Research on the liquidity and efficiency of financial market based on the perspective of information shocks

被引：0
|
作者：
Chen Q. [1 ,2 ]
Ma C. [1 ]
机构：
[1] School of Economics, Shanghai University of Finance and Economics, Shanghai
[2] Key Laboratory of Mathematical Economics (SUFE), Ministry of Education, Shanghai
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2021年 / 41卷 / 08期
基金：
中国国家自然科学基金;
关键词：
Information shocks; Market efficiency; Market liquidity;
D O I：
10.12011/SETP2019-2929
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
Based on the perspective of information shocks, this paper studies the effect of objective heterogeneous information and subjective information beliefs on the liquidity and efficiency of financial markets by a noise rational expectations model. The results show that: The improvement of the degree of public information has two-sided effects on market liquidity, but positive effects on market efficiency; the improvement of the expectation precision has positive effects on both market liquidity and market efficiency. In addition, when both the degree of public information and the expectation precision are small, the occurring probability and extent of market inefficiency (or excess volatility) will rise dramatically. © 2021, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
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收藏
页码：1990 / 2003
页数：13
相关论文
共 29 条
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