CAJ | 학술논문

在Kyle模型中的线性均衡假设进行了修正的基础上，针对内部交易者只具有资产价值不完全信息情况，建立两期风险厌恶型内部交易均衡模型，并求得该模型的子博弈纳什均衡解。由此发现资产价值不完信息中噪音对市场干扰程度愈小(波动程度愈小)，就愈有利于内部交易者的收益；内部交易者的交易就愈活跃；交易均衡价格包含资产价值信息就愈多。
재Kyle모형중적선성균형가설진행료수정적기출상，침대내부교역자지구유자산개치불완전신식정황，건립량기풍험염악형내부교역균형모형，병구득해모형적자박혁납십균형해。유차발현자산개치불완신식중조음대시장간우정도유소(파동정도유소)，취유유리우내부교역자적수익；내부교역자적교역취유활약；교역균형개격포함자산개치신식취유다。
Based on the assumption of linear equilibrium correction model of Kyle,according to the insider has only know the value of the assets is incomplete information,establish transaction two risk averse internal game model,and obtains the Kobo Nash equilibrium solution of the model.It is found that the value of the assets is not complete information on the de-gree of interference noise smaller market (fluctuation degree smaller),the more conducive to the internal traders profit;insider trading more active;trading equilibrium price contains more information of asset value.