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The Impact of Insider Trading on the Secondary Market in the Order-Driven System

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发布日期：2008年05月03日上次修订日期：2008年05月03日

史永东 ydshi@263.net 东北财经大学蒋贤锋 spirits@263.net

摘要

Under the framework of Rational Expectation Equilibrium (REE), the paper analyzes the impacts of insider trading on the secondary market in the order-driven system. We show that when insider trading is allowed, the average price will not change and there is a positive correlation between the future price and the current price. The volatility and liquidity change without sure direction with insider trading. The price efficiency is a special case with and without insider trading. The insider is benefit by insider trading wherever the outsider and liquidity trader may be benefit or hurt by insider trading.

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关键词：

Insider Trading Secondary Market Order-Driven System.

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