摘 要
本文研究的方向为中国证券（股票）市场上政策影响和投资者行为
的诸多效应。揭示了在具有中国特色的证券市场上，投资者同管理层双
方各自为了自身效用最大化而进行的相互博弈；通过对政府和投资者双
方各自效用函数的分析寻找到博弈的均衡点。本文从中国股票市场“政
策市”的根源出发，分析政策对股票市场的影响。在对大量的数据处理
的基础上，用实证的方法说明了“政策市”的显著性，建立模型详细的
阐述了政府和投资者各自的目标函数，在此基础上得出双方在不同情况
下的博弈均衡，同时运用得出的博弈均衡恰当的解释了国有股减持政策
的运作过程对市场的影响。作为对政策效应的建议，在第六章提出了中
国证券市场制度创新中政府角色的转换。本文的第二侧重点在对投资者
行为理论中我国中、小投资者有显著性的“羊群效应”、“噪声交易”
和“处置效应”三个方面加以论述，采用的方法仍旧是基础数据处理，
建立模型和实证分析。在“羊群效应”的论述中采用了Sanders 和
Irwin(1997)的理论，建立模型，并引用了目前国内权威学者对数据的处理
方法和结论；综合论述了“羊群效应”的特征和对投资者的指导意义。

在“噪声交易”的分析中在论述了产生背景的基础上，建立了机构投资
者和中、小投资者双方博弈的纳什均衡。对噪声交易产生的背景和我国
股票市场上噪声交易的进行了实证分析，在德龙等人（J.Bradford De Long
and Andrei shleifer,1990）提出的DSSW 模型的基础上得出噪声交易下股
票市场参与主体的最优决策模型。并通过一定的公式推导得出市场的均
衡价格，对这一均衡价格进行合理的解释，说明1996 年后为什么每次市
场经历大幅下跌后市场的平衡价格总处于相对较高的位置，而不是指数
出现完全失控的状况，从而形成对管理层和投资者噪声交易的对策。在
对投资者“处置效应”的分析中运用的研究方法突出传统的单个交易单位
的局限，着眼全局，用基金投资者的投资行为和普通投资者的绩效做对
比，通过图表方式和最近的统计数据验证了中国证券市场上的“处置效
应”。得出投资者处置效应的两个有用的推论及其对投资者的投资建议。

本文发现了一个有趣的现象，在投资者行为分析中，“羊群效应”的消极
因素在某种程度上却成为“处置效应”的积极因素。本文的立足点在于通
过理论与实证的分析，发现一些有用的结论，用于指导实践或为实际工
作做出积极的建议。

关键词 政策市；投资者行为；羊群效应；噪声交易/处置效应
ABSTRACT
The research’s direction of this topic is policy influence and investor
behavior of Chinese stock market.On the stock market of China features,the
text account that investor and government each other game in order to earn
maximize proceeds.The text find balanced point of the game by way of
avail-functions each other. The text analyze source of “policy market”.The
foundation on which a lot of date is built, the text is used demonstration
method to showing the distinct “policy matket”,and the text establish model
for detailed explaining government’s target function different from the
investor.Articl educed game balance at different environment. At the same
time,it educed game balance to explain the policy of state-owned share
decrease influence market.The articl advance the suggestion of policy
effect,and the government switch role inside Chinese stock market system
innovation of chapter 6.In the text,the second emphasize particularly on three
important factor of behavioral finance theory are “herd behaviors”、“noise
trading” 、 “dispositioneffect”,and the method still is foundation data
analysis,to establish the model with the demonstration analysis. Behavioral
finance is everywhere that people make financial decisions. Psychology is
hard to escape; it touches every corner of the financial landscape, and it&39;s
important. Adopted the Sanders in the treatise of the “herdbehavior” with the
Irwin(1997) theories, establish the model, and quote from country authority
scholar’s conclusion.The articl discuss the characteristic of the “herd
behaviors” and important purpose of directing investor meaning.Text discuss
backgroud of “noise trading”,to establish the Nash equilibrium,and adopt to
DSSW model of J.Bradford De Long and Andrei shleifer(1990).At last, it
deduce the balanced price of the market. On analysis investor
“dispositioneffect”,it educe investor “dispositioneffect” two useful reasoning
and investor suggestion.
The state of China’s current securities market makes it impossible for
investors to pin hopes on obtaining long-term capital appreciation through
long-term investments. Instead they have to be all the more bent on earning
proceeds by engaging in short-term speculation. Moreover, the scale of the
securities market remains relatively small. As a result, the operation of such a
market shows, to a large extent, the characteristic of the “policy market” and
the “subject-oriented market”, making it urgent to improve the country&39;s
social environment for investment in securities.
Key word policy market； investors behavioral； herdbehavior；noise
trading；dispositioneffect