Teoria dos jogos e a manipulação da bolsa de valores: uma análise para o caso brasileiro

Abstract

One of the fundamental roles of the stock exchange is to finance the national economy, therefore it is extremely important that the State takes measures to support and encourage investments in financial markets. The Securities and Exchange Commission (CVM) is the body responsible for regulating Brazilian markets, acting through proactive measures that ensure market transparency and equity. The present work uses Game Theory as an analytical tool to develop a static game of complete information between the Securities and Exchange Commission and an investor trying to manipulate the stock market. The model presents an investor who chooses between two strategies: manipulating the market or not manipulating the market; and the regulatory body chooses between: investigating market abuse or not investigating market abuse. When analyzing the sensitivity of the model, it is concluded that when the fine set by the CVM is very high in relation to the informational income that the investor should receive when manipulating the market, the CVM is therefore not interested in investigating market abuse. On the other hand, if the informational income comes close to the fine charged by the CVM for manipulating the market, the CVM is interested in investigating market abuse. Therefore, the informational income must always be lower than the fine imposed by the CVM in order to have a mixed strategy game.