本文選題：實(shí)物期權(quán) + 期權(quán)博弈��； 參考：《山東大學(xué)》2012年博士論文

【摘要】：論文的研究對(duì)象為“外資銀行進(jìn)入時(shí)機(jī)”。目前關(guān)于外資銀行進(jìn)入的文獻(xiàn)主要集中在進(jìn)入動(dòng)機(jī)、模式、區(qū)位選擇等方面,進(jìn)入時(shí)機(jī)的研究很少。但是掌握合理的進(jìn)入時(shí)機(jī),無論是對(duì)于外資銀行、中資銀行,還是監(jiān)管者都非常重要。論文通過理論與實(shí)證相結(jié)合的方法,旨在對(duì)“外資銀行進(jìn)入時(shí)機(jī)”進(jìn)行初步探索,嘗試給出更為合理的外資銀行進(jìn)入時(shí)機(jī)的決策依據(jù)。 論文采用實(shí)物期權(quán)方法研究外資銀行進(jìn)入時(shí)機(jī)問題。實(shí)物期權(quán)理論可分為傳統(tǒng)的實(shí)物期權(quán)理論與期權(quán)博弈理論。傳統(tǒng)的實(shí)物期權(quán)理論不考慮競(jìng)爭(zhēng)者的影響,將進(jìn)入者視為壟斷者,其目標(biāo)是利用期權(quán)定價(jià)的思想得到一個(gè)最佳的投資時(shí)機(jī)。期權(quán)博弈理論將實(shí)物期權(quán)理論與博弈論相結(jié)合,研究不確定環(huán)境下理性參與人之間的策略性投資問題。Dixit(?)(?) Pindyck(1994)所討論的期權(quán)博弈模型是一經(jīng)典模型。論文對(duì)該模型的結(jié)論進(jìn)一步延伸,得出一系列推論。經(jīng)典的期權(quán)博弈模型沒有考慮先動(dòng)優(yōu)勢(shì),沒有區(qū)分領(lǐng)導(dǎo)者與追隨者是否同質(zhì),論文引入這兩點(diǎn)對(duì)該模型進(jìn)行重構(gòu),并得出相關(guān)結(jié)論。 利用實(shí)物期權(quán)理論研究外資銀行進(jìn)入時(shí)機(jī)是可行的,但同時(shí)具有一定的特殊性。根據(jù)實(shí)物期權(quán)理論,外資銀行進(jìn)入動(dòng)機(jī)理論受到一定的挑戰(zhàn)。 從業(yè)務(wù)經(jīng)營(yíng)的范圍及外資銀行的影響力來看,中國(guó)外資銀行進(jìn)入的動(dòng)機(jī)總的來說是“客戶追隨”,論文采用“逐步回歸法”驗(yàn)證了這樣的觀點(diǎn)�！翱蛻糇冯S”的動(dòng)機(jī)說明外資銀行對(duì)其客戶具有一定的壟斷力,從而在“時(shí)機(jī)”問題上適合傳統(tǒng)的實(shí)物期權(quán)理論。論文利用生存模型對(duì)歷年來中國(guó)外資銀行進(jìn)入時(shí)機(jī)進(jìn)行實(shí)證檢驗(yàn),實(shí)證結(jié)果顯示中國(guó)外資銀行進(jìn)入的時(shí)機(jī)與傳統(tǒng)實(shí)物期權(quán)理論的結(jié)論基本吻合,但也體現(xiàn)出其獨(dú)特性：政策對(duì)外資銀行進(jìn)入時(shí)機(jī)的影響非常大；來自于市場(chǎng)的不確定雖然阻礙外資銀行進(jìn)入,但是這一阻礙作用因?yàn)楦哳~回報(bào)的驅(qū)使,顯得不那么重要；實(shí)力越強(qiáng)的外資銀行由于更具有等待能力,從而在進(jìn)入時(shí)機(jī)上表現(xiàn)的不是很迫切。外資銀行進(jìn)入中國(guó)初期的主要服務(wù)對(duì)象還是來自于母國(guó)的客戶或者與母國(guó)有關(guān)的業(yè)務(wù),仍對(duì)客戶具有一定的壟斷力,所以長(zhǎng)期來看,傳統(tǒng)的實(shí)物期權(quán)理論依然具有適用性及指導(dǎo)性。 雖然總體上中國(guó)外資銀行進(jìn)入動(dòng)機(jī)的特征是“客戶追隨”,但是卻逐漸顯現(xiàn)出“當(dāng)?shù)厥袌?chǎng)利用”的特征。該特征表明,外資銀行對(duì)其客戶不具有壟斷力,需要考慮競(jìng)爭(zhēng),因此期權(quán)博弈理論也有其適用性,這不可避免的涉及到“先動(dòng)優(yōu)勢(shì)”。論文利用國(guó)內(nèi)銀行業(yè)1999-2010年700個(gè)樣本數(shù)據(jù),通過“相對(duì)進(jìn)入次序”與“絕對(duì)進(jìn)入次序”兩個(gè)視角,采用最小二乘法,驗(yàn)證了中國(guó)銀行業(yè)確實(shí)存在先動(dòng)優(yōu)勢(shì)：越早進(jìn)入,表現(xiàn)越好,在位時(shí)間越長(zhǎng),表現(xiàn)越好。因此,先動(dòng)優(yōu)勢(shì)是外資銀行進(jìn)入中國(guó)時(shí)需要考慮的影響因素。