Speculation and Hedging in Segmented Markets

• 成果类型: Article
• 署名作者: Goldstein, Itay; Li, Yan; Yang, Liyan
• 署名单位: University of Pennsylvania; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Toronto
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht059
• 发表日期: 2014
• 页码: 881
• 关键词: rational-expectations equilibrium; information acquisition; HOME BIAS; insider; MODEL; RISK; liquidity; STOCK

摘要

We analyze a model in which traders have different trading opportunities and learn information from prices. The difference in trading opportunities implies that different traders may have different trading motives when trading in the same market-some trade for speculation and others for hedging-and thus they may respond to the same information in opposite directions. This implies that adding more informed traders may reduce price informativeness and therefore provides a source for learning complementarities leading to multiple equilibria and price jumps. Our model is relevant to various realistic settings and helps to understand a variety of modern financial markets.