超額波動之謎的一個新的解釋

A New Explanation for Excess Volatility Puzzle

於本文，我們藉由探討知訊者資訊交易時機選擇，研究促使股票價格波動的背後機制。我們研究發現：（1）投資者間的資訊不對稱是引起價格波動的重要因素；（2）若知訊者選擇延遲他們的資訊交易，股票價格波動將變得更大。本文的第一個發現與Wang（1993）的文獻結果相同；加入本文的第二個發現，我們的模型相較Wang模型可以解釋更大的價格波動。

In this paper, we study the stock price volatility by investigating the timing of the informational trades of the informed traders. It is shown that (1) information asymmetry among investors can increase price volatility, and (2) price volatility is further increased when informed traders choose to delay their informational trades. The first result is consistent with the finding of Wang(1993). Together with the second result, our model explains greater price volatility than Wang.