【作者】 王性玉；

【导师】 郭耀煌；

【作者基本信息】 西南交通大学 ， 管理科学与工程， 2002， 博士

【摘要】 21世纪，世界经济运行的重心将转向现代金融业和知识产业。以知识经济为核心的现代科学技术的发展及其在实体产业中的扩散，是21世纪经济增长的原动力。但如果没有功能强大、高速运转的现代金融体系作支撑，科学技术的经济增长效应将大打折扣。作为现代金融体系基础的证券市场，在促进产业结构调整、优化资源配置和促进实体经济发展中的作用日益为人们所重视，特别在我国市场化建设的进程中，证券市场功不可没。但作为在传统计划经济体制基础上嫁接的带有典型市场经济特征的中国证券市场，为中国经济的发展和国企改革做出了太多的贡献，同时也存在太多的问题。如何破解中国证券市场的难题，研究证券市场的一般发展规律，将具有重要的理论价值和广泛的现实意义。 本文试图以博弈论作为主要经济分析工具，吸收和发展国内外关于证券市场的研究成果，对中国证券市场存在的主要问题进行系统分析。通过对市场参与者偏好特征的考察，建立他们之间双方或多方博弈模型，利用纳什均衡的分析方法，求解他们博弈的均衡策略，进而找出影响策略变量的政策和市场因素。研究证券监管体制和现行监管政策对市场效率的影响，揭示中国证券市场若干重大问题存在的深层次原因，指出中国证券市场发展过程中在指导思想与理论研究上存在的缺陷，给出制定和实施证券监管政策的理论依据和若干具体政策建议。本文把博弈论系统引入到证券市场的研究，准确地把握了证券市场各参与方的博弈特征，开拓了博弈论应用研究的新领域。同时，本文从博弈论角度建立了一个关于证券监管理论的分析框架，并对若干监管政策进行了具体的博弈论分析，得出了一些重要结论，从而发展了一般商品市场监管理论，弥补了经济学在证券监管研究方面的不足。全文分为中国证券市场概况及研究状况、上市公司与投资人的博弈分析、机构投资人与中小投资者的博弈分析、证券监管及证券监管政策的博弈分析、监管政策博弈分析的应用，主要包括以下内容： 首先，对中国证券市场的发展概况和存在的主要问题进行了总结，并对中国证券市场问题国内外研究现状进行了综述，然后给出了本文的研究思路。 第二，对上市公司与投资人之间的策略行为进行了系统的博弈论分析。在概述上市公司与投资人一般关系的基础上，研究了一级市场公司新股发行的信号传递模型及在二级市场上增发、配股的股权变动模型，通过均衡分析，揭示了上市公司的信号成本对双方博弈策略和市场效率的影响；给出了上市公司最优资本结构的博弈论解释和股权资本与债权资本相互转化的条件；用重复博弈的观点，研究了上市公司存在的融资困境，给出了上市公司走出融资困境、走第 i i页 西南交通大学博士研究生学位论文出信誉危机的几种方法和途径，以及证券监管部门解诀证券市场信誉问题的政策建议。本部分是市场行为分析的重点。 第三，研究了机构投资者与中小投资者之间的博奔策略。考察了我国证券市场投资者群体结构对市场投资理念和市场效率的影响；通过建立双方静态博奕和动态博奕模型，研究了双方的行为策略以及中小投资者的自我保护问题，初步揭示了信息披露制度的重要性；通过对从众行为理论的考察，进一步揭示 ＼了信息传递的全面性、准确性和及时性对投资者的保护至关重要。 第四，证券监管和监管政策的博奕论分析。（1）论证了我国证券监管体制。证券监管政策分析的博弃要素及博奔特征；（2）研究了缺口类监管政策的局限性，给出了改进该类政策的理论导向，并通过实证分析，验证了现行配股政策的实施结果能较好地吻合本研究的前提假设和模型结论：（3）研究了监管政策的不一致性，给出了走出政策困境的着于建议；（4）研究了对市场违规行为进行监管的静态和动态博奕模型，通过纳什均衡分析，给出改进政策变量的理论依据，并再次得出提高监管政策的科学性、改进监管技术手段、加强信息披露制度建设对我国证券市场发展的重要意义。本部分是本文的核心工作。 最后，监管政策博拜分析的一些应用。在监管政策的目标选择、监管思路的调整、监管体制的建设、信息不对称情况下的市场监管策略等方面给出了相应的对策和建议。更多还原

【Abstract】 21st century will shift the focus of world economy to modern finance and intellectual property rights. The original drive for the economic increase in 21st century is the knowledge-economy-centered modern science and technology and their use in industries. The economic increase of science and technology will be somewhat impossible without the backing up of modern financial system of great function and speed. Security market, as the basis of modern finance, is drawing more and more human attention in the adjustment of industrial structure, the optimization of resource distribution and economic development. Security market is of great contribution in the process of market construction. But China security market, which characterizes typical market economy on the basis of the traditional planned economy, is of great service in the economic development of our country and in the reform of state-owned enterprises. Yet at the same time many problems exist. It is of great theoretical value and realistic significance to study the general laws in the development of security market for cracking the hard nuts of China security market.This paper makes a systematic analysis of the chief problems existing in China security market by using game theory as the chief economic analysis and by absorbing and perfecting the research results on security market home and abroad. It tries to find out the game equilibrium strategies of market participants, their policies and market factors that affect their strategies by observing their preference, establishing their bilateral and multi-lateral game models and making use of the analytical method of Nash equilibrium. The paper studies the effect that current security supervision and management system and policies leave on the market efficiency, revealing the deep causes of the major problems in China security market, pointing out the defects in guiding ideology and theoretical research in the development of China security market, offering the theoretical basis and some concrete suggestions in making and carrying out security supervision and management policies. It applies game system in the research of security market, mastering the game characteristics of participants of security market, opening up the new realm of applied research. The paper, from the viewpoint of game theory, proposes a theoretical analysis frame of securitysupervision and management, giving some game analysis to supervision and management policies, reaching some important conclusions, thus improving the general supervision and management theory of commodity market, remedying the defects of economics in the field of security supervision and management research. The paper is divided into five parts: brief introduction to China security market and its research, listed companies and game analysis of investors, game analysis of organization and individual investors, security supervision and management and their policy analysis, the application on the game analysis of supervision and management policy. The chief contents include:I. The paper puts forward its own approach on the basis of the summery and analysis of the development, the problems and the research of China security market.II. It makes a systematic game analysis of the strategic behavior between listed companies and investors. It studies, on the basis of a brief account of the general n ’ationship of listed companies and investors, the information transmissi model of new stock issuing of the initial Public Offerings and stock ownership shift of extra issuing and stock-allocation of the second-hand market. It reveals, through equilibrium analysis, the effect that signal costs of the listed companies have on the game strategies and market efficiencies. It offers the theoretical game expounding for the best-capital structure and the exchange conditions of stock holders’ and creditors’ capital. By using repetition game, the paper makes a study of the difficulties of fund-collecting of the listed companies, suggests a few ways to g更多还原