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| Title: | 商品期貨市場從眾行為之研究－凱因斯選美競賽之應用
Herding behavior in commodity futures market－the application of Keynes beauty contests |
| Authors: | 黃琬君 |
| Contributors: | 胡聯國
黃琬君 |
| Keywords: | 從眾行為
選美競賽
資訊不對稱
理性預期 |
| Date: | 2009 |
| Issue Date: | 2010-12-08 01:52:18 (UTC+8) |
| Abstract: | 本篇主要是依循Allen, Morris and Shin(2003) 的文章脈絡，利用建立一個帶有雜質的(即受供給面衝擊的)理性預期模型，使期貨價格無法完全反映期貨市場中的真實訊息，並將重覆預期的概念套入商品期貨的價格模型當中，討論是否期貨價格會受公開訊息的影響較大，而較不重視貨市場真實情形的私人訊息，進而了解商品期貨市場中的參與者過度倚賴公開訊息做決策時，可能會造成期貨價格偏離其基本價值的情形。
由模型推導結果我們歸納出與Allen, Morris and Shin(2003) 一致的結論－當市場中的參與者對市場的平均作預期，藉以猜測其他人的想法時，其預期受市場公開訊息的影響程度可能較深，反而受較貼近市場真實價格的私人訊息影響較小，產生使市場被公開訊息支配的情形。
This paper primary follows the methods derived by Allen, Morris, and Shin (2003), using a contaminated, or with a supply shock, rational expectation model to build the linear relationship for commodity futures price. In this way, the price could not fully reflect the true information in commodity futures price. Besides, we also use the notion of iterated expectation in our futures price model, and try to figure out whether the price is influences mainly by the public information, but no the true information in the market. Thus, we can imply form this that when participants excessively depend on public information to make decisions, it may cause the futures price to deviate from its true information and thus its fundamental value.
From the derivation of our model, we can have identical conclusion as Allen, Morris and Shin (2003) put it－when participants in the market doing expectations about the market’s average to guess other participants’ opinions, their expectation may be influenced mostly by public information in the market but not the true, or private, information they possess, which may result in futures prices dominating by the public information. |
| Reference: | 1. Allen, F., Morris, S. and Shin, H. S. (2003). "Beauty
contests, bubbles and iterated expectations in asset markets", Cowles Foundation Discussion Paper No 1406.
2. Allen, F., S. Morris and H. S. Shin (2003). “Public Signals and Private Information Acquisition in Asset Prices,” in progress.
3. Ausubel, L. (1990). “Partially-Revealing Rational Expectations Equilibrium in a Competitive Economy,” Journal of Economic Theory 50, 93-126.
4. Banerjee, A., 1992, A simple model of herd behavior, Quarterly Journal of Economics, 197, p 724-748.
5. Bikhchandani, S., D. Hirshleifer, and I. Welch, 1992, A Theory of Fads, Fashion, Custom and Cultural Change as Informational Cascades, Journal of Political Economy, 100, p 992-1026.
6. Brown, D. and R. Jennings (1989). “On Technical Analysis,” Review of Financial Studies 2, 527-551.
7. Diamond, D. and R. Verrecchia (1981). “Information Aggregation in a Noisy Rational Expectations Economy,” Journal of Financial Economics 9,221-235.
8. Froot, K., D. Scharfstein and J. Stein (1992). “Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation," Journal of Finance 47, 1461-1484.
9. Grossman, S. (1976). “On the Efficiency of Competitive Stock Markets where Traders Have Diverse Information,” Journal of Finance 31, 573-585.
10. Grossman, S. J., 1981, An introduction to the theory of rational expectations under asymmetric information, Review of Economic Studies 48, 541-559.
11. Grossman, S. J. and Joseph Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.
12. Grundy, B. and M. McNichols (1989). “Trade and Revelation of Information through Prices and Direct Disclosure,” Review of Financial Studies 2, 495-526.
13. Harrison M. and D. Kreps (1978). “Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations,” Quarterly Journal of Economics XCII, 323-336.
14. He, H. and J. Wang (1995). “Differential Information and Dynamic Behavior of Stock Trading Volume,” Review of Financial Studies 8, 914-972.
15. Hellwig, M. (1980). “On the Aggregation of Information in Competitive Markets,”Journal of Economic Theory 22, 477-498.
16. Kim, O. and R. Verrecchia (1991). “Market Reaction to Anticipated Announcements,” Journal of Financial Economics 30, 273-309.
17. Morris, S., H. S. Shin and A. Postlewaite (1995). “Depth of Knowledge and the Effect of Higher Order Uncertainty,” Economic Theory 6, 453-467.
18. Morris, S. and H. S. Shin (2002). “The Social Value of Public Information," American Economic Review, 92, 1521-1534
19. Scharfstein, D. and J. Stein, 1990, Herding behavior and investment, American Economic Review, 80 , p465-479.
20. Townsend, R. (1978) “Market Anticipations, Rational Expectations and Bayesian Analysis” International Economic Review, 19, 481-94.
21. Townsend, R. (1983). “Forecasting the Forecasts of Others,” Journal of Political Economy 91, 546-588. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
97351013
98 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0097351013 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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