交易量與價格對私有資訊之反應

Abstract

本研究的目的主要在檢驗兩期干擾理性預期均衡中，價格序列無法完全顯露私有資訊時交易量將有何反應。我們首先證明若個別交易者在每期皆觀察一私有資訊的證券價格與交易量模式，並討論第二期是否有交易發生。主要結果為：(1)當價格序列無法完全顯露兩期平均私有訊號時，交易者在第二期也將根據歷史價格制定投資決策。(2)若供給量含有隨機震動，將增加交易者的風險分擔，進而影響交易量。其次，我們驗證當交易者的私有資訊個別誤差含有相同精確度而且每位交易者的絕對風險規避係數不同時，若個別交易者問取得的資訊不同，將對交易量造成何種影響。研究結果指出，若供給量為每期相等，第二期交易量將受交易者在每期的個別看法與市場平均看法之差異，以及兩期差異互抵的情形所影響，也就是交易量與交易者間的意見分歧有關;但當供給量含有隨機震動時，交易量不僅與意見分歧有關，而且受當期與歷史的價格以及整個市場之平均看法的影響。

Assuming that each trader receives a private signal containing a common error and an idiosyncratic error, possibly different, in the first and second periods before he trades in a two-period(three-date) noisy rational expectations, we show that the equilibrium led to restrictions concerning the relation of trading volume to changes in the dispersion of traders` expectations(divergent beliefs), in market price, and in mean expectations. We obtain the following results. First, there exists anoisy rational expectations equilibrium price and demand for the risky asset in which the dates 1 and 2 average private signals are not revealed by price sequence. In this case, all history prices are used decision making. Second, when supply shocks across periods of trade are random, the additional risk-sharing is achieved through trade in the second period. Third, trading volume is related to the difference between traders` individual belief and average belief when supply remains constant. However, with supply containing shock, trading volume is not only influenced by the difference between individual belief and average belief, but is also correlated with market price and mean expectations in both periods. In sum, if the variance of noise in the market is large enough, then traders will rely heavily on their private information, since price will not convey market information very we. This implies more diversity of opinion among traders. Hence, an increase in traders` divergent beliefs results in an increase in trading volume.