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

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 place,and the late-informed traders do not receive such information until second-period market opens.A piece of imperfect information about another fundamental is obtained by both types of traders when the second-period market opens.Using properties of normal distribution,we solve the model and get the optimal strategy of rational traders and market clearing price of the traded asset in equilibrium.The equilibrium results show that a decrease in the risk of second-period price increases the trading intensity of early-informed traders and impacts on the later-informed traders in two ways:(1)reducing their inventory risk;(2)increasing the adverse selection risk they must face.The interplay of these two impacts causes the trading intensity of early-and lateinformed traders to display a U-shaped pattern.In addition,the trading intensity of early-informed traders is independent of their proportion,whereas the trading intensity of late-informed traders has a negative correlation to the proportion of early-informed traders.Second,based on our model,we analyze the impact of time differences in information acquisition on market liquidity,which is measured by the amount of order flow that drives the price up by one unit.We find that the proportion of early-informed traders and the second-period price risk work on market liquidity by influencing trading intensity of informed traders.By means of numerical simulations and theoretical analysis,we find that the relationship between market liquidity and the proportion of early-informed traders is U-shaped under certain conditions.In a market characterized by high precision of the first-period noise trading or low second-period price risk,late-informed traders are more likely to trade against early-informed traders,which means that the adverse selection problem gets more severe.As a result,market liquidity decreases before increasing with the rising proportion of early-informed traders.When the proportion of early-informed traders is significant enough,any further increase will always promote market liquidity,improve price informativeness,and reduce the expected loss of noise traders.Third,information market equilibrium is defined and solved by introducing information costs in our model.Based on the definition of information market equilibrium,we present the necessary conditions for existence of an interior equilibrium and two corner equilibria,followed by an analysis of the impacts of information cost on the proportion of informed traders and market liquidity in the first-period in each equilibrium.In interior equilibrium,the cost of information acquisition negatively determines the proportion of early-informed traders and therefore reveals a U-shaped pattern in its relationship with market liquidity under some circumstances.In this paper,we discuss the potential impacts of information technology development on market liquidity.If most investors use information technologies to acquire and process information earlier and faster(such as using WeChat or Microblog to acquire information disclosed by listed companies),market efficiency can be significantly enhanced.Meanwhile,when technical barriers exist in some new technologies such as high-frequency trading and financial big data analysis,a few traders can capitalize on this to acquire information before others,which puts late-informed traders at very high adverse selection risk in market making and thus harms market liquidity.According to our research conclusion,by increasing the proportion of institutional investors,reducing information acquisition cost or improving information disclosure efficiency,regulators may take actions to reduce the harm of information technology on market liquidity,especially in markets with high technical barriers.