摘要
无套利均衡是新古典主义理论在特定条件下所界定的市场均衡特征。考察卖空限制和借款约束行为对资本市场上的组合和套利行为的影响,并结合市场从非均衡向均衡的调整过程,定性考察不同行为假设之下资本市场均衡特征的变化,可以发现,资本市场均衡和套利机会之间的共存或排斥状态,直接受制于有关市场参与者的初始行为假设。在不同的行为假设之下,市场参与者的组合和套利行为具有不同的特征和不同的影响。
Non-arbitrage equilibrium is the characteristic defined by the new classicalism. This paper studies the effects of short sale and borrowing constraints on portfolio and arbitrage, the adjusting process from non-equilibrium to equilibrium, different equilibrium characteristics under different behavior assumptions. The outcomes show that the relationships between arbitrage and capital market equilibrium are directly affected by the assumptions about market participators. Different behavior assumptions will have different characteristics and effects.
出处
《经济理论与经济管理》
CSSCI
北大核心
2003年第10期36-41,共6页
Economic Theory and Business Management
