中国证券市场监管：基于博弈论视角的分析

【作者】 屈国俊；

【导师】 贾明德；

【作者基本信息】 西北大学 ， 政治经济学， 2005， 博士

【摘要】 当今,金融市场已成为现代市场经济的中最重要的市场。离开金融市场,任何经济的运转都是不可想象的。而金融市场中最为重要的证券市场已成为当代经济学研究的主流。没有成熟的证券市场,就不会有现代的市场经济。 证券市场作为一国经济中最活跃、最核心的市场,存在任何市场均普遍存在的市场失灵问题,因此政府必须干预。证券市场的失灵主要包括由于证券市场的外部性所导致的金融风险和泡沫、由于信息不对称和内部非经济所导致的市场失灵和由于市场垄断与操纵所导致的市场失灵,而且这些经济现象的表现比一般的商品市场更加严重,这些失灵需均要政府的监管才能解决。各国证券市场发展的历史表明,由于证券交易天生具有严重的信息不对称和责任不对等问题,没有严格的监管,证券市场就特别容易出现道德风险、逆向选择和机会主义倾向,因此,世界发达国家的政府均对证券市场进行严格的管理。转型国家在体制转轨进程中往往需要利用作为资本市场主体部分的有价证券市场来实现其经济目标,证券市场的产生是政府强制性主动创造的制度安排,证券市场的基础薄弱,法制不健全,运作不规范,因此,对证券市场的监管就显的更为重要。 中国证券市场作为由传统计划经济体制向市场经济体制转轨时期诞生的政府强制性制度变迁的产物,不但具有新兴转轨市场的一切特征,而且还具有中国证券市场的独特的特点:如股权分割、上市公司治理结构不健全、诚信缺失等先天性缺陷。这些特殊性造成中国证券市场黑幕重重:欺诈发行、虚假信息、股价操纵、内幕消息盛行等违法违规行为十分普遍,使中国证券市场上信号扭曲、投机严重,没能发挥对社会资源的优化配置和促进产业结构升级的功能。1999年7月1日《证券法》实施以来,中国证券市场的监管才开始进入法制化轨道,但由于先天的制度性缺陷和监管部门监管能力的不足,中国证券市场仍远没有达到公平、公开和公正原则的要求,证券市场的违法违规行为仍然十分普遍,带来了大量的系统风险,并在近期纷纷暴露。如何加强对中国证券市场的监管,保护中小投资者的利益,促进市场的公平和效率,是摆在中国证券监管部门面前的重要问题。 博弈论作为研究决策主体的行为发生直接相互作用时的决策以及决策方的决策均衡问题的理论,其应用范围已遍及经济学的各个领域。而资本市场特别是证券市场又成为博弈论在经济学中最重要、最热门的应用领域之一。这是因为证更多还原

【Abstract】 Without financial market, any modern economy would not run. Securities market is the important market of financial market, the research of securities is main field modern economy. It is not have modern market economy without mature securities market. Securities market also has market failure what any market has as the core and the activity market of one country economy, so the government will intervene in it. The market failures of securities market include that financial risk and bubble aroused by Externality, information asymmetry, internal non-economic, market monopoly and manipulating. And those failures are more serious than ordinary product market. It would be solved by government regulation. The history of the securities market development of most country reveal that securities is incline to arouse moral hazard, adverse selection and opportunistic behavior because of seriously information asymmetry and non-equal duty of securities market, so securities market of modern countries is strictly regulated by their government. Transition countries need securities market to achieve their economics goal in their system transfer process. Securities market system is initiative created by government and it is a compelling institution arrangement. So the basis of the securities is weakly in law and function. China securities market is a result of compelling system transition in the process of transforming planned economy through market economy. It is not only has all characteristic of rising and transition securities market but also has it’s own specialty, such as partition of share, imperfection of listed company administration, lack of credit and so on. And those specialties lead to lots of illegal behavior of Chinese securities market. Chinese securities market does not play an important role of resource allocation and advance the industry structure because of signal distorted and seriously venture behavior. Since 1st July 1999 the implement of securities act, the regulating of Chinese securities market start to administrate by law. But it does not attain to the requirement of the principle of Open, Equity and Fair because of lack the regulating ability and institution defect. Illegal behavior is pervasive in Chinese securities market. This leads to lots of system risk and break out in recently. It is important question that how to strengthen the regulating of Chinese securities market, how to protect the advantage of middle-small investor and promote the fair and efficiency of Chinese securities market.The game theory applies in lots of fields as a theory that it main interest in researching decision-making of people and equilibrium problem of thisdecision-making under reciprocity condition. It is prominent in applying in economics especially. The game theory also has applied extensively in capital market which is the main field of economics, especially in securities market. In securities market, information is most asymmetric and most important and central. It is a typical game. In this market, there are lots of players. They game with each other and want to attain to their max profit.This dissertation uses the basic principle of game theory to analyze the regulating of that based on the absorbing and referring securities market achievement in home and abroad. It founded a rent-seeking model of issue securities market. Through analyzing, we conclude that there has serious rent-seeking in Chinese securities issue market. This conclusion is accorded with the reality.In order to analyzing the illegally behavior of securities exchange market, we founded a supervised game model. Through analyzing, we conclude that if the player attains more profit than normal by illegal action, the regulating department must check strengthening. Then will decrease the illegal behavior of market player. In addition, the government also inspirits the regulation department when they success in striking illegal behavior of exchange securities market. In this way, the regulation department has motive to strike the illegal behavior of exchange securities market.Based on the analyzing of this paper, we put forward to aspect of Chinese securities market :(i) to definitude the duty of regulation department and perfect the central and uniform regulation system;(ii) to strengthen the base of legal system;(iii) to utilize the self-regulation duty of self-discipline organization;(iv) strengthen supervising force of security and implement efficiency supervise;(v) institution innovate by market-orient;(vi) strengthen supervise to regulation department.更多还原