摘要
机构投资者能否稳定市场是一个长期受到争议的话题。随着计算机和网络技术的发展,机构投资者的交易方式也在发生变化,高频交易被越来越多的机构投资者采纳,机构投资者高频交易对市场稳定性的影响这一问题开始受到关注。考虑机构投资者和个体投资者在市场中共存及其交互影响的情况,基于市场复杂性理论,从投资者行为的视角,构建机构投资者和个体投资者都采取低频交易的低频投资环境以及机构投资者采取高频交易、个体投资者采取低频交易的高频投资环境,并建立了两类投资环境下机构投资者与个体投资者交互影响的动态投资决策模型。研究结果表明,(1)当市场处于稳定区域时,不论机构投资者采取低频交易还是高频交易,市场都不会出现大幅波动的情况;(2)当市场超出低频投资环境下的稳定区域时,机构投资者采取低频交易不能为市场提供所需的流动性,市场会发生剧烈波动,此时机构投资者不能起到稳定市场的作用;如果机构投资者采取高频交易,将投资周期尽可能缩短到趋于零的状态,则能够通过带动个体投资者投资为市场注入流动性,从而起到稳定市场的作用。因此,稳定市场的有效途径并不在于一次性注入资金规模的大小,而在于资金注入的频率是否能够保持连续。进而,在此基础上提出鼓励高频交易和建立高频交易熔断机制的稳定市场的相关建议。研究结果为从投资频率的视角回答关于机构投资者能否稳定市场这一长期争论提供了一些正面支撑,也为维护中国证券市场长期良好发展提供政策建议。
Can the institutional investor stabilize the market？ It is a long debate. With the development of computer and network technology,the means of transaction for the institutional investor has been changing. More institutional investors prefer to adopt high-frequency trading. Meanwhile,the effect of high-frequency trading of the institutional investor on market stability has attracted more attention. Due to the co-existence of institutional investors and individual investors,two simulating and computational markets are elaborated on the foundation of Complexity Theory from the perspective of investor behavior. In the first market,a discrete dynamic decision making model is established to characterize the scenario where both institutional investors and individual investors adopt low-frequency trading strategy. In the second market,continuous dynamic decision making models are devised to mirror the context where institutional investors employ high-frequency trading strategy and individual investors employ low-frequency strategy.Based on the stability analysis of these two dynamic decision making models,we compare the stable regions of these two models and obtain the results involved the effect of trading frequency on the market stability. Then we demonstrate these results visually by simulation as follows.（1）Within the stable area of market,there is no dramatic fluctuation whatever institutional investor trades in a low-frequency or high-frequency way.（2） When going beyond the stable area of the market with discrete investments,the market may not be stabilized and the dramatic fluctuations may occur if low-frequency trading strategy is implemented by institutional investors,since low-frequency trading could not provide enough liquidity for the market. However,when institutional investors trade with so high frequency as to reducing the investment period almost to zero,the market can be regulated from instability to stability. This is because high-frequency trading leads to high liquidity by driving the tradin
作者
茹华杰
吴承尧
RU Huajie;WU Chengyao(School of Management Science and Engineering, Nanjing University, Nanjing 210093, China;College of Finance, Nanjing Agricultural University, Nanjing 210095, China)
出处
《管理科学》
CSSCI
北大核心
2018年第3期140-148,共9页
Journal of Management Science
基金
国家自然科学基金(71503130
71720107001
71701082
71471089)
中央高校基本科研业务费专项资金(KJQN201627)
教育部人文社会科学规划项目(17YJA790101)
中央高校基本科研业务费人文社会科学研究基金(SKCX2017007)~~
关键词
机构投资者
投资频率
高频交易
市场稳定
决策行为
institutional investor
trading frequency
high-frequency trading
market stability
decision behavior
