本文選題：證券借貸　切入點：證券賣空　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：本文主要由兩部分構(gòu)成。第一部分介紹了證券借貸和證券賣空市場；第二部分基于Wang et al的工作論文,在賣空者不能獲得當期賣空收入的假設(shè)下,構(gòu)建了一個新的賣空模型,這是文章的核心部分。在這個模型中,依然假設(shè)存在市場分割,即市場存在兩類投資者：可以貸出證券的Ⅰ類投資者和不能貸出證券的Ⅱ類投資者；樂觀的Ⅰ類投資者是賣空供給的唯一提供者,樂觀的Ⅱ類投資者是理想的均衡狀態(tài)下證券價格的唯一決定者。這個模型將證券交易市場和證券借貸市場結(jié)合在一起,共同并且同時決定了證券價格、借券費和賣空凈額。模型由兩部分構(gòu)成,第一部分是基于美國市場構(gòu)建的完全競爭借貸市場。在這一部分,本文分析了各個市場因子的變化對均衡結(jié)果的影響,包括投資者信念差異的影響程度、Ⅰ類投資者(潛在貸券者)的總體數(shù)量、投資者的平均估值、賣空限制、召回風(fēng)險和預(yù)算約束等市場因素。第二部分是基于中國、日本和韓國市場,在博弈論框架下構(gòu)建的寡頭壟斷借貸市場。在這個市場中,Ⅰ類投資者要進行一個兩階段的博弈。在這一部分,本文討論了投資者信念差異的影響程度、投資者對風(fēng)險的傾向程度、Ⅱ類投資者的總體數(shù)量、Ⅰ類投資者的個體估值以及預(yù)算約束對均衡結(jié)果的影響。因為博弈過程的復(fù)雜性,有些因素對均衡結(jié)果的影響并不是直觀的。因此,本文對每一個影響因子分別設(shè)計了一個數(shù)值實驗來直觀地說明因素的影響規(guī)律和影響程度。
[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，

本文編號：1637271