多基本面下异质交易者竞争及流动性分析
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摘要
假设风险资产出清价值由多个基本面组成,比较分析了同质与异质信息结构下交易者策略的相互作用及对市场的影响。结果发现:交易者人数增加所导致的竞争会提高市场流动性及市场信息效率,同时对同质交易者产生挤出效应和对异质交易者产生促进效应;异质知情交易者在私人信息质量方面的竞争则会加剧市场信息不对称程度,降低市场流动性;异质交易者间通过信息质量的竞争决定收益分配。理论上,市场流动性存在最佳状态。
Liquidity is of vital importance to the financial market.Lots of previous research findings suggest that intensifying the competition among the investors is an efficient way to promote market liquidity.On the premise that the payoff of the traded risky asset is composed of only one fundamental,these papers mainly focus on the competition from the homogeneously informed traders on their private information.However,due to the fact of multiple-fundamental risk from the real market,the complex financial market with multiple-fundamental assumption has been studied by agrowing number of scholars.This assumption may give rise to heterogeneously informed investors whose private information is on different fundamental and thus is not correlated.Considering that,a model is developed where the payoff of the traded asset consists of two independent fundamentals in a Kyle(1985)framework.Two types of multiple heterogeneously informed traders respectively possess private information on one of the two fundamentals.Combining multiple-fundamental assumption and heterogeneously informed trading,it is addressed whether the competition among heterogeneously informed traders exists and if so what its impact is on market liquidity and how it works.After analyzing the interaction effects between heterogeneously informed investors' trading strategy and its impact on market,it is concluded as follows.Firstly,an increase in the number of traders would promote market liquidity and information efficiency due to the competition among homogeneously informed investors.This competition generates a crowding-out effect on the trading intensity and expected profits of homogeneously informed investors,yet a promotion effect on that of heterogeneously informed investors.Secondly,the allocation of expected revenue between the two types of informed investors is determined by their competition on the quality of their own private information.That is,both the individual and group expected profits of each type of informed traders increase with the quality of his/their own information,whereas decrease with the other type's information precision.Besides,the competition on the private information of the heterogeneously informed investors would aggravate the information asymmetry and consequently reduce the liquidity but enhance the information efficiency.Specially,the above conclusions can generalize to the model of multiple(over two)fundamentals and multiple types of heterogeneously informed traders.Finally,the best state of market liquidity in theory is seeked for.Based on our results,regulators can control the access to the private information in the market to utilize the competition and promotion effects among heterogeneously informed traders to maximize market liquidity.
Liquidity is of vital importance to the financial market.Lots of previous research findings suggest that intensifying the competition among the investors is an efficient way to promote market liquidity.On the premise that the payoff of the traded risky asset is composed of only one fundamental,these papers mainly focus on the competition from the homogeneously informed traders on their private information.However,due to the fact of multiple-fundamental risk from the real market,the complex financial market with multiple-fundamental assumption has been studied by agrowing number of scholars.This assumption may give rise to heterogeneously informed investors whose private information is on different fundamental and thus is not correlated.Considering that,a model is developed where the payoff of the traded asset consists of two independent fundamentals in a Kyle(1985)framework.Two types of multiple heterogeneously informed traders respectively possess private information on one of the two fundamentals.Combining multiple-fundamental assumption and heterogeneously informed trading,it is addressed whether the competition among heterogeneously informed traders exists and if so what its impact is on market liquidity and how it works.After analyzing the interaction effects between heterogeneously informed investors' trading strategy and its impact on market,it is concluded as follows.Firstly,an increase in the number of traders would promote market liquidity and information efficiency due to the competition among homogeneously informed investors.This competition generates a crowding-out effect on the trading intensity and expected profits of homogeneously informed investors,yet a promotion effect on that of heterogeneously informed investors.Secondly,the allocation of expected revenue between the two types of informed investors is determined by their competition on the quality of their own private information.That is,both the individual and group expected profits of each type of informed traders increase with the quality of his/their own information,whereas decrease with the other type's information precision.Besides,the competition on the private information of the heterogeneously informed investors would aggravate the information asymmetry and consequently reduce the liquidity but enhance the information efficiency.Specially,the above conclusions can generalize to the model of multiple(over two)fundamentals and multiple types of heterogeneously informed traders.Finally,the best state of market liquidity in theory is seeked for.Based on our results,regulators can control the access to the private information in the market to utilize the competition and promotion effects among heterogeneously informed traders to maximize market liquidity.
