Information acquisition, market professional and discretionary liquidity trading

被引：0
|
作者：
Ma, Yu [1 ]
Liu, Hong [1 ]
Yang, Qingshan [1 ]
机构：
[1] Northeast Normal Univ, Sch Math & Stat, MOE Key Lab Appl Stat, Changchun 130024, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2024年 / 68卷
基金：
中国国家自然科学基金;
关键词：
Insider trading; Information acquisition; Discretionary liquidity trading; Price efficiency;
D O I：
10.1016/j.frl.2024.106039
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We analyze an insider trading strategy and market professionals' information acquisition strategies, and explore their impact on market liquidity and price efficiency in endogenous noise trading. Our findings highlight the negative precision effect on market professionals' information acquisition. With an increase in market professionals, two opposing effects emerge on market liquidity and price efficiency: the strategic complementarity effect and the precision effect. However, the negative precision effect predominates, which impairs market liquidity and price efficiency. Furthermore, enhancing the ex-ante precision of the risky asset or adjusting liquidity compensation reduces market professionals' involvement in information acquisition, leading to diminished price efficiency.
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页数：7
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