定价准则的公开性对内部交易均衡的影响分析
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摘要
在内部交易市场中,做市商的定价准则是否公开可能会对市场均衡产生一定的影响。我们首先讨论了垄断市场下公开定价准则和主从博弈下不公开定价准则的内部交易特征。然后通过比较定价准则的公开性在三种内部交易市场结构下的作用,发现:1)在垄断市场下,定价准则公开与否不影响市场均衡最终结果。2)在古诺博弈时,如果公开定价准则时,内部交易均衡不存在;但是,当不公开定价准则,内部交易均衡存在。3)在主从博弈时,如果公开定价准则时,跟随内部交易者的均衡利润优于领先者;但当不公开定价准则时,领先者的利润优于跟随者。
In insider trading market,whether pricing rule is open or not may cause some effects on market equilibrium. First,we investigate some characteristics of insider trading both in a monopoly market with open-pricing rule and in Stackelberg game market without open-pricing rule,respectively.By comparing the openness of pricing rule in three kinds of insider trading market structures,we find that: 1) in a monopoly market,the market equilibrium outcomes with open-pricing rule is the same as those without open-pricing rule. 2) In a Cournot game,when pricing rule is open,equilibrium does not exist; or it exists when pricing rule is not opens. 3) In a Stackelberg game,when pricing rule is public,the follower's profit at equilibrium is better than the leader's; but the case is opposite when pricing rule is not open.
In insider trading market,whether pricing rule is open or not may cause some effects on market equilibrium. First,we investigate some characteristics of insider trading both in a monopoly market with open-pricing rule and in Stackelberg game market without open-pricing rule,respectively.By comparing the openness of pricing rule in three kinds of insider trading market structures,we find that: 1) in a monopoly market,the market equilibrium outcomes with open-pricing rule is the same as those without open-pricing rule. 2) In a Cournot game,when pricing rule is open,equilibrium does not exist; or it exists when pricing rule is not opens. 3) In a Stackelberg game,when pricing rule is public,the follower's profit at equilibrium is better than the leader's; but the case is opposite when pricing rule is not open.
引文
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[7]ZHOU D Q. The virtue of overconfidence when you are not perfectly informed[J]. Economic Modelling,2015,47:105-110.
[8]DU S,LIU H. The overconfident trader does not always overreact to his information[J]. Economic Modelling,2015,46:384-390.
[9]JAIN N,MIRMAN L. Effects of insider trading under different market structures[J]. The Quarterly Review of Economics and Finance,2002,42:19-39.
[10]DAHER W,MIRMAN L. Cournot duopoly and insider trading with two insiders[J]. The Quarterly Review of Economics and Finance,2006,46:530-551.
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[14]DAHER W,KARAM F,MIRMAN L J. Insider trading with different market structures[J]. Interna-tional Review of Economics and Finance,2012,24:143-154.
[15]肖凯,周永辉.不完全噪声交易信息下的内部交易[J].贵州师范大学学报(自然科学版),2013,31(5):56-60.
[16]肖凯,周永辉.风险资产交易市场中两个信号下的内部交易[J].武汉大学学报(自然科学版),2014,4:374-376.
[17]徐慧,周永辉.在不完全信息下的内部交易行为分析[J].贵州师范大学学报(自然科学版),2014,32(2):52-56.
[18]余铁青,周永辉.在不完全噪声信息定价下的两类风险偏好内部交易[J].贵州师范大学学报(自然科学版),2015,33(1):82-87.
[19]韦家雪,周永辉.对风险资产相关性自信定价下的内部交易Nash均衡[J].贵州师范大学学报,2018,36(3):69-72.
[20]杨华昀,周永辉.新进者内部交易博弈的线性Bayesian-Stackelberg均衡[J].贵州师范大学学报(自然科学版),2018,36(1):72-76.
[21]GONG F Z,LIU H. The mixed equilibrium of insider trading in the market with rational expected price[J].World Scientific Publishing,2012:197-223.
