دانلود رایگان مقاله رقابت در بازار سهام با اطلاعات نامتقارن

Abstract

We build a game theoretical model to examine how the level of information advantage of insiders and the competition between insiders and sophisticated investors affect stock price movements and traders’ trading strategies and profits. We show that the competition between insiders and sophisticated investors can reduce the losses of less sophisticated investors, and thus alleviates the disadvantaged position of the less sophisticated investors. Further, traders’ profits are affected by the accuracy of insiders’ private information, and the number of days that insiders have obtained the information in advance. These findings show the importance of information transparency and the role of sophisticated investors in limiting insiders’ trading advantages and mitigating the expropriation of investors by insiders.

5. Conclusion

A fundamental issue that has been examined by a large body of literature is the influence of insider trading on asset pricing, and the profits made by insiders and other market participants. This paper develops a model characterized by an insider, an information follower, and a price-sensitive trader who each has asymmetric information about future news events. We examine their trading strategies and the stock price movements in relation to news events within a game theoretical framework. Unlike previous studies, our model explicitly considers the insider's level of information advantage using the level of accuracy of the inside information and the length of the timing advantage of the inside information, and links insider trading profits with the insider's information advantage and the information environment in the market. The model does not require the insider to have accurate inside information. Further, in relation to outsiders, the model distinguishes between more sophisticated investors and less sophisticated investors to account for varying levels of investor sophistication. The model can be applied to explain some phenomena in stock markets; for example, sometimes when good news is released, the stock market (or a stock) only increases slightly, or even drops. In our model, if the insider's private information is accurate, the stock price jumps after the insider receives the inside information; however, the stock price changes little when the news event occurs. This result explains why in some circumstances the market does not respond as positively as expected when good news is released.