信息不对称条件下机构投资者的行为与监管研究
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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。
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.
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。
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.
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刘振亚 主编:《美国共同基金》,经济科学出版社,2001年11月第一版
刘振亚 主编:《美国股票市场》,经济科学出版社,2001年11月第一版
罗伯特.J.希勒:《非理性繁荣》,中国人民大学出版社,2001年4月
马洪潮:“中国股市投机的实证分析”,《金融研究》,2001年第3期
慕刘伟:“现代中国证券市场不规范的制度分析”,《金融研究》,2002年第9期
聂庆平:《中国金融风险防范问题研究》,中国金融出版社, 2000年11月第一版
欧阳为民:《中国非银行金融业研究》,中国金融出版社,2001年12月版
蒲秋芳:“协调发展货币市场和资本市场,提高货币政策有效性”,《投资与证券》,2002年3月1日
屈文洲,吴世农:“中国股票市场微观结构的特征分析”,《经济研究》,2002年第一期
饶育蕾,刘达峰:《行为金融学》,上海财经大学出版社,2003年5月
陈斌,李信良,杜要忠:《中国股市个人投资状况调查》,深证综字第0055号,2002年4月15日
石俊志:《金融危机生成机理与防范》,中国金融出版社,2001年4月版
施东辉:《中国股市微观行为理论与实证》,上海远东出版社2001年9月
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特伦斯.C.米尔斯 著, 余卓菁 译: 《金融时间序列的经济计量学模型》,2002年7月第二版
王建平 高晋康 主编:《证券市场风险的法律规制》, 西南财经大学出版社, 2000年11月第一版
王森 齐莲英 主编:《美国证券市场:制度、运作与监管》, 经济科学出版社,2002年8月第一版
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夏斌:《中国“私募基金”报告》,载《财经》2001年第7期
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徐滇庆 于宗先 王金力:《泡沫经济与金融危机》,中国人民大学出版社, 2000年8月第一版
杨迈军 汤进喜:《金融衍生品市场的监管》,中国物价出版社,2001年10月第一版
杨湘豫 李华中:“中国证券市场与宏观经济的数量关系分析”,《财经理论与实践》,2002年第5期
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叶青:《中国证券市场风险的度量与评价》,中国统计出版社, 2000年12月第一版
叶祥松:“论我国上市公司的制度性缺陷”, 《求是学刊》,2002第4期
易纲,王召:“货币政策与金融资产价格”, 《经济研究》, 2002年第3期
约翰.伊特威尔(英),艾斯.泰勒(美) 著,成家军,郑薇 译:《全球金融风险监管》, 经济科学出版社,2001年7月第一版
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第一期
张人骥,王怀芳,王耀东,朱海平:"上海证券市场系统风险趋势与波动的实证分析",《金融研究》,2000年年第一期
张圣平:《偏好、信念、信息与证券价格》,三联书店、上海人民出版社,114-124,2002年11月 第一版
张圣平,熊德华,张峥,刘力:“现代经典金融学的困境与行为金融学的崛起”,《金融研究》,2003年第4期
张亦春,王先庆:《国际投机资本与金融动荡》,中国金融出版社,1998年5月第一版
赵涛,郑祖玄:“信息不对称与机构操纵”,《经济研究》,2002年第7期
赵锡军:《论证券监管》, 中国人民大学出版社,2000年4月第一版
赵学军:“中国股市‘处置效应’的实证分析”,《金融研究》,2001年7期
郑辉:《资本控制与短期宏观经济动态稳定》,复旦大学出版社, 2001年12月第一版
《中国金融年鉴》,2001年,2002年
《中国证券期货统计年鉴》,2001年,2002年
周春生,杨云红:“中国股市的理性泡沫”,《经济研究》,2002年第7期
周道许:《现代金融监管体制研究》,中国金融出版社, 2000年1月第一版
周道许:《金融全球化下的金融安全》,中国金融出版社,2001年9月版
周骏 张中华 郭茂佳:《货币政策与资本市场》,中国金融出版社, 2002年9 月第一版
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《中国金融年鉴》,2001年,2002年
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