| 存在老鼠仓时证券市场多期均衡分析 |
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| 引用本文： | 周仁才. 存在老鼠仓时证券市场多期均衡分析[J]. 上海交通大学学报, 2010, 44(12): 1631-1634 |
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| 作者姓名： | 周仁才 |
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| 作者单位： | （1．上海交通大学 安泰经济与管理学院， 上海 200052； 2．东方证券股份有限公司， 上海 200010）
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| 摘 要： | 构建了老鼠仓、做仓机构投资者和其他普通投资者的多期交易模型，通过将老鼠仓交易量作为噪声源，从加剧市场信息不对称以及改变做仓机构投资者效用取向等角度，分析了市场参与各方的交易行为，并利用理性预期均衡方法求解市场多期均衡.通过定量分析表明，老鼠仓交易市场冲击系数随着做仓交易次数的增加而减小，老鼠仓交易量随之增加；但是，在多期做仓交易过程中，其他普通投资者并不能因为交易次数的增加而更加准确地获取资产价值信息.
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| 关 键 词： | 老鼠仓 多期均衡 效用改变 信息不对称 |
| 收稿时间： | 2009-05-06 |
Analysis of Securities Market Multi Period Equilibrium under Rat Trade Condition |
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ZHOU Ren cai,
. Analysis of Securities Market Multi Period Equilibrium under Rat Trade Condition[J]. Journal of Shanghai Jiaotong University, 2010, 44(12): 1631-1634 |
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| Authors: | ZHOU Ren cai
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| Affiliation: | (1．Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200052, China； 2．Orient Securities Co. Ltd., Shanghai 200010, China)
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| Abstract: | A multi period trade model including the rat, the institutional investor and the other individual investors was constructed. The rat trade not only changes the institutional investor’s utility, but also deepens the information asymmetry among investors. The model is resolved by using rational expectation equilibrium methods. Through the quantitative research, this paper shows that the market strike coefficient about rat trade decreases and the volume of rat trade increases with the trade time. But in the course of multi period rat trade, the other investors can not learn more information about asset value. |
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| Keywords: | rat trade multi period equilibrium utility change information asymmetry |
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