有限理性影响下的证券交易异常行为博弈与政府监管研究

摘要/Abstract

摘要： 证券市场的信息不对称与市场噪声等使得个人投资者呈现出多种有限理性投资决策行为。这往往成为部分机构投资者以及上市公司操纵股价、非正常套利的重要前提。本文在以行为经济与行为金融理论对投资者研究分析基础上，应用演化博弈模型分别推演股票异常波动的上涨与下跌过程，并寻求稳定均衡点。通过对比分析发现，“上涨停牌”使个体投资者对买入交易趋于谨慎，其效果有助于遏制部分机构投资者恶意利用羊群效应操纵股价获利。而“下跌停牌”受监管部门信誉、长期与短期损失等多重因素影响，易造成股民恐慌心理，不断卖出使股价跌幅加剧，难以对市场交易异常行为的稳定发挥作用。研究结论从演化博弈分析的角度对阐释熔断机制在我国的实施效果与失败给出了启示。

关键词: 有限理性, 证券, 演化博弈, 停牌

Abstract: A variety of irrational investment decisions are caused by information asymmetry and market noise in the securities market. As a result, individual investors might be hunted by institutional investors and stock price manipulators. In this research, the behavior of individual investors is studied, and evolutionary games are proposed to simulate the behaviors of players in abnormal stock trading including abnormal rise and fall of prices. Analysis of stable equilibrium points shows that “trading suspension of rising stocks” makes individual investors more cautious in buying transactions. That helps to curb some institutional investors using the herd effect to manipulate stock prices. In contrast, “trading suspension of downward stocks” is influenced by factors, such as the credibility of the regulatory authorities, long-term and short-term losses and is easy to cause panic of investors. When continuous selling leads to increasing decline of stock prices, it is difficult to stabilize the market. The conclusion of this study provides some inspiration for explaining the effect and failure of circuit breakers in China from the perspective of evolutionary game analysis.

Key words: limited rationality, security, evolutionary game, stock suspension

李明琨, 葛艺博, 李慧. 有限理性影响下的证券交易异常行为博弈与政府监管研究[J]. 管理评论, 2022, 34(1): 51-58.

Li Mingkun, Ge Yibo, Li Hui. An Evolutionary Game Study on Abnormal Trading in Securities under the Influence of Limited Rationality[J]. Management Review, 2022, 34(1): 51-58.

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