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| タイトル: | Insider Trading with Imperfectly Competitive Market Makers |
| 著者: | Nishide, Katsumasa |
| 著者名の別形: | 西出, 勝正 |
| キーワード: | Kyle's model imperfectly competitive market makers negative serial correlation |
| 発行日: | Sep-2006 |
| 出版者: | 京都大学大学院経済学研究科 |
| 引用: | Katsumasa Nishide. Insider Trading with Imperfectly Competitive Market Makers. 京都大学大学院経済学研究科Working Paper. 85. 2006.09. |
| 誌名: | 京都大学大学院経済学研究科Working Paper |
| 号: | 85 |
| 抄録: | We extend a market model of Kyle (1984) to a multi-period mar- ket model in which market makers are imperfectly competitive. When there are only a finite number of market makers who try to maximize their expected profits, Kyle's λ, price sensitivity to the order ow, is higher than that of Kyle (1985), who assumes perfect competition among risk-neutral market makers. We show that in a multi-period setting, the price movement has a negative serial correlation as Roll (1984) and Glosten and Milgrom (1985). |
| URI: | http://hdl.handle.net/2433/26706 |
| 出現コレクション: | Working Paper (外国語論文) |
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