摘要
本文建立了一个信息波动条件下的机构重复博弈模型,对机构投资者之间的博弈行为进行了分析。结果表明,信息冲击是导致机构投资者做出买卖决策的关键原因;机构投资者的合作均衡和背离均衡均不是风险占优均衡;在信息冲击下,机构博弈是动态的重复博弈过程。
This paper builds a repeated game with volatility information to analyse the behavior of institution investors. Our main findings can be summarized as follows： the shock of information is the key cause for insti- tution investors to buy and sell; neither the two pure strategy equilibriums is risk-dominant equilibrium; the games among the institution investors are dynamic repeated process with the shock of information.
出处
《运筹与管理》
CSCD
2006年第6期83-86,共4页
Operations Research and Management Science
基金
上海市教委基金资助项目(CW0461)
上海市教委后备优秀青年教师资助项目(RE405)
关键词
金融学
均衡
博弈
机构投资者
信息冲击
finance
equilibrium
game
institution investors
shock of information
