【摘要】：有效市場(chǎng)假說(shuō)(EMH)無(wú)疑是近現(xiàn)代金融理論最重要的基石之一。它指出,投資者能夠無(wú)偏地預(yù)期收益,使得信息能夠快速地?cái)U(kuò)散和聚合,并反映在價(jià)格上。尤其是在強(qiáng)有效市場(chǎng)中,任何公開(kāi)和非公開(kāi)的信息都能最終反映到市場(chǎng)價(jià)格中。也正是這種優(yōu)良的信息有效性使得資本市場(chǎng)具有一定的預(yù)測(cè)性。同時(shí)，越來(lái)越多的證據(jù)表明單一股票的微觀市場(chǎng)更容易滿足EMH的結(jié)論。這便是預(yù)測(cè)市場(chǎng)誕生的背景。作為搜集信息的工具,預(yù)測(cè)市場(chǎng)并不以滿足流動(dòng)性為目的,且能夠?qū)ζ髽I(yè)運(yùn)營(yíng)決策和產(chǎn)品設(shè)計(jì)，甚至政治選舉都能起到良好的輔助作用。本文通過(guò)實(shí)驗(yàn)經(jīng)濟(jì)的方式,從最基本的對(duì)照組開(kāi)始.層次遞進(jìn)的添加了信息不對(duì)稱因素、內(nèi)部人存在的公開(kāi)性因素、基于信息的操縱行為因素和基于交易的操縱行為因素,全方位的對(duì)預(yù)測(cè)市場(chǎng)信息擴(kuò)散的能力和抗操縱的能力進(jìn)行研究。實(shí)驗(yàn)結(jié)果發(fā)現(xiàn),首先，信息不對(duì)稱對(duì)資產(chǎn)泡沫影響取決于內(nèi)部人的存在是否被市場(chǎng)所知。當(dāng)內(nèi)部人的身份被公開(kāi)時(shí).為了競(jìng)爭(zhēng)獲利機(jī)會(huì),他們會(huì)大大增加報(bào)價(jià)的頻率，從而使得價(jià)格反映出更多的私人信息,抵御了泡沫的膨脹。其次，，無(wú)論是基于信息的操縱,還是基于交易的操縱,預(yù)測(cè)市場(chǎng)能夠有效的抵御。原因在于.操縱者為了抬高市場(chǎng)價(jià)格將頻繁入市,無(wú)意間提供了額外的市場(chǎng)流動(dòng)性。同時(shí),由于投資者之間的資金頭寸沒(méi)有太大的差距,削弱資金的撬動(dòng)能力,這使得預(yù)測(cè)市場(chǎng)雖然結(jié)構(gòu)簡(jiǎn)單,但是能夠很好的抵御操縱的影響。
[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.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.9;F224

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