羊群效应与内幕信息的揭示分析

本文用金融市场微观结构模型的序贯交易框架分析了证券市场上的多维不确定性怎样引起投资者的羊群交易行为。结论表明当市场上存在事件不确定和信息精度不确定时,投资者之间可能发生羊群行为,这种行为会导致内幕信息在一段时间内得不到有效揭示。做市商在发生羊群效应期间虽然只能判断出事件的存在性,而无法学习到内幕信息的好坏和精度,但他仍会继续调整资产的价格并最终结束羊群效应。

Study of Herding and Private Information Revelation

In this paper,we use the sequential trade framework of financial market microstructure model to study how the multidimensional uncertainty can originate herding in security market.The result indicates that the existence of event uncertainty and precision uncertainty may induce the investors to engage in herding,and the herd behavior will affect the private information revelation.Market maker learns about the existence but not about the direction and precision of private information and continually adjusts the asset price during herding periods.The herding would automatically wind up.