzes the harm of over volatility of stock price, and reviews the previous research results. Then, in view of the process of the influence of market subject behavior on stock price fluctuation, the game theory is used to establish the signal game model of government and investors, the evolutionary game model of institutional and individual investors, and the government, institutions and The three party game model of individual investors focuses on the effect of the behavior of the players on the stock market over volatility during the process of game equilibrium. The study finds that the government can guide the behavior of investors when there is a separation and equilibrium between the government and the investor's signal game, but in the practice of the government's policy regulation and control of the stock market, the government is subject to the practice of the government's policy regulation and control of the stock market. To the policy goal, the government and the investor are sensitive to information, and the investors collect the information cost and other factors. The separation equilibrium cannot be realized and the stock market is over undulation. The evolutionary game of the institutional and individual investors has multiple equilibrium characteristics. The equilibrium point of the game model is different, the volatility of the stock market is different. The government, The three party game of institutional and individual investors is the essence of the game of institutional investors as intermediate information processing and transmitters to realize the information game between the government and the individual investors. Then, based on the game of the market subject, it is proposed to improve the government's macro regulation and control of the stock market ability, improve the information transfer mechanism of the stock market, and cultivate the rational investment of the institution. Finally, future research is prospected.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224.32

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