臺灣博碩士論文加值系統

本文建立一個多期、雙市場的訊息揭露模型，單一資訊獨佔的投資人在現貨市場與期貨市場之間作出最適的投資決策，以追求最大的投資利潤。本文所建立的模型與Kyle(1985)的單一現貨市場模型架構類似，然而不同於Kyle(1985)的是，由於許多文獻指出期貨市場對於現貨市場的流動性與效率性有重大的影響，因此我們在模型中加入期貨市場，並進一步探討對市場深度與市場效率性所造成的影響。我們模擬分析發現，在加入期貨市場後，現貨市場的深度趨近無窮大，市場流動性高；然而當交易時間快結束時，市場深度會驟然變小，市場流動性大幅減緩。另一方面，加入期貨市場後，在大部份的交易期間中，市場效率並不佳，而在接近到期日時，私有訊息被大量且迅速的釋放出來。我們進一步探討現貨與期貨的交易策略，認為期貨市場提供資訊獨佔者一個掩護私有訊息不被揭露的管道，使得私有訊息的複雜度提高，是造成市場無效率的原因。

We develop a multi-period auction model in which a single informed trader strateg-
ically exploiting his long-lived information between spot market and future market. Our model is in the spirit of the essence of Kyle(1985) but differentiates from Kyle by introducing an extract future market. Since many literatures indicate that future market has a great influence on the liquidity and efficiency of spot market, we consider the future market in our model and examine how it may affect the liquidity and the efficiency of spot market. The model shows that the market depth is infinite in the beginning of the trading period and remains infinite there until a sudden decrease emerges when the trading nearly ends. In addition, the monopolistic informed trader indeed conceals his private information in most trading sections until at the very end of the horizon the information then is revealed in a cascade fashion. We further analyze the trading strategies and find that future market provides the informed agent a shielding vehicle to conceal his private information and complicate the content of the private information.

目 錄
中文摘要----------------------------------------------i
英文摘要----------------------------------------------ii
誌謝----------------------------------------------iii
目錄----------------------------------------------iv
圖表目錄----------------------------------------------v
第一章 導論------------------------------------------1
第一節 研究動機與目的-----------------------------1
第二節 本文內容與架構-----------------------------4
第二章 文獻回顧--------------------------------------6
第一節 Kyle(1985)的模型與結果---------------------6
第二節 Holden and Subrahmanyam(1992)的模型與結果---10
第三節 Foster and Viswanathan(1996)的模型與結果---13
第四節 Wang(1993,1994)的模型與結果---14
第五節 Hong(2000)的模型與結果---15
第三章 模型架構與均衡解--------------------------------17
第一節 模型架構-----------------------------------17
第二節 均衡型態與均衡解----------------------------20
第四章 數值模擬與分析--------------------------------29
第一節 市場流動性模擬分析--------------------------29
第二節 市場效率性模擬分析--------------------------32
第三節 交易行為模擬分析---------------------------36
第五章 結論與研究限制--------------------------------38
參考文獻----------------------------------------------41
附錄-------------------------------------------------43

圖表目錄
圖目錄
圖4-1Kyle(1985)模型之市場流動性關係圖-----------------30
圖4-2本文期貨-現貨模型之市場流動性關係圖--------------30
圖4-3Kyle(1985)模型之市場效率關係圖-------------------34
圖4-4本文期貨-現貨模型之市場效率關係圖----------------34
圖4-5Kyle(1985)模型之現貨場交易行為關係圖-------------35
圖4-6本文期貨-現貨模型之交易行為關係圖----------------35

參考文獻
中文部份
詹場、胡星陽，2001，“流動性衡量方法之綜合評論”，國家科學委員會研究彚刊，第11卷，第3期，頁205-221。
謝天翎，2001，“開放期貨交易對於現貨市場之影響-連續時間競爭時間模型”，國立台灣大學財務金融研究所碩士論文。
英文部份
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Foster, D. F., and S. Viswanathan, 1996, Strategic Trading When Agents Forecast the Forecasts of Others, The Journal of Finance Vol. 51, 437-478.
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Harris, L., 1990, Statistical Properties of the Roll Serial Covariance Bid-Ask Spread Estimator, The Journal of Finance Vol. 45, 579-590.
Holden, C. W., and A. Subrahamanyam, 1992, Long-Lived Private Information and Imperfect Competition, The Journal of Finance Vol. 47, 247-270.
Hong, H., 2000, A Model of Returns and Trading in Future Markets, The Journal of Finance Vol. 55, 959-988.
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Silber, W. L., 1985, The Economic Role of Financial Futures, in Peck, A. (ed.), Futures Market：Their Economic Role, 83-114, American Enterprise Institute for Public Policy Research, Washington, D.C.
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________1994, A Model of Competitive Stock Trading Volume, Journal of Political Economy, Vol. 102, 127-168.
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