信息不对称条件下多轮博弈对市场成交量的影响

发布时间：2018-03-04 07:11

本文选题：信息不对称　切入点：多轮博弈　出处：《华北电力大学》2014年硕士论文　论文类型：学位论文

【摘要】：交易量作为市场活力与效率的主要指标之一,能很好地反映市场公开与内部的信息,通过对交易量的考察可以更深入地研究市场结构和资源配置效率。尽管国内外很多学者对交易量做了深入的研究,但是目前学术界对市场交易量的影响因素方面以及各因素之间的相互作用机制等方面的探索尚不全面,而这些问题的探究对于使投资者更好地了解和认识市场具有非常重要的意义。信息是市场的核心要素之一,同时信息不对称作为市场的固有现象,表现为每个市场的参与者不易获得相同的信息含量,故市场参与者通常是在信息不对称情形下的通过对进行资本的博弈角逐,进而对市场产生影响。如果把市场效率比作一项工程的话,那么信息和博弈就是他的地基和钢梁。研究市场信息和博弈行为对市场效率的影响,对于投资者较好地认识市场结构及其效率有十分积极的作用。充分认识交易量的与信息之间的相互关系以及相互作用机制,一方面有利于投资者做出正确的资产组合决策,降级风险,提高报酬率；另一方面,有利于政府对公司与企业的监管。与价格反应不同,交易量反应所体现的是在市场对信息的吸收消化过程中不同投资者之间对未来预期的不一致性。基于对投资者信息不对称内涵的新认识,文章在现代证券投资组合等金融理论的基础上,根据国内外参考文献,寻找影响交易量的诸多因素,建立了不对称信息下交易者博弈与市场成交量的相互作用模型,并采用时间序列模型分析其影响作用。根据我国上海证券交易市场111家上市公司2002年——2013年12年期间的周数据,采用滚动模型,结合交易成本、股价等变量,采用时间序列模型的分析方法,尝试从不同角度探讨投资者对所拥有的不同信息做出的反应对股票交易量的影响。研究发现：投资者拥有的信息不对称以及对不对称信息做出的反应影响着交易量的变化。具体而言,多轮博弈后交易量与投资者所拥有的信息的不对称程度呈现正相关关系；当知情交易者的比例越大,多轮博弈后交易量的变化越小；当非理性交易者的比例越大,多轮博弈后交易量变化就越大；当不知情交易者所得的信息与知情交易者的差异越大,多轮博弈后交易量就会越大。
[Abstract]:Trading volume, as one of the main indicators of market vitality and efficiency, can well reflect the open and internal information of the market. The market structure and resource allocation efficiency can be studied more deeply through the investigation of trading volume, although many scholars at home and abroad have done in-depth research on trading volume. However, at present, the academic circles have not fully explored the influencing factors of the market trading volume and the interaction mechanism among the various factors. The exploration of these problems is of great significance for investors to better understand and understand the market. Information is one of the core elements of the market, and information asymmetry is an inherent phenomenon of the market. It is shown that the participants in each market are not easy to obtain the same information content, so market participants usually compete with each other through capital games in the case of asymmetric information. If the market efficiency is compared to a project, then the information and game is his foundation and steel beam. The influence of market information and game behavior on market efficiency is studied. It is very positive for investors to understand the market structure and its efficiency, and to fully understand the relationship between trading volume and information and the interaction mechanism, on the one hand, it is helpful for investors to make the correct portfolio decision. Downgrade the risk, improve the rate of return; on the other hand, conducive to government regulation of companies and enterprises. Unlike the price response, the trading volume response reflects the inconsistency of future expectations among different investors in the process of absorbing and digesting information in the market, and is based on a new understanding of the connotation of asymmetric information for investors. On the basis of modern financial theory, such as portfolio, and according to the references at home and abroad, this paper tries to find out many factors that affect the trading volume, and establishes the interaction model between traders' game and market turnover under asymmetric information. Based on the weekly data from 2002 to 2013 of 111 listed companies in Shanghai Stock Exchange, the rolling model is used to combine the variables such as transaction cost, stock price and so on. The analysis method of time series model is used. This paper attempts to explore the effect of investors' reaction to different information on stock trading volume from different angles. The results show that asymmetric information owned by investors and reactions to asymmetric information affect trading. Changes in quantity. Specifically, There is a positive correlation between trading volume and asymmetric degree of information owned by investors after multi-round game; when the proportion of informed traders is larger, the change of trading volume after multi-round game is smaller; when the proportion of irrational traders is larger, The greater the change of trading volume after multi-round game, the greater the trading volume will be after multi-round game when the difference between the information obtained by the uninformed trader and the informed trader is greater.
【学位授予单位】：华北电力大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224.32

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