Game Behavior between Institutional and Individual Investors in Chinese Stock Market

摘要

Based on KMRW reputation model proposed by Kreps, Milgrom, Roberts and Wilson(1982), in the light of the trading behavior characteristics of institutional and individual investors in Chinese stock market, this paper built a model that individual investors play game with institutions according to the observed changes of stock price. The game results show that the behavioral strategies which can achieve utility maximization are not able to be carried out by all institutional and individual investors due to special economic environment in which Chinese stock market is. Therefore, strengthening supervision and enhancing the transparency of information should be the most important tasks.