Manipulation in market order models

被引：32

作者：

Chakraborty, A

Yilmaz, B ^{[1
]}

机构：

[1] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA

[2] CUNY, Baruch Coll, Dept Econ & Finance, New York, NY 10010 USA

来源：

JOURNAL OF FINANCIAL MARKETS | 2004年 / 7卷 / 02期

关键词：

insider trading; manipulation;

D O I：

10.1016/j.finmar.2003.11.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze a dynamic market order model similar to Kyle (Econometrica 53 (1985) 1315). We show that when the market faces uncertainty about the existence of the insider in the market, the equilibrium outcome changes in a significant way. In particular, the insider manipulates (i.e., trades in the wrong direction and undertakes short term losses) in every equilibrium, given a long enough horizon, and independently of the precise nature of noise trading in the market. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：187 / 206

页数：20

共 14 条

[1] STOCK-PRICE MANIPULATION, MARKET MICROSTRUCTURE AND ASYMMETRIC INFORMATION [J].