信息不对称条件下机构投资者的行为与监管研究

【作者】 林文生；

【导师】 甘当善；

【作者基本信息】 复旦大学 ， 金融学， 2004， 博士

【摘要】 近几年来,我国证券市场机构投资者已经取得较快和较为全面的发展,机构投资者整体实力也已达到一定规模,对金融市场的影响力日益扩大,机构投资者整体构成方面也逐步趋向合理。在机构投资者发展的同时,我国学术界也一直在关注机构投资者有关问题的研究。笔者认为,在加快机构投资者发展过程中,有两个方面的问题值得进一步的研究,一是机构投资者如何才能促进证券市场信息效率,提高证券市场发挥优化资源配置功能。二是开放经济条件下,如何面对国际机构投资者跨市场的投资和投机行为,维护金融安全和稳定。本文主要运用理性预期均衡理论和行为金融学有关论述,从与机构投资者有关的各种信息非对称入手,对机构投资者的行为和监管问题进行了研究。 针对第一个问题,本文分两个步骤进行讨论,先是假定机构投资者的行为都是合规的,没有证券欺诈行为,运用理性预期均衡理论和行为金融学理论,对机构投资者的有限理性行为和证券市场效率之间的关系作了分析,并认为机构投资者的理性行为是促进市场效率的关键所在。在此基础之上,对中国证券市场的理性表现进行了分析,并提出了一些培育理性机构投资者的监管方面的措施和建议。同时对机构投资者和政府之间的博弈作了分析,并对有关机构投资者证券欺诈行为的监管作了研究,认为政府应当加大对机构投资者的证券欺诈行为监管的力度,以杜绝有损市场公平和效率的证券欺诈行为。对于第二个问题,本文从国内外机构投资者之间的信息不对称入手,参考劳拉和马特休关于国际金融传染的理性预期均衡模型和香港金融监管方面的经验教训,分别得出了应当尽快让中国的机构投资者走向国际证券市场和应当加强金融监管方面的协调的观点。更多还原

【Abstract】 During the recent several years, institutional investors in China have developed greatly, both in amount and in size. Domestic scholars have paid continual attentions to the issues related to institutional investors along with the development of institutional investors. In my opinion, there are still two important issues deserve further researches: one is how the institutional investors can succeed in their efforts to improve the informational efficiency of security market, and the other issue is how to ensure the safety of China’s financial markets, as more and more foreign institutional investors get the permission to invest in China’s security market, and that some of the investors might invest or speculate in multi-markets in China and in the world. As to the first question, my research goes in two steps. First,I assume that institutional investors have no fraud behaviors, and make some analyses about weather institutional investors can successfully improve the efficiency of security market, and come to the conclusion that rationality of institutional investors is the key for institutional investors to improve market efficiency. On the basis of theoretical analyses, my concerns go to the practical cases related to rationality of China’s security market, and the regulation of fraud behaviors is also touched in this part of research. About the second issue, my research goes around the informational asymmetry between domestic and foreign institutional investors, and after deep research with preference to a rational expectation equilibrium model of contagion and Hong Kong’s experience of regulation, my two suggestions are: it is necessary to permit domestic institutional investor to invest in international capital market and that corresponding regulation among regulation institutions are critically important in their efforts to successfully regulate world institutional investors’ speculation in multi-markets in one country or world-wide.更多还原