[22]GONG F Z,ZHOU Y H. Sequential fair stackelberg equilibria of linear strategies in risk-seeking insider trading[J]. J Syst Sci Complex,2018,31:1-27.
[23]LIPTSER,SHIRYAEV. Statistics of random processes II.applications[M]. Berlin:Springer,2001.
[24]DREW F,JEAN T.博弈论[M].姚洋校,黄涛译.北京:中国人民大学出版社,2010.
[2] JAIN N,MIRMAN L. Insider trading with correlated signals[J]. Economics Letters,1999,65:105-133.
[3]LUO S. The impact of public information on insider trading[J]. Economics Letters,2001,112:59-68.
[4]HOLDEN C W,SUBRAHMANYAM A. Long-lived private information and imperfect competition[J]. Journal of Finance,1992,47:247-270.
[5]KYLE A S,WANG F A. Speculation duopoly with agreement to disagree:Can overconfidence survive the market test[J]. Journal of Finance,1997,52:2073-2090.
[6]ZHOU D Q. Overconfidence on public information[J]. Economics Letters,2011,112:239-242.
[7]ZHOU D Q. The virtue of overconfidence when you are not perfectly informed[J]. Economic Modelling,2015,47:105-110.
[8]DU S,LIU H. The overconfident trader does not always overreact to his information[J]. Economic Modelling,2015,46:384-390.
[9]JAIN N,MIRMAN L. Effects of insider trading under different market structures[J]. The Quarterly Review of Economics and Finance,2002,42:19-39.
[10]DAHER W,MIRMAN L. Cournot duopoly and insider trading with two insiders[J]. The Quarterly Review of Economics and Finance,2006,46:530-551.
[11]DAHER W,MIRMAN L. Market structure and insider trading[J]. International Review of Economics and Finance,2007,16:306-331.
[12]WANG L F S,WANG Y C,REN S. Stackelberg financialleader in insider trading model[J]. Inter-national Review of Economics and Finance,2009,18:123-131.
[13]WANG L F S,WANG Y C. Stackelberg real-leader in an insider trading model[J]. Studies in Economics and Finance,2010,27:30-46.
[14]DAHER W,KARAM F,MIRMAN L J. Insider trading with different market structures[J]. Interna-tional Review of Economics and Finance,2012,24:143-154.
[15]肖凯,周永辉.不完全噪声交易信息下的内部交易[J].贵州师范大学学报(自然科学版),2013,31(5):56-60.
[16]肖凯,周永辉.风险资产交易市场中两个信号下的内部交易[J].武汉大学学报(自然科学版),2014,4:374-376.
[17]徐慧,周永辉.在不完全信息下的内部交易行为分析[J].贵州师范大学学报(自然科学版),2014,32(2):52-56.
[18]余铁青,周永辉.在不完全噪声信息定价下的两类风险偏好内部交易[J].贵州师范大学学报(自然科学版),2015,33(1):82-87.
[19]韦家雪,周永辉.对风险资产相关性自信定价下的内部交易Nash均衡[J].贵州师范大学学报,2018,36(3):69-72.
[20]杨华昀,周永辉.新进者内部交易博弈的线性Bayesian-Stackelberg均衡[J].贵州师范大学学报(自然科学版),2018,36(1):72-76.
[21]GONG F Z,LIU H. The mixed equilibrium of insider trading in the market with rational expected price[J].World Scientific Publishing,2012:197-223.
[22]GONG F Z,ZHOU Y H. Sequential fair stackelberg equilibria of linear strategies in risk-seeking insider trading[J]. J Syst Sci Complex,2018,31:1-27.
[23]LIPTSER,SHIRYAEV. Statistics of random processes II.applications[M]. Berlin:Springer,2001.
[24]DREW F,JEAN T.博弈论[M].姚洋校,黄涛译.北京:中国人民大学出版社,2010.