Agents in financial markets must learn about underlying variables and hence find some patterns of parameter. Learning schemes across agents may be different since agents¡¦ learning procedure depends on their computational technique and their beliefs. This dissertation outlines how agents learn from the actions of others or observe relative information when making trading decisions. If prior or signal follow a normal distribution, the law of standard Gaussian updating can be applied to represent the process of learning by agents. Accordingly, this dissertation use learning and global game technique to solve for the condition of equilibrium, to discuss the problem of eliminating multiplicity and to analyze three topics as follow. First, how transparency in financial market influences equilibrium condition, ad hoc multiplicity, is rarely to explore. The first part of this dissertation focuses on the market-clearing condition, based on a noisy rational expectations equilibrium and using the global game technique with learning to proposes a policy effect and the variant of equilibrium in financial market. The after which conclusions can be drawn if transparent policy in financial market is implemented. First, all else equal, regardless of the precision of private signals of uninformed traders, financial market transparency cannot prevent from the vanishing of multiplicity under exogenous dividend return. Next, when dividend return is endogenous, the unique equilibrium condition is partly determined by the precision of private signals from uninformed traders rather than perfectly by a policy of market transparency. Second, politicians and some scholars have advocated that emerging market countries avoid financial instability and reduce multiplicity by restricting capital mobility. Moreover, in the highly sensitized financial markets, information released by the authority is often seen so as to reply rapidly market variety and to correct and remove irrational expectations. The secondary direction of this dissertation employs direct capital mobility controls and informational releases to discuss and compare the variant of equilibrium. A notable finding is that, although direct capital mobility controls and informational releases may successfully reduce capital outflows, direct restrictions on capital mobility are more likely to encourage speculative attack under optimistic signals and are thus more likely to cause multiple equilibriums, ceteris paribus. From a policy perspective, under a signal is optimistic, maintaining uniqueness is more likely when information release is aggressive than when information release is passive or unrestricted on capital mobility, ceteris paribus. Finally, recent studies about price or crises focus on the different directions or targets of learning. However, the problems that learning may generate endogenous feedback and endogenous coordination incentive and affect market performance are rarely discussed. Hence, the third topic of this dissertation will spotlight learning about aggregating information and observation of market and explain the effect of either coordination incentive or feedback on excess volatility. As a result, feedback effects may result from coordination incentives among agents and more coordination incentives among agents increases the feedback effect. Next, when financial markets are highly liquid or when financial shocks are severe, coordination incentives among agents decline. Excess asset price volatility decreases with either feedback effects or coordination incentives.

The initial public offering (IPO) underpricing phenomenon has frequently been noticed and generally is accepted as a puzzle in financial economics. Some of the new theories, such as behavioural finance, take the underpricing puzzle as one important form of evidence. However, some aspects of IPO underpricing have not yet been fully documented and discussed in the existing literature. This thesis tries to contribute in the following three specific areas. First, we focus on the time series properties of the level of underpricing of IPO shares and document the IPO market in the Hong Kong market from 1999 to 2005. In the data sample, strong autocorrelation within the level of underpricing has been discovered. Evidence suggests the initial selling volume plays an important role in the relationship. The links between underpricing and clustering of IPOs within different industries are weak, suggesting the reasons for underpricing are related to the market liquidity rather than to the industry-specific risk characteristics. Second, we investigate the underwriting networks to explore the relationship between underwriting business and IPO related puzzles. We find that in repeated IPOs, underwriters build up reputation and accumulate knowledge of their underwriting services. One of the great advantages of the top ranked underwriters is their relationship networks with other underwriters and institutional investors. We perform a careful examination of the underwriter syndicate and investigate the relationship of the structure of the syndicate in respect of IPO performance. Moreover, the pattern of distribution in the size of syndicates is identified and is found to be significantly related to the IPO performance. The research shows that the perspective from the underwriter syndicate is not only interesting, also necessary to understand IPOs. Third, we analyse the coordination problem in the IPO. In the research, we consider the auction method as a one-stage selling and the bookbuilding method as a two-stage selling method. The model suggests that the relationship between the underpricing level and the quality of IPO shares is non-monotone. This implication is consistent with empirical observations. In addition, regarding the issuers' proceeds in the IPOs, the auction method is better than the bookbuilding method in both noisy and noisy vanishing equilibria. The bookbuilding method may be helpful in other ways, such as maintaining liquidity or price support in secondary market. By studying liquidity, business networks and the coordination problem, the thesis does not only complement the existing research by providing unique explanations for the IPO underpricing and other related puzzles, but also opens some interesting venues for future research.

This dissertation consists of three essays that adopt both theoretical and empirical methods of analysis to study certain economies in which the incomplete information and the strategic complementarities between players are important. Chapter 1 explains the topics discussed in the subsequent chapters and gives a brief survey on the literature. In Chapter 2, I revise a traditional global game model by dividing the continuum of players into a group of speculators and a group of stakeholders. It is found that the uniqueness property remains in the new game. Then I extend the static game to a two-stage game and investigate the efficacies of certain label changing mechanisms proposed by the authority to stabilize the regime in the dynamic context. It is shown that a label changing mechanism allowing for downward social mobility may not work, whereas a label changing mechanism allowing for upward social mobility generally makes the regime more stable. In Chapter 3, I add a speculator and an authority to a bank-run model to investigate how the speculator endangers a business or an economy, and what the authority can do about it. In particular, I show that the speculator can increase the financial system's vulnerability by serving as a coordinating device for the investors and thus triggering the crisis. It is further shown that deterring the speculator may not undo the speculator's impact because of multiplicity problem; rewarding holding investors is useless; and eliminating the preemption motives among investors works given enough effort. A discussion of the 1997 Asian financial crisis and the IMF's role in it is also included. Chapter 4 develops a repeated beauty-contest game to investigate the effect of previous winners' actions on the spread of subsequent players' actions. I first characterize the unique equilibrium of the game. Then I focus on the equilibrium dynamics of several variances depicting different forms of action variability. It is found that whether or not a specific variance diminishes over time depends on the relative precision of public and private signals. To illustrate the theoretical results, I conduct an empirical study on the Miss Korea contest. It is found that the contestants' faces have been converging to the ``true beauty'' overall, but diverging from each other over the last 20 years. Chapter 5 concludes. / Ph. D.

In this thesis we review literature about the coordination problem under an uncertainty. We set up a continuum player model of collective action, in which part of the population must coordinate on an action in order to achieve a mutual benefit. The complete information version of the model features multiple equilibria. We study the role of various sources of uncertainty in the model and compare them. We also examine the role of private and public information. We discuss particularly the global game, the coordination game of incomplete information in which agents received different but correlated signals about the state. We demonstrate that in the global game an unique equilibrium can be found by iterated elimination of dominated strategies. We compare the global game to related models and examine the consequences of relaxing the assumptions of global game. In addition we show some practical implication of the model for revolutions and currency crises.