基于理性预期均衡的信息披露与金融市场动力学演化研究

管理评论 ›› 2020, Vol. 32 ›› Issue (7): 191-204.

基于理性预期均衡的信息披露与金融市场动力学演化研究

张强¹, 顾涛¹, 李想¹, 刘善存²

1. 北京化工大学经济管理学院, 北京 100029;
2. 北京航空航天大学经济管理学院, 北京 100191

收稿日期:2019-07-22 出版日期:2020-07-28 发布日期:2020-08-08
通讯作者: 刘善存(通讯作者),北京航空航天大学经济管理学院教授,博士生导师,博士
作者简介:张强,北京化工大学经济管理学院副教授,硕士生导师,博士;顾涛,北京化工大学经济管理学院硕士研究生;李想,北京化工大学经济管理学院教授,博士生导师,博士。
基金资助:
国家自然科学基金项目（71371024；71771008）；北京化工大学一流学科建设专项资金资助项目（XK1802-5）；北京航空航天大学专项基金项目（YWF-19-BJ-W-45）。

Information Disclosure of Rational Expectation Equilibrium and Dynamical Dynamics in Financial Market

Zhang Qiang¹, Gu Tao¹, Li Xiang¹, Liu Shancun²

1. School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029;
2. School of Economics and Management, Beihang University, Beijing 100191

Received:2019-07-22 Online:2020-07-28 Published:2020-08-08

摘要/Abstract

摘要： 基于资产定价的复杂性，在贝叶斯更新的理性预期均衡下，研究信息公开披露对金融市场的影响，比较分析交易者的投资策略以及市场动力学变化规律。结果表明：信息披露将削弱同源知情交易者的信息优势，减少异质知情交易者的信息不确定性，使得参与博弈的两类知情交易者的交易强度相互作用。具体表现为：直接的"不确定性减少"效应引发策略互补，间接的"推断增强"效应导致策略替代。信息披露提高了引发策略互补的阈值，从而降低市场的逆向选择风险，提升金融系统稳定性。同时，基于金融市场的自组织原理，分析了公开披露后市场流动性、价格的信息有效性以及交易者福利的变化情况。

关键词: 市场动力学, 自组织原理, 贝叶斯均衡, 策略互补, 策略替代

Abstract: Based on complexity of assets pricing, we analyze the implications of information disclosure and investigate the trading strategies and the market dynamics based on rational expectation equilibrium (REE) framework with Bayesian updating. Our results show that information disclosure weakens the information advantage of homologous informed traders and reduces the uncertainty faced by heterogeneous informed traders, which triggers the interaction of the trading intensity of two types of informed traders. Specifically, the direct "uncertainty reduction" effect leads to strategic complementary and the indirect "inference augmentation" effect leads to strategic substitutability. The information disclosure increases the threshold of strategic complementary, thereby reducing the adverse selection risk of the market and improving the stability of the financial system. Due to the self-organization phenomenon in financial markets, we also analyze the impact of public disclosure on market liquidity, price informativeness and the benefits of traders.

Key words: market dynamics, self-organizing principle, Bayesian equilibrium, strategic complementarity, strategic substitutability

张强, 顾涛, 李想, 刘善存. 基于理性预期均衡的信息披露与金融市场动力学演化研究[J]. 管理评论, 2020, 32(7): 191-204.

Zhang Qiang, Gu Tao, Li Xiang, Liu Shancun. Information Disclosure of Rational Expectation Equilibrium and Dynamical Dynamics in Financial Market[J]. Management Review, 2020, 32(7): 191-204.

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