信息获取时间差异对市场流动性的影响研究--兼论信息技术在证券市场中应用的影响  

The impact of difference in information acquisition time on market liquidity:Discuss the impact of information technology in securities market

作　　者：陈彬彬 刘善存[2] CHEN Binbin;LIU Shancun(School of Finance,Shandong University of Finance and Economics,Jinan 250014,China;School of Economics and Management,Beihang University,Beijing 100191,China;Shandong Key Laboratory of Blockchain Finance,Jinan 250014,China)

机构地区：[1]山东财经大学金融学院,山东济南250014 [2]北京航空航天大学经济管理学院,北京100191 [3]山东省区块链金融重点实验室,山东济南250014

出　　处：《管理工程学报》2022年第4期76-85,共10页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71771008、71871129);山东省自然科学基金资助项目(ZR2020QG010)。

摘　　要：信息技术的发展增加了投资者间的信息不对称,部分机构投资者利用信息处理技术可以提前获取资产价值信息,进而影响其他理性投资者的交易决策和市场流动性。本文在资产清算价值由两个基本面构成的假设下,通过建立动态理性预期均衡模型分析信息获取时间存在差异对交易者策略和市场流动性的影响。结论显示:信息获取时间存在差异使得先期知情交易者和后期知情交易者的交易强度存在U形关系,导致市场流动性在一定条件下与先期知情交易者比例和信息获取成本呈非单调关系。当期噪声交易精度较高或下一期价格风险较低时,后期知情交易者面临的逆向选择风险较大,增加先期知情交易者比例将导致市场流动性先降低后增加。信息成本通过改变先期知情交易者比例内生的影响市场流动性,信息成本较低(高)时,市场流动性与信息成本负相关(呈U形关系)。因此,监管者应采取提高机构投资者比例、降低信息成本和改善信息披露效率等措施降低信息技术在证券市场应用过程中可能引发的危害。Information acquisition and processing has been transformed with rapid advancement of information technologies in the securities market,such as high-frequency trading,intelligent investment advisory and financial big data analysis.This allows some investors to gain information faster and earlier than others by means of their technology advantage.Such application may help to accelerate assets′price discovery process,but it also aggravates information asymmetry and adverse selection risk,which may in turn harm market liquidity.Many existing static models discuss the impact of information asymmetry on market efficiency,but these models have yet to consider the dynamic process of investors′information acquisition.A few scholars have built dynamic models in which some investors acquire information earlier than others,aiming to analyze herding behavior and the momentum effect.In these models,the equilibrium price is set by competitive risk-neutral market makers,which,however,leads to the impossibility of analyzing the game process between early-and late-informed traders in the first-period.In addition,their models fail to analyze the effects of time differences in information acquisition on market liquidity.Considering all these factors,we have developed a rational expectations equilibrium model where all rational traders are risk adverse to examine the effects of the sequential of information arrival on investors′trading behavior and the consequent market liquidity,as well as exploring the impact of information acquisition cost on market liquidity.The research methods and main findings are as follows:First,we present a rational expectations model in two-period financial market where information is obtained by differently informed traders at different times.In our model,the risky asset composed of two independent fundamentals is traded by early-informed traders,late-informed traders and noise traders.The early-informed traders receive the perfect information about one fundamental before firstperiod trading takes

关 键 词：信息不对称 理性预期 市场流动性 逆向选择风险 

分 类 号：F830[经济管理—金融学]