在相关系数暧昧环境下的市场微观结构研究

doi:10.16381/j.cnki.issn1003-207x.2018.04.016

摘要/Abstract

摘要： 投资者对相关系数的认知存在暧昧性从一个新的视角解释了金融市场中投资者有限参与现象。为了研究如何从市场微观结构设计的角度降低投资者的认知暧昧性，提高其市场参与程度，本文假设所研究经济体中存在两个证券发行市场：投资者认知暧昧性较低的A市场和较高的B市场。当两种风险资产分别在不同的证券市场上发行时，投资者的资产组合决策将会不同，从而各市场的均衡状态和风险资产的均衡价格也不相同。考虑公司上市成本和收益，理性的公司管理者将选择均衡价格较高的市场来发行证券。本文的研究发现，最大相关系数暧昧性、投资者结构等因素的变化对公司选择证券发行市场有重要影响，说明了通过市场微观结构设计来降低投资者对市场认知的暧昧性具有重要意义。市场微观结构特征，如严格的证券发行标准、充分的信息披露等旨在提高市场透明度的设计，能够在一定程度上降低投资者的认知暧昧性，提高其市场参与程度，以提高金融市场流动性，使公司股票的市场均衡价格更好地反映其资产的真实价值。我们的研究还发现，为满足不同特征上市公司的融资需求，需要建立多层次资本市场。

关键词: 暧昧厌恶, 证券发行市场选择, 公司上市成本, 复杂型投资者, 单纯型投资者

Abstract: Investors' perceived ambiguity of correlation explains the limited participation phenomenon in financial markets from a new perspective. In order to study how to reduce investors' ambiguity from market microstructure design and improve investors' participation, it is assumed that there are two financial markets in the economy:Market A with low and Market B with high perceived ambiguity. When the two risky assets are issued in different markets, investors' portfolio selections are different, so are the equilibrium status of the market and the equilibrium prices of the risky assets. Considering the listing costs and benefits, rational corporate managers will choose the market with higher equilibrium prices to issue their shares. In this paper it is found that the changes of factors, such as maximum correlation ambiguity and investor structure, have important influences on firm's listing choice. Thus, it is of great importance to reduce the investors' ambiguity by market microstructure design. Specific characteristics design aimed to enhance market transparency, such as stringent listing standard and adequate information disclosure, can reduce investors' correlation ambiguity and enhance their participation, thereby to improve the market liquidity and make the equilibrium price better reflect its fundamentals. It is also found that it is necessary to establish multi-level capital markets to finance firms with different characteristics.

Key words: ambiguity aversion, listing choice, issuing cost, sophisticated investors, naive investors

中图分类号:

F830.91

何俊勇, 张顺明. 在相关系数暧昧环境下的市场微观结构研究[J]. 中国管理科学, 2018, 26(4): 139-154.

HE Jun-yong, ZHANG Shun-ming. Market Microstructure under Ambiguity of Correlation[J]. Chinese Journal of Management Science, 2018, 26(4): 139-154.

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