引文
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[11]Bernhardt D,Taub B.Cross-asset speculation in stock markets[J].The Journal of Finance,2008,63(5):2385-2427.
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[13]Goldstein I,Yang L.Information diversity and complementarities in trading and information acquisition[J].The Journal of Finance,2015,70(4):1723-1765.
[14]Bade M,Hirth H.Liquidity cost vs.real investment efficiency[J].Journal of Financial Markets,2016,28:70-90.
[15]张一,刘志东.异质交易行为主体下的金融传染机制及效应研究[J].中国管理科学,2017,25(9):37-45.
[16]林敏华.信贷资产证券化异质性投资者和金融风险[J].中国管理科学,2015,23(6):25-31.
[17]Glosten L R,Milgrom P R.Bid,ask and transaction prices in a specialist market with heterogeneously informed traders[J].Journal of Financial Economics,1985,14(1):71-100.
[18]Kyle A S.Continuous auctions and insider trading[J].Econometrica,1985,53:1315-1336.
[19]杨朝军,孙培源,施东晖.微观结构、市场深度与非对称信息:对上海股市日内流动性模式的一个解释[J].世界经济,2002,(11):53-58.
[20]Indjejikian R,Lu H,Yang L.Rational information leakage[J].Management Science,2014,60(11):2762-2775.
[2]Admati A R,Pfleiderer P.A theory of intraday patterns:Volume and price variability[J].The Review of Financial Studies,1988,1(1):3-40.
[3]Fishman M J,Hagerty K M.Insider trading and the efficiency of stock prices[J].The RAND Journal of Economics,1992,23(1):106-122.
[4]Paul J M.Crowding out and the informativeness of security prices[J].The Journal of Finance,1993,48(4):1475-1496.
[5]Khanna N,Slezak S L,Bradley M.Insider trading,outside search,and resource allocation:Why firms and society may disagree on insider trading restrictions[J].Review of Financial Studies,1994,7(3):575-608.
[6]Shin J.The optimal regulation of insider trading[J].Journal of Financial Intermediation,1996,5(1):49-73.
[7]Morrison A D.Competition and information production in market maker models[J].Journal of Business Finance&Accounting,2004,31(7-8):1171-1190.
[8]Boco H,Germain L,Rousseau F.Heterogeneous noisy beliefs and dynamic competition in financial markets[J].Economic Modelling,2016,54:347-363.
[9]Goldman E.Organizational form,information collection,and the value of the firm[J].The Journal of Business,2005,78(3):817-840.
[10]Yuan K.The liquidity service of benchmark securities[J].Journal of the European Economic Association,2005,3(5):1156-1180.
[11]Bernhardt D,Taub B.Cross-asset speculation in stock markets[J].The Journal of Finance,2008,63(5):2385-2427.
[12]Kondor P.The more we know about the fundamental,the less we agree on the price[J].The Review of Economic Studies,2012,79(3):1175-1207.
[13]Goldstein I,Yang L.Information diversity and complementarities in trading and information acquisition[J].The Journal of Finance,2015,70(4):1723-1765.
[14]Bade M,Hirth H.Liquidity cost vs.real investment efficiency[J].Journal of Financial Markets,2016,28:70-90.
[15]张一,刘志东.异质交易行为主体下的金融传染机制及效应研究[J].中国管理科学,2017,25(9):37-45.
[16]林敏华.信贷资产证券化异质性投资者和金融风险[J].中国管理科学,2015,23(6):25-31.
[17]Glosten L R,Milgrom P R.Bid,ask and transaction prices in a specialist market with heterogeneously informed traders[J].Journal of Financial Economics,1985,14(1):71-100.
[18]Kyle A S.Continuous auctions and insider trading[J].Econometrica,1985,53:1315-1336.
[19]杨朝军,孙培源,施东晖.微观结构、市场深度与非对称信息:对上海股市日内流动性模式的一个解释[J].世界经济,2002,(11):53-58.
[20]Indjejikian R,Lu H,Yang L.Rational information leakage[J].Management Science,2014,60(11):2762-2775.