論文根據(jù)期權(quán)博弈理論,利用先動(dòng)優(yōu)勢(shì)、不確定性、當(dāng)前現(xiàn)金流等影響因素分析了人民幣零售市場(chǎng)上、農(nóng)村金融市場(chǎng)上中資銀行與外資銀行進(jìn)入時(shí)機(jī)上的期權(quán)博弈,并提出相關(guān)建議。在期權(quán)博弈模型下,對(duì)于監(jiān)管者而言,光靠審慎性的監(jiān)管措施并不夠,必須有限制性的監(jiān)管措施；在一定的市場(chǎng)環(huán)境下,批準(zhǔn)弱銀行進(jìn)入、強(qiáng)銀行等待未必不是好的選擇。 以上有關(guān)外資銀行的進(jìn)入時(shí)機(jī)的理論及實(shí)證研究是建立在全資進(jìn)入的假設(shè)之下的�？紤]到合資、參股等其他進(jìn)入模式,又會(huì)使進(jìn)入的時(shí)機(jī)發(fā)生變化。于是論文建立了進(jìn)入模式對(duì)進(jìn)入時(shí)機(jī)影響的實(shí)物期權(quán)模型。不考慮其他因素,“部分進(jìn)入”本身體現(xiàn)為一種靈活性,并可以保證犯錯(cuò)的概率最小。同時(shí),部分進(jìn)入與全資進(jìn)入相比有一定的優(yōu)勢(shì),使得“立即部分進(jìn)入”在特定的環(huán)境下成為最佳的選擇。根據(jù)部分進(jìn)入的實(shí)物期權(quán)模型,外資銀行通過參股的方式盡早進(jìn)入中國(guó)依然是一不錯(cuò)的選擇。 論文創(chuàng)新之處主要體現(xiàn)在以下三個(gè)方面： 一、對(duì)Dixit and Pindyck(1994)經(jīng)典期權(quán)博弈模型進(jìn)行擴(kuò)展：首先對(duì)該模型原有的結(jié)論進(jìn)一步延伸,得出一系列推論；其次,在該模型的基礎(chǔ)上引入先動(dòng)優(yōu)勢(shì)、并區(qū)分企業(yè)是否同質(zhì),重新構(gòu)建模型。 二、利用傳統(tǒng)的實(shí)物期權(quán)理論、期權(quán)博弈理論的結(jié)論及推論,根據(jù)中國(guó)外資銀行進(jìn)入時(shí)機(jī)的數(shù)據(jù),做了一系列的實(shí)證分析：1、采用逐步回歸法對(duì)中國(guó)外資銀行進(jìn)入動(dòng)機(jī)進(jìn)行實(shí)證檢驗(yàn),中國(guó)外資銀行進(jìn)入動(dòng)機(jī)的總特征為“客戶追隨”。2、由于外資銀行進(jìn)入動(dòng)機(jī)的總特征為“客戶追隨”,因此總體上來看,進(jìn)入時(shí)機(jī)的實(shí)證可在“傳統(tǒng)實(shí)物期權(quán)理論”框架下進(jìn)行。論文采用“生存模型”方法驗(yàn)證,中國(guó)外資銀行進(jìn)入的時(shí)機(jī)與傳統(tǒng)實(shí)物期權(quán)理論的結(jié)論基本相吻合,但是本身也具有獨(dú)特性。3、利用700個(gè)樣本數(shù)據(jù),從“相對(duì)進(jìn)入次序”與“絕對(duì)進(jìn)入次序”兩個(gè)視角,實(shí)證檢驗(yàn)中國(guó)銀行業(yè)確實(shí)存在先動(dòng)優(yōu)勢(shì)。4、外資銀行“當(dāng)?shù)厥袌?chǎng)利用”進(jìn)入動(dòng)機(jī)逐漸顯現(xiàn),表明期權(quán)博弈理論也有其一定的適用性。根據(jù)期權(quán)博弈理論,論文分析了人民幣零售市場(chǎng)、農(nóng)村金融市場(chǎng)中資銀行與外資銀行的期權(quán)博弈問題,并提出相關(guān)建議。 三、以上的理論及實(shí)證是建立在外資銀行全資進(jìn)入的假設(shè)之下,但是考慮到合資、入股等其他進(jìn)入模式,進(jìn)入模式的不同也會(huì)對(duì)進(jìn)入時(shí)機(jī)產(chǎn)生影響,因此論文構(gòu)建“進(jìn)入模式對(duì)進(jìn)入時(shí)機(jī)影響的實(shí)物期權(quán)模型”,并據(jù)此分析中國(guó)外資銀行入股中資銀行的現(xiàn)實(shí)問題。
[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 .
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.3;F224

【引證文獻(xiàn)】

相關(guān)期刊論文 前1條

1 丁淑娟;;實(shí)物期權(quán)對(duì)國(guó)際生產(chǎn)折衷理論的挑戰(zhàn)[J];東岳論叢;2013年09期

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本文編號(hào)：1908840