Arbitrage And Equilibrium: The Arbitrage Analysis On The Disequilibrium Of China Securities Market

Arbitrage is the price forming mechanism of the secutities market, also the micro decision-making base for the institutional arrangement. This dissertation is divided into 5 chapters, and is mainly about 3 items: 1, the arbitrage concepts. Started from the origins of arbitrage and connected with the practice, It distinguishes the narrow sense arbitrage from the broad sense arbitrage. The dissertation introduces the pure arbitrage and risk arbitrage, horizontal arbitrage and temporal arbitrage, inter-risk arbitrage and inter-financial tool arbitrage and inter-term arbitrage,forex rate arbitrage and interest arbitrage and securities arbitrage and M&A arbitrage. It dissertates the relationship between arbitrage and the modern financial theories, so, the dissertation deepens and broadens the recongnation of arbitrage. 2, the arbitrage technologies and their applications. This dissertation sums up the arbitrage technology, illustrates the principle and process of the arbitrage practice, and addresses fully the application of arbitrage in lots of fields. 3, researchs on the relationship between arbitrage and equilibrium, which is the core of this dissertation. Based on the researchs of the predecessors,it explains why bubbles still exist in the matrue markets like u.s.a. it introduces the hedge funds: applications of arbitrage technology and their impact on market. This dissertation first puts forward the concept of "monopolistic arbitrage",and provides the theory base for Hongkong government's market-intervaning action in 1998. it also analyses the arbitrage phenomena in china's securities market, through introducing the institutional arrangement into the relationship between arbitrage and equilibrium, it dissertates the present arbitrage methods which derive form china's market institutional arrangement,and their influences on market equilibrium. So that it explain the disequilibrium and invalidation phenomena of the securities market in the transition economy such as china in an arbitrage method. Also, the dissertation suggests that in order to promote the equilibrium and efficiency of the securities market, the institutional arrangement should emphasize on constructing normal arbitrage mechanism and eliminating the institutional base for illegal arbitrage methods.This dissertation insists on the principle of theory connected with the practice, integrates the normal and positive method, and unifies the induction and deduction. It also applies the game theory in analysing problems in general, and illustates principle using examples. The dissertation make innovations as follows:1, it regards arbitrage as a price-forming mechanism, puts forward that the government should take the arbitrage mechanism into account when constructing the institutional arrangement for securities market. 2, it summarizes the arbitrage technology systematically, which help to apply the arbitrage technology in china market. 3, it first puts forward the concept of "monopolistic arbitrage", and provides the theory base for Hongkong government's market-intervaning action. 4, creatively, it introduces the exogenous institutional arrangement into the relationship between arbitrage and equilibrium, explains the disequilibrium and invalidation phenomena of china's securities market in an arbitrage method, and founds the micro theory base for transitional economys' institional arrangement in their securities markets.