臺灣博碩士論文加值系統

本論文探討資訊的最佳交易時機問題。首先，本文將檢驗一個被普遍接受的說法：競爭性知訊者於得到私有資訊後，會立刻使用該資訊從事交易。
本論文的第一部份，提出一個理性預期模型，用以證實在某些情況下，知訊者由於擔心資訊交易會對價格產生不利影響，故而延遲他們的資訊交易。本文將證實，知訊者的延後使用資訊導致資產價格波動性上升，以及資產報酬呈現正的序列相關。
大多數的市場微結構模型，使用風險中立造市者假設，發現知訊者之間的競爭程度增加，使得知訊者傾向更早使用私有資訊進行交易，其結果使得市場變得更有效率。本論文的第二部分，假設造市者為風險趨避而且知訊者會選擇資訊交易時機。本文發現，當知訊者人數的比例足夠大或私有資訊的精確度足夠高(知訊者之間競爭程度高)，市場反而會變成沒有效率，即資產價格會延遲揭露私有資訊，以及市場高流動性會延遲發生。這些結果與過去市場微結構文獻得到的結論明顯不同，主要是因為知訊者延遲資訊交易所致。
總而言之，本論文證實知訊者基於追求個人期望效用最大化，於決定他們的交易策略時，確實會將資訊交易時機納入考慮。

This thesis analyzes the timing issue related to informed trades under two different market frameworks. Firstly, the issue under the competitive market framework is analyzed. In financial market, a widely accepted assumption that competitive informed traders elect to trade immediately upon receiving their private information is now questioned.
We propose a competitive rational expectations model to demonstrate that under some situations informed traders tend to trade late on their information because of the fear of adverse effect on prices from their informed trades. This phenomenon from delayed informed trades leads to the following: Price volatility will increase and adjacent price changes may exhibit positive serial correlation.
Secondly, we turn to the alternative framework, i.e., a market microstructure framework. A large number of market microstructure models had already investigated the timing issue of informed trades. Most of them found that the competition among informed traders will make the informed traders incline to trade early than late on their information and the market therefore becomes more efficient. We develop a market microstructure model with competitive, risk averse informed traders and uninformed market makers. It is found that when the mass of informed traders is larger or the precision of private information is higher, the market becomes less efficient, that is, prices will delay revealing the private information and the market will postpone becoming liquid. Our results stand in contrast to those of other market microstructure models simply because informed traders in our model choose to trade late on their information.
In conclusion, the thesis has proved that the timing to trade on their information is an important consideration for informed traders to determine their trading strategy maximizing their expected utility. Since this issue is seldom discussed in the previous literature, I deeply believe that there are many works to be done followed this work.

Contents
Abstract ........................................................................................................................iii
Chapter 1 Introduction...................................................................................................1
1.1 Multiple-Period, Competitive Rational Expectations Model...............................4
1.2 Market Microstructure Model .............................................................................6
Chapter 2 Literature Review .........................................................................................8
Chapter 3 Competitive Rational Expectations Model ……..........................................11
3.1 Model Description .............................................................................................11
3.2 Equilibrium.........................................................................................................13
3.3 Determination of the Timing of Informed Trading............................................19
3.4 Price Volatility and Serial Correlation ..............................................................22
3.5 Model Discussion...............................................................................................30
3.6 Summary ...........................................................................................................33
Chapter 4 Market Microstructure Model……………………………………………..34
4.1 Market Microstructure Model with Risk-Averse Market Makers .....................34
4.2 Equilibrium.........................................................................................................35
4.3 Market Behavior ................................................................................................40
4.4 Summary............................................................................................................48
Chapter 5 Conclusion...................................................................................................49
References ............................................................................................................ …..52


Figures, Tables and Appendix
Figure 1 Expected utility of informed traders as a function of the mass of informed traders ...........................................................................................................55
Figure 2 Expected utility of informed traders as a function of post-date 2 risk.................................................................................................................56
Figure 3 Expected utility of informed traders as a function of variance in liquidity trades.............................................................................................................57
Figure 4 Expected utility of informed traders as a function of the risk aversion coefficient......................................................................................................58
Table 1 The date 1 and date 2 market depths of protocols I and II as functions of the mass of informed traders...............................................................................59
Table 2 The date 1 and date 2 market depths of protocols I and II as functions of the post-date 2 risk..............................................................................................60
Table 3 The date 1 and date 2 market depths of protocols I and II as functions of the mass of informed traders...............................................................................61
Table 4 The date 1 and date 2 market depths of protocols I and II as functions of the post-date 2 risk..............................................................................................62
Appendix......................................................................................................................63

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