实验方法下信息不对称和操纵对预测市场的影响
发布时间：2018-11-23 07:34
【摘要】：有效市场假说(EMH)无疑是近现代金融理论最重要的基石之一。它指出,投资者能够无偏地预期收益,使得信息能够快速地扩散和聚合,并反映在价格上。尤其是在强有效市场中,任何公开和非公开的信息都能最终反映到市场价格中。也正是这种优良的信息有效性使得资本市场具有一定的预测性。同时，越来越多的证据表明单一股票的微观市场更容易满足EMH的结论。这便是预测市场诞生的背景。作为搜集信息的工具,预测市场并不以满足流动性为目的,且能够对企业运营决策和产品设计，甚至政治选举都能起到良好的辅助作用。本文通过实验经济的方式,从最基本的对照组开始.层次递进的添加了信息不对称因素、内部人存在的公开性因素、基于信息的操纵行为因素和基于交易的操纵行为因素,全方位的对预测市场信息扩散的能力和抗操纵的能力进行研究。实验结果发现,首先，信息不对称对资产泡沫影响取决于内部人的存在是否被市场所知。当内部人的身份被公开时.为了竞争获利机会,他们会大大增加报价的频率，从而使得价格反映出更多的私人信息,抵御了泡沫的膨胀。其次，，无论是基于信息的操纵,还是基于交易的操纵,预测市场能够有效的抵御。原因在于.操纵者为了抬高市场价格将频繁入市,无意间提供了额外的市场流动性。同时,由于投资者之间的资金头寸没有太大的差距,削弱资金的撬动能力,这使得预测市场虽然结构简单,但是能够很好的抵御操纵的影响。
[Abstract]:The efficient market hypothesis (EMH) is undoubtedly one of the most important cornerstones of modern financial theory. It points out that investors can unbiased the expected return, so that information can quickly spread and aggregate, and reflected in the price. Especially in a strong efficient market, any open and private information can eventually be reflected in the market price. It is this excellent information effectiveness that makes the capital market predictable. At the same time, there is growing evidence that single-stock micro-markets are more likely to meet EMH's conclusions. This is the background to the birth of the forecast market. As a tool for collecting information, forecasting markets are not designed to satisfy liquidity, and can play a good role in business decisions, product design, and even political elections. This paper starts with the most basic control group by means of experimental economy. At the same time, the information asymmetry, the openness of the insiders, the manipulation based on information and the manipulation based on the transaction are added to the hierarchy step by step. Research on the ability to predict the diffusion of market information and the ability to resist manipulation. The experimental results show that, first of all, the influence of information asymmetry on asset bubbles depends on whether the existence of insiders is known by the market. When the identity of an insider is disclosed. In order to compete for profit opportunities, they will greatly increase the frequency of prices, so that prices reflect more private information, and resist the bubble inflation. Second, whether based on information manipulation or based on trading manipulation, forecasting market can effectively resist. The reason is. Operators will enter the market frequently in order to raise market prices, inadvertently providing additional market liquidity. At the same time, because there is no big gap between investors' capital positions, it weakens the ability to leverage funds, which makes the forecast market structure simple, but it can resist the influence of manipulation.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224
本文编号：2350795
[Abstract]:The efficient market hypothesis (EMH) is undoubtedly one of the most important cornerstones of modern financial theory. It points out that investors can unbiased the expected return, so that information can quickly spread and aggregate, and reflected in the price. Especially in a strong efficient market, any open and private information can eventually be reflected in the market price. It is this excellent information effectiveness that makes the capital market predictable. At the same time, there is growing evidence that single-stock micro-markets are more likely to meet EMH's conclusions. This is the background to the birth of the forecast market. As a tool for collecting information, forecasting markets are not designed to satisfy liquidity, and can play a good role in business decisions, product design, and even political elections. This paper starts with the most basic control group by means of experimental economy. At the same time, the information asymmetry, the openness of the insiders, the manipulation based on information and the manipulation based on the transaction are added to the hierarchy step by step. Research on the ability to predict the diffusion of market information and the ability to resist manipulation. The experimental results show that, first of all, the influence of information asymmetry on asset bubbles depends on whether the existence of insiders is known by the market. When the identity of an insider is disclosed. In order to compete for profit opportunities, they will greatly increase the frequency of prices, so that prices reflect more private information, and resist the bubble inflation. Second, whether based on information manipulation or based on trading manipulation, forecasting market can effectively resist. The reason is. Operators will enter the market frequently in order to raise market prices, inadvertently providing additional market liquidity. At the same time, because there is no big gap between investors' capital positions, it weakens the ability to leverage funds, which makes the forecast market structure simple, but it can resist the influence of manipulation.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224
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