投资者与股市博弈模型

本文从个股的角度,运用博弈论剖析了投资者在股市上的投资战略.研究表明,投资者是选择"较小止损"战略还是选择"较大止损"战略取决于该股票下跌的幅度.     

我国股市中政府与投资者的行为博弈分析

中国股票市场自建立至今，已经历了多次大幅震荡。由于中国股市的建立是自上而下的强制性制度安排，且政府集上市公司股权的主要所有者和市场管理者于一身的特殊身份，造成了政府要同时承担发展和监管股市的双重职能，因此“政策市”效应成为影响股市波动的一个关键性因素，其作用过程是政府与投资者之间进行一场信号博弈。本文通过对该博弈进行的分析，揭示了政策效应在我国股票市场上的作用机理。并根据所做的分析，对政策效应主导下的股票市场的效率做出了评价。     

项目投资决策的双头垄断期权博弈模型

运用期权博弈模型,研究了企业在双头垄断竞争环境中的均衡投资策略。研究发现,企业的投资策略由竞争者的行动和市场需求产生的信息共同决定,而决策灵活性将对企业的投资策略产生重大影响,进而改变企业的投资收益。虽然竞争会对投资的期权价值造成侵蚀,但企业决策的灵活性仍将增加投资收益。     

我国股市中政府与投资者的行为博弈分析

文章通过股市中政府与投资者之间的行为博弈,分析了政策效应在我国股市波动中的影响,得出结论:通过政策引导股市是非理性的,政府的主要作用应放在培养良好的市场环境上。     

拨开股市博弈迷雾

"博弈"是个流行的词汇。无论在何种情况下,能理清博弈关系的人,就有机会从中获益。股市作为一个竞争市场,其参与者之间必然形成相互对抗、相互博弈的关系。认清股市中的博弈关系,对于把握股市投资机会无疑是一个非常重要的手段。     

基于期权博弈的战略投资决策分析

基于期权博弈的战略投资一般通过两阶段（战略研发投资阶段和商业化阶段）进行。企业战略投资的最佳时机选择本质上是对投资期权的灵活性价值与竞争战略占先价值之间进行权衡，从而实现企业价值的最大化。而企业的战略选择根据研发是竞争还是合作，研发投资的利益为竞争企业独占还是共享，以及商业化竞争是战略替代还是战略互补而有所不同。不确定性、不对称信息以及学习效应等都对企业的投资时机及投资价值产生一定的影响。     

机构投资者与股票价格

本文仅对机构投资者与股票价格有什么样的关系，机构投资者的兴起是否会改变所谓的“小盘股效应”做一探讨。     

股票市场上的融资博弈

企业为了拓展融资渠道,往往会积极推动公司上市,然而,投资者出于对风险的考量,在是否参与企业融资上往往举棋不定。从博弈论角度分析融资企业与投资者双方间各自的理性最佳选择,以及投资者在融资企业满足什么条件下才能最大程度的降低融资风险的问题。     

The stock market and investment: another look at the micro-foundations of q theory

This paper introduces a novel distinction between real q andfinancial q. The paper examines three versions of financialq developed by Brainard and Tobin, Minsky and Hayashi, respectively.These theories differ regarding the nature of stock market pricedetermination and their use of marginal productivity theory.It is shown that non-profit maximising behaviour by managersdoes not invalidate q theory. It is also shown that if managersand shareholders have different profit expectations, this leadsto an equilibrium value of q that differs from unity. Lastly,the implicit claims in q theory regarding the efficient roleof stock markets as regulators of capital accumulation are shownto depend on assumptions about stockholder behaviour.     

An introduction to the symposium on behavioral game theory

This article introduces the articles contained in the symposium on behavioral game theory. I break economic experiments studying game theory into three broad classes: (1) experiments studying and possibly modifying the assumptions that serve as foundations for game theory; (2) experiments that perform economic engineering, testing existing institutions with the aim of designing better ones; and (3) experiments designed to test theories which apply game theory to fields such as industrial organization.      

Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models

Recent empirical evidence suggests that stock market returns are predictable from a variety of financial and macroeconomic variables. However, with two exceptions this predictability is based upon a linear functional form. This paper extends this research by considering whether a nonlinear relationship exists between stock market returns and these conditioning variables, and whether this nonlinearity can be exploited for forecast improvements. General nonlinearities are examined using a nonparametric regression technique, which suggest possible threshold behaviour. This leads to estimation of a smooth-transition threshold type model, with the results indicating an improved in-sample performance and marginally superior out-of-sample forecast results.     

Stock market cycles and stock market development in Spain

In this paper we use Spanish stock market data to identify the bull and bear phases of the market and to analyze its characteristics during the period 1941-2002. We compare these characteristics with those of the US and of two other European countries (Germany and the UK). Our sample is divided in two subperiods in order to account for differences induced by the process of development undergone by Spanish capital markets in the late 1980s and early 1990s. We find that the Spanish stock market has become increasingly more similar to those of the more developed countries, although some differences still persist. Additionally, we show that concordance of the Spanish stock market with other developed markets has increased quite significantly.JEL Classification: C22, G15An earlier version of the paper circulated under the title Bulls and bears: lessons from some European countries. Comments from seminar participants at the Universidad de Navarra, at the IX Meeting of the Spanish Finance Association (Pamplona 2001) and at the Royal Econonomic Society Conference (Warwick 2002) are gratefully acknowledged. We are very grateful to J.M. Campa, G. Llorente and two anonymous referees for helpful comments and suggestions. We also thank D. Garcia and the Research Department of the Madrid Stock Exchange for generously providing the data of the Spanish case. Financial assistance from the Spanish Ministry of Science and Technology (SEC2002-01839) is gratefully acknowledged. The usual disclaimer applies.     

The stock market and investment in the small and open Norwegian economy

The relationship between the stock market and investment is analyzed by utilizing a multivariate vector autoregressive model, which also includes fundamentals represented by production and the bank interest rate. Two important results appear on the basis of data from the small, open economy of Norway. The financial market has no lead effect on real activity, as neither the stock market nor the credit market can predict future investment or production. On the contrary, current stock returns correlate negatively with lagged growth in investment, and positively with current growth in production. In addition, changes in the bank interest rate have a positive effect on future stock returns, production leads investment positively, and both production and the bank interest rate become exogenous variables in our model. First version received: November 1997/Final version received: October 2000     

Evidence of a stock market wealth effect using household level data

Using the household level data of urban households in Korea, this paper presents evidence for a statistically significant stock market wealth effect for the highest income bracket households who typically hold a large share of corporate stock.     

Politics and the stock market: Evidence from Germany

We analyze the interaction of stock market movements and politics in Germany. Evidence from popularity functions and VAR-based evidence suggests that stock market returns have affected the popularity of German governments. We only find weak evidence that the political process has had an impact on the stock market. In contrast to empirical evidence for the U.S., we do not find that German stock market returns tend to be higher during left-wing than during right-wing governments. Also in contrast to results for the U.S., we find no evidence for an election cycle in German stock market returns.     

Bond rating changes and stock returns: evidence from the Spanish stock market

This study analyzes the effect of corporate bond rating changes by international agencies on stock prices. This topic has not yet been analyzed for the Spanish stock market, despite the growing importance of ratings in Spanish financial markets. On an efficient market, rating changes will only have an effect if they contain some new information. The results from an event study indicate that rating actions cause significant negative abnormal returns in issuing firms around the date of the announcement. This evidence indicates an informational effect related to downgrades, which supports the hypothesis that credit rating agencies provide information that may reduce the asymmetric information problem between firms and investors. In the case of upgrades, our results are compatible with a redistribution of wealth between bondholders and owners or with the reputation hypothesis.      

中国股票市场发展与经济增长的实证研究

本文运用Johansen协整检验、格兰杰因果检验等计量经济学方法,通过分析我国近年来宏观数据及股市规模、流动性和波动性的季度数据,对中国股票市场发展与经济增长的关系进行了计量学检验。得出的结论是：总体上,中国股票市场和经济增长之间存在长期的均衡关系,经济增长对股市的发展具有一定促进作用,但股票市场对经济增长的作用十分有限。