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本文基于机构博弈的背景,构建了一个对受到财务约束的危机券商进行掠夺性交易,并导致个别危机券商的危机传染扩散到整个市场的模型。模型揭示了一种全新的有别于价格操纵的新的市场操纵手法,即掠夺性交易。对模型的数值分析的结果表明,无论掠夺交易者的掠夺成功与否,掠夺性交易对社会福利的影响是消极的。中国证券市场长达4年的熊市已经使市场的泡沫处于较低的水平,在这种情况下如果发生掠夺性交易将成为压垮众多危机边缘金融机构的最后一根稻草,引发管理层所不乐见的系统性危机。
Based on the background of institutional game, this paper constructs a model of the predatory transaction of financially constrained crisis brokers and the crisis contagion of individual crisis brokers to the entire market. The model reveals a whole new kind of market manipulation that is different from price manipulation, predatory trading. The numerical analysis of the model shows that predatory trades have a negative effect on social welfare irrespective of the predatory traitor’s success. A bear market of 4 years in the Chinese stock market has put the market bubble at a low level, under which predatory trading would be the last straw that crushed financial institutions on the brink of crisis, triggering management Happy to see the systemic crisis.