我国证券市场中小投资者与上市公司投资策略博弈分析

Analysis on Game of Investment Strategy between Medium and Small Investors and Listed Company in Our Security Market

基于行为金融学与数学博弈的视角,对小投资者与上市公司投资策略差异性进行分析,认为市场中各方参与者在一定规则下追求自身利益最大化的过程属于博弈论中的多方动态博弈,市场中参与者的决策与行动会相互影响、相互制约。通过不完全信息动态博弈中精炼贝叶斯均衡,考虑上市公司可能存在信息虚报,并设置相关造假成本变量,模拟中小投资者与上市公司之间的博弈行为;得出均衡条件下中小投资者始终处于弱势的结论,提出在我国当前国情下资本强国建设离不开中小投资者的参与,提高其市场地位,不仅要提高他们的受教育水平,还应着重加强第三监管方对于市场的监管与保护力度等市场治理的政策建议。

The work aims to analyze the difference of investment strategy between small investors and listed company from the perspective of finance and mathematics game.The process during which the market participants pursue their own maximum benefits in abiding by certain rules is regarded as the multi-party dynamic game in the game theory and the decisions and behaviors of market participants will affect and restrict each other mutually.Through the perfect bayesian equilibrium in the incomplete dynamic game information,the listed company is considered to have false information,so the relevant variables of fraud cost are set up to simulate the game between medium and small investors and listed company.The conclusion that medium and small investors lie in disadvantageous position in the equilibrium is obtained and the following political suggestions on market control are also put forward.In current situation of the country,the medium and small investors are integral part to construct the capital power.To improve their market position,it is necessary to enhance their education level and strengthen the force of supervision and protection on the market by the third supervisors.