INSIDER TRADING, STOCHASTIC LIQUIDITY, AND EQUILIBRIUM PRICES

• 成果类型: Article
• 署名作者: Collin-Dufresne, Pierre; Fos, Vyacheslav
• 署名单位: Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Boston College
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA10789
• 发表日期: 2016
• 页码: 1441-1475
• 关键词: SECURITIES MARKETS; RETURN VOLATILITY; volume; INFORMATION; variability; variance; COSTS; MODEL

摘要

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks to uninformed volume even though the fundamental value is constant. The volatility of price volatility appears 'excessive' because insiders choose to trade more aggressively (and thus more information is revealed) when uninformed volume is higher and price impact is lower. This generates a positive relation between price volatility and trading volume, giving rise to an endogenous subordinate stochastic process for prices.