市场分割和卖空收入限制下的证券卖空建模

发布时间：2018-03-20 03:17

  本文选题：证券借贷　切入点：证券卖空　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文主要由两部分构成。第一部分介绍了证券借贷和证券卖空市场；第二部分基于Wang et al的工作论文,在卖空者不能获得当期卖空收入的假设下,构建了一个新的卖空模型,这是文章的核心部分。在这个模型中,依然假设存在市场分割,即市场存在两类投资者：可以贷出证券的Ⅰ类投资者和不能贷出证券的Ⅱ类投资者；乐观的Ⅰ类投资者是卖空供给的唯一提供者,乐观的Ⅱ类投资者是理想的均衡状态下证券价格的唯一决定者。这个模型将证券交易市场和证券借贷市场结合在一起,共同并且同时决定了证券价格、借券费和卖空净额。模型由两部分构成,第一部分是基于美国市场构建的完全竞争借贷市场。在这一部分,本文分析了各个市场因子的变化对均衡结果的影响,包括投资者信念差异的影响程度、Ⅰ类投资者(潜在贷券者)的总体数量、投资者的平均估值、卖空限制、召回风险和预算约束等市场因素。第二部分是基于中国、日本和韩国市场,在博弈论框架下构建的寡头垄断借贷市场。在这个市场中,Ⅰ类投资者要进行一个两阶段的博弈。在这一部分,本文讨论了投资者信念差异的影响程度、投资者对风险的倾向程度、Ⅱ类投资者的总体数量、Ⅰ类投资者的个体估值以及预算约束对均衡结果的影响。因为博弈过程的复杂性,有些因素对均衡结果的影响并不是直观的。因此,本文对每一个影响因子分别设计了一个数值实验来直观地说明因素的影响规律和影响程度。
[Abstract]:This paper mainly consists of two parts. The first part introduces the securities lending and short selling market, the second part is based on Wang et al's work paper, under the assumption that short sellers can not get the current short selling income, a new short selling model is constructed. This is the core of the paper. In this model, we still assume that there are two types of investors: class I investors who can lend out securities and type II investors who can not lend out securities. The optimistic class I investors are the only providers of short selling supply, and the optimistic class II investors are the only determinants of the stock prices in the ideal equilibrium state. This model combines the securities trading market with the securities lending market. The model consists of two parts. The first part is a completely competitive lending market based on the U.S. market. In this part, This paper analyzes the influence of market factors on equilibrium results, including the degree of influence of investor belief differences, the total number of class I investors (potential securities lenders), the average valuation of investors, and the limitation of short selling. The second part is based on the market of China, Japan and Korea, the oligopoly lending market built under the framework of game theory. In this market, In this part, we discuss the degree of influence of investor's belief difference, the degree of investor's tendency to risk, and the total number of class 鈪，

本文编号：1637271