國際投資本土偏好對市場績效的影響

Effect of Home Bias on Performance in International Investing Market

國際投資選擇上，有一些交易者僅會存取部分資產工具來交易，而另外有一些交易者則因不同交易動機、同時會交易比較多元金融工具，造成市場分割（market segment）的現象。從中我們可以區隔並定義出這限制自我，僅投資國內市場工具者為投資機會相對較小的交易者；以及會為投機或避險動機、而同時交易兩類不同金融工具，有相對較大投資集合的交易者等兩類群交易者們。所有交易者會因為市場之間的不完整性，同時觀察到市場之間所有的價格資訊，投資機會相對較小的交易者還會適時選擇付出一些資訊成本、以取得其他資訊信號，或內生學習以結合新舊訊息來作交易。這交易機會的分割、但價格觀察的不可分割現象，就是Duffie（2010）與Cespa and Foucault（2012）所說的：資本可以在不同市場之間緩慢移動，但資訊移動則沒有這種事實結論。本研究建立在古典Grossman and Stiglitz（1980）模型上，將透過市場結清條件，與交易者在上述分割市場裡的內生學習行為來求算兩資產價格的模型封閉解。首先，我們修改Goldstein, Li, andYang（2013）模型；然後，深入分析各資產市場的流動性以及效率性、價格超額波動性、與來自非資訊交易者的價格資訊性等市場績效之比較靜態結論。最後，並延伸檢討其他分割市場的應用，提出可能的績效現象。 Some trader only assess and trade part of assets and some other trader entry all market to speculative-motivated trading or to hedging-motivated trading in international investment market or in both spot and derivative market. This is a famous home bias. Hence, investors can be segmented by two types of traders. One, who can trade across international markets or select to trade one of spots or futures, has a larger investment opportunity while others, who only invest in domestic finance markets or in derivative tools, has a smaller investing set. All traders can observe information from price among assets because of incomplete markets. Then, the smaller-investing sets of traders may use some information cost to acquire informational signals and endogenous learn costless new signals to trade. Investing opportunity is segmented but price observation not. Duffie (2010) and Cespa and Foucault (2012) argued that capital can move slowly among markets but informational communication not. This study is built in a classical Grossman and Stiglitz (1980) model. By market clearing condition and endogenous learning from traders in segments markets, we solve for some closed solution, such as asset price. First, we modify some signal setting of traders in Goldstein, Li, and Yang (2013) model; then, explain compared analysis about liquidity and effectivity across asset markets, price excess volatility, price informativeness. Discussing management policy of hedge fund and hence putting forward the best suggestion is our end.

Some trader only assess and trade part of assets and some other trader entry all market to speculative-motivated trading or to hedging-motivated trading in international investment market or in both spot and derivative market. This is a famous home bias. Hence, investors can be segmented by two types of traders. One, who can trade across international markets or select to trade one of spots or futures, has a larger investment opportunity while others, who only invest in domestic finance markets or in derivative tools, has a smaller investing set. All traders can observe information from price among assets because of incomplete markets. Then, the smaller-investing sets of traders may use some information cost to acquire informational signals and endogenous learn costless new signals to trade. Investing opportunity is segmented but price observation not. Duffie (2010) and Cespa and Foucault (2012) argued that capital can move slowly among markets but informational communication not. This study is built in a classical Grossman and Stiglitz (1980) model. By market clearing condition and endogenous learning from traders in segments markets, we solve for some closed solution, such as asset price. First, we modify some signal setting of traders in Goldstein, Li, and Yang (2013) model; then, explain compared analysis about liquidity and effectivity across asset markets, price excess volatility, price informativeness. Discussing management policy of hedge fund and hence putting forward the best suggestion is our end.