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Der Einfluss von Insiderhandel auf Wertpapierpreise und Marktliquidität

Der Einfluss von Insiderhandel auf Wertpapierpreise und Marktliquidität

          
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About the Book

Studienarbeit aus dem Jahr 2003 im Fachbereich BWL - Bank, Börse, Versicherung, Note: 2, Johann Wolfgang Goethe-Universität Frankfurt am Main, Sprache: Deutsch, Abstract: Das erste Modell, welches die strategischen Aspekte von privaten Informationen in einem Aktienmarkt untersuchte war das Modell von Kyle (1984, 1985): Wie ein risikoneutraler Investor (Insider) mit monopolistischer Information seine Ordergröße und Handelsintensität wählt, um seinen Gewinn zu maximieren und wie schnell die Information in den Marktpreis eingeht sind nur ein Teil der Untersuchungen in Kyle's Modell (1985). Mit Hilfe einer Modellierung der Handelsstrategien des Insiders in einem dynamischen Modell mit effizienter Preisbildung wird analysiert, wie wertvoll private Information für einen Insider ist und wie die uninformierten Händler (Noise-Trader) die Volatilität der Preise beeinflussen. Ein wichtiger Aspekt in diesem Modell ist die Klärung der Bestimmungsfaktoren der Liquidität eines Marktes: Im Modell wird gezeigt, dass die Modellierung von Preisveränderungen als Funktion von gehandelten Mengen nicht inkonsistent ist mit der Preisveränderung als Konsequenz neuer Informationen. Dies bedeutet auch dass die strategische Ausübung von Monopolmacht durch den Insider mit mittelstreng effizienten Preisen vereinbar ist. Es zeigt sich, wie ein diskretes Modell bei zunehmend häufigen Handel in ein kontinuierliches Modell übergeht. Eine konstante Volatilität der Preise erfordert nicht, dass die Informationen in verstetigender Weise produziert werden: Die Liquiditätscharakteristika eines effizienten Marktes können trotz assymetrischer Informationen erreicht werden.


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Product Details
  • ISBN-13: 9783656996163
  • Publisher: Examicus Publishing
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 2 mm
  • Width: 140 mm
  • ISBN-10: 3656996164
  • Publisher Date: 05 May 2012
  • Height: 216 mm
  • No of Pages: 32
  • Series Title: German
  • Weight: 54 gr


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