短期投资机会、资金管制成本和证券市场的波动性解释

通过建模分析了信息效率、资金流动管制和市场波动之间的关系.市场有两类投资者,在位投资者拥有信息,资金流动受管制的潜在投资者没有信息.利好消息在在位投资者中部分扩散,产生股价反应不足,潜在投资者可通过动量交易获利,他们的介入可以引起股价过度波动.信息披露越充分,潜在投资者的利润越少.文章在不同管制力度的条件下分析了价格序列,发现适当的管制可以修正信息不充分引起的股价反应不足,降低市场波动,但使得后进入的潜在投资者无法不盈利.

Short Term Speculative Opportunity,Regulation Cost and the Security Market Over Fluctuation

We model a market populated by two groups of traders: informed traders and uninformed traders with regulated capital fund. Positive information diffuses partially across the informed party, which generates price under reaction. This means that the uninformed can profit by trend-chasing, which may cause price over fluctuation. The more information reveled, the less profit they can make. We generate price series under different regulation forces, and find that proper regulation can correct the under reaction, and reduce over fluctuation, but the uninformed cannot necessarily make a profit.