Informed manipulation

• 成果类型: Article
• 署名作者: Chakraborty, A; Yilmaz, B
• 署名单位: University of Pennsylvania; City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00101-7
• 发表日期: 2004
• 页码: 132-152
• 关键词: Insider trading; manipulation

摘要

In asymmetric information models of financial markets, prices imperfectly reveal the private information held by traders. Informed insiders thus have an incentive not only to trade less aggressively but also to manipulate the market by trading in the wrong direction and undertaking short-term losses, thereby increasing the noise in the trading process. In this paper we show that when the market faces uncertainty about the existence of the insider in the market and when there is a large number of trading periods before all private information is revealed, long-lived informed traders will manipulate in every equilibrium. (C) 2003 Elsevier Science (USA). All rights reserved.