本文選題：市場(chǎng)主體 + 分離均衡��； 參考：《南京航空航天大學(xué)》2013年碩士論文

【摘要】：經(jīng)過二十多年的發(fā)展，中國(guó)股票市場(chǎng)無(wú)論是在投資者的數(shù)量和類型方面，還是在政府建立和健全相關(guān)制度方面，都取得了重大的進(jìn)步。但是，中國(guó)股票市場(chǎng)價(jià)格波動(dòng)頻率高，波動(dòng)幅度大，股市過度波動(dòng)特征明顯。股價(jià)的過度波動(dòng)使得股市難以充分發(fā)揮資源配置的功能，容易造成金融體系的不穩(wěn)定，進(jìn)而給實(shí)體經(jīng)濟(jì)帶來(lái)沖擊。股票市場(chǎng)信息的非對(duì)稱性，決定了市場(chǎng)博弈各方的行為，也帶動(dòng)了股票價(jià)格的波動(dòng)，過度的價(jià)格波動(dòng)更是由市場(chǎng)博弈各方的信息博弈行為所決定的。政府、機(jī)構(gòu)和個(gè)人投資者作為股票市場(chǎng)的主要參與主體，自覺不自覺地參與到股市信息運(yùn)行過程。因此，研究市場(chǎng)主體博弈對(duì)中國(guó)股市過度波動(dòng)影響，并提出相關(guān)的政策建議，促進(jìn)股票市場(chǎng)的健康、規(guī)范發(fā)展，，是一個(gè)具有重要理論和現(xiàn)實(shí)意義的課題。 本文首先分析了股價(jià)過度波動(dòng)的危害，并回顧了前人的相關(guān)研究成果。接著，針對(duì)市場(chǎng)主體行為對(duì)股價(jià)波動(dòng)影響的過程，運(yùn)用博弈論的原理，分別建立了政府與投資者的信號(hào)博弈模型，機(jī)構(gòu)與個(gè)人投資者的演化博弈模型以及政府、機(jī)構(gòu)和個(gè)人投資者的三方博弈模型，重點(diǎn)探討博弈均衡實(shí)現(xiàn)過程中，各方博弈主體行為對(duì)股市過度波動(dòng)的影響。研究發(fā)現(xiàn)：政府與投資者信號(hào)博弈出現(xiàn)分離均衡時(shí)，政府可以對(duì)投資者的行為進(jìn)行引導(dǎo)，而在政府運(yùn)用政策調(diào)控股市的實(shí)踐中，受到政策目標(biāo)、政府與投資者對(duì)信息反應(yīng)靈敏程度、投資者收集信息成本等多方面因素的影響，分離均衡無(wú)法實(shí)現(xiàn)進(jìn)而出現(xiàn)股市過度波動(dòng)。機(jī)構(gòu)與個(gè)人投資者的演化博弈具有多重均衡的特征，博弈模型均衡點(diǎn)不同，股市波動(dòng)程度不同。政府、機(jī)構(gòu)和個(gè)人投資者三方博弈實(shí)質(zhì)為機(jī)構(gòu)投資者作為中間信息加工和傳遞者，實(shí)現(xiàn)政府、機(jī)構(gòu)與個(gè)人投資者的信息博弈。然后，基于市場(chǎng)主體博弈的視角，提出了提高政府宏觀調(diào)控股市能力、完善股票市場(chǎng)信息傳遞機(jī)制、培育機(jī)構(gòu)理性投資的專業(yè)素養(yǎng)以及改善個(gè)人投資者學(xué)習(xí)演化機(jī)制等方面的政策建議。最后，對(duì)未來(lái)的研究進(jìn)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.
【學(xué)位授予單位】：南京航空航天大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224.32

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