与庄共舞对证券市场的影响分析

Analysis on the influence of dancing with the marketmakers on the securities market

针对庄家内幕交易的偏好,从交易动机上加以规避,同时基于贝叶斯信念更新,构建了一个理性预期均衡模型,探讨与庄共舞的逻辑机理及其对市场质量的影响,并且引入信息获取成本,分析信息市场均衡.结论显示价格的信息含量与庄家订单中的噪声负相关,资本成本与庄家的意愿订单和其订单中的噪声负相关,信息市场存在内点均衡和角点均衡两种状态.此外给出了庄家参与交易和市场中存在与庄共舞现象的充分条件.

Based on the method of Bayesian-updating, this study constructs a rational expectation equilibrium model to reduce the marketmakers’ preference for insider trading, and analyzes the logic of following the marketmakers and its impact on the quality of the market. Meanwhile, this study introduces the cost of information acquisition and analyzes the information market’s equilibrium. Our study concludes that the informativeness of prices decreases with the noise added by the marketmakers, and the capital cost decreases with the marketmakers’ desired order, as well as the noise added by the marketmakers. There exists interior equilibrium and corner equilibrium in the information market. In addition, sufficient conditions for the marketmakers’ entering the stock market and for the phenomenon of dancing with the marketmakers are given.