In standard models of informed trading, they implicitly assume that all informed traders receive their information at the same time and then trade on their private information immediately, whether competitive or imperfect competitive¡]strategic¡^rational expectations model, differing on the speed of information revelation. In reality, the informed traders may quietly and skillfully perform noninformational trading to accumulate their ¡§line¡¨ cheaply. In this paper, we develop the multiperiod competitive rational expectations model with asymmetric information to show, under some conditions, delaying their informed trades is in the interests of informed traders; then we explore the implications of our model for the behavior of stock price, especially we find that, delaying the informed trades may increase price volatility and display the momentum effect, consistent with the empirical results.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0623109-230055 |
| Date | 23 June 2009 |
| Creators | Lee, Jung-juei |
| Contributors | Henry Y. Lo, Lon - Ping Zu, Li - Hua Lai, Yu - Shan Wang, Chau-Jung Kuo |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0623109-230055 |
| Rights | not_available, Copyright information available at source archive |
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