本文選題：信息不對(duì)稱(chēng)　切入點(diǎn)：多輪博弈　出處：《華北電力大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：交易量作為市場(chǎng)活力與效率的主要指標(biāo)之一,能很好地反映市場(chǎng)公開(kāi)與內(nèi)部的信息,通過(guò)對(duì)交易量的考察可以更深入地研究市場(chǎng)結(jié)構(gòu)和資源配置效率。盡管?chē)?guó)內(nèi)外很多學(xué)者對(duì)交易量做了深入的研究,但是目前學(xué)術(shù)界對(duì)市場(chǎng)交易量的影響因素方面以及各因素之間的相互作用機(jī)制等方面的探索尚不全面,而這些問(wèn)題的探究對(duì)于使投資者更好地了解和認(rèn)識(shí)市場(chǎng)具有非常重要的意義。信息是市場(chǎng)的核心要素之一,同時(shí)信息不對(duì)稱(chēng)作為市場(chǎng)的固有現(xiàn)象,表現(xiàn)為每個(gè)市場(chǎng)的參與者不易獲得相同的信息含量,故市場(chǎng)參與者通常是在信息不對(duì)稱(chēng)情形下的通過(guò)對(duì)進(jìn)行資本的博弈角逐,進(jìn)而對(duì)市場(chǎng)產(chǎn)生影響。如果把市場(chǎng)效率比作一項(xiàng)工程的話,那么信息和博弈就是他的地基和鋼梁。研究市場(chǎng)信息和博弈行為對(duì)市場(chǎng)效率的影響,對(duì)于投資者較好地認(rèn)識(shí)市場(chǎng)結(jié)構(gòu)及其效率有十分積極的作用。充分認(rèn)識(shí)交易量的與信息之間的相互關(guān)系以及相互作用機(jī)制,一方面有利于投資者做出正確的資產(chǎn)組合決策,降級(jí)風(fēng)險(xiǎn),提高報(bào)酬率；另一方面,有利于政府對(duì)公司與企業(yè)的監(jiān)管。 與價(jià)格反應(yīng)不同,交易量反應(yīng)所體現(xiàn)的是在市場(chǎng)對(duì)信息的吸收消化過(guò)程中不同投資者之間對(duì)未來(lái)預(yù)期的不一致性�；趯�(duì)投資者信息不對(duì)稱(chēng)內(nèi)涵的新認(rèn)識(shí),文章在現(xiàn)代證券投資組合等金融理論的基礎(chǔ)上,根據(jù)國(guó)內(nèi)外參考文獻(xiàn),尋找影響交易量的諸多因素,建立了不對(duì)稱(chēng)信息下交易者博弈與市場(chǎng)成交量的相互作用模型,并采用時(shí)間序列模型分析其影響作用。根據(jù)我國(guó)上海證券交易市場(chǎng)111家上市公司2002年——2013年12年期間的周數(shù)據(jù),采用滾動(dòng)模型,結(jié)合交易成本、股價(jià)等變量,采用時(shí)間序列模型的分析方法,嘗試從不同角度探討投資者對(duì)所擁有的不同信息做出的反應(yīng)對(duì)股票交易量的影響。研究發(fā)現(xiàn)：投資者擁有的信息不對(duì)稱(chēng)以及對(duì)不對(duì)稱(chēng)信息做出的反應(yīng)影響著交易量的變化。具體而言,多輪博弈后交易量與投資者所擁有的信息的不對(duì)稱(chēng)程度呈現(xiàn)正相關(guān)關(guān)系；當(dāng)知情交易者的比例越大,多輪博弈后交易量的變化越小；當(dāng)非理性交易者的比例越大,多輪博弈后交易量變化就越大；當(dāng)不知情交易者所得的信息與知情交易者的差異越大,多輪博弈后交易量就會(huì)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.
【學(xué)位授予單位】：華北電力大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51;F224.32

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