Weitere Kapitel dieses Buchs durch Wischen aufrufen
This chapter adds a random shock to the futures market to see if an informationally efficient equilibrium would still occur. In this chapter, the prices are modeled as continuous variables and traders can buy or sell with a single submission of their quotes. The conclusion is that,with probability one, if the volatility of the underlying spot market is sufficiently small, then the proportion of time that the futures price is sufficiently close to the fundamental value converges to one. However, the interval containing the fundamental value, where the futures price eventually lies, is influenced by the underlying volatility generated from the spot market. In other words, the accuracy of the information for which the market can eventually select, depends on the volatility generated from the random shock in the spot market. The more volatile the spot market, the more noisy is the information that gets selected for. As a result, the futures market moves further away from informational efficiency. Numerical examples are used to illustrate the cause of the convergence and how the wealth is redistributed among traders.
Bitte loggen Sie sich ein, um Zugang zu diesem Inhalt zu erhalten
Sie möchten Zugang zu diesem Inhalt erhalten? Dann informieren Sie sich jetzt über unsere Produkte:
Becker, G.S. 1962. Irrational behavior and economic theory. Journal of Political Economy. LXX:1–13.
Billingsley, P. 1995. Probability and measure. New York: John Wiley & Sons.
Camerer, C.F. 1987. Do biases in probability judgment matter in markets? American Economic Review 77:981–997.
Cootner, P.H. 1967. The random character of stock market prices. Rev. ed. Cambridge: M.I.T. Press.
Feiger, G.M. 1978. Divergent rational expectations equilibrium in a dynamic model of a futures market. Journal of Economic Theory 17:164–178. CrossRef
Figlewski, S. 1978. Market ‘efficiency’ in a market with heterogeneous information. Journal of Political Economy 86(4):581–597. CrossRef
Figlewski, S. 1982. Information diversity and market behavior. Journal of Finance 37:87–102. CrossRef
Gode, D.K., and S. Sunder. 1993. Allocative efficiency of markets with zero-intelligence traders: market as a partial substitute for individual rationality Journal of Political Economy 101(1):119–137.
Gode, D.K., and S. Sunder. 1997. What makes markets allocationally efficient. Quarterly Journal of Economics 112(2):603–630. CrossRef
Grossman, S.J. 1976. On the efficiency of competitive stock markets where traders have diverse information. Journal of Finance 31:573–585. CrossRef
Grossman, S.J. 1978. Further results on the informational efficiency of competitive stock markets. Journal of Economic Theory 18:81–101. CrossRef
Hayek, F.A. 1945. The uses of knowledge in society. American Economic Review 35:519–530.
Hellwig, M.F. 1980. On the aggregation of information in competitive markets. Journal of Economic Theory 22:477–498. CrossRef
Luo, G.Y. 1995. Evolution and market competition. Journal of Economic Theory 67(1):223–250. CrossRef
Luo, G.Y. 1998. Market efficiency and natural selection in a commodity futures market. Review of Financial Studies 11(3):647–674. CrossRef
Nozick, R. 1994. Invisible-hand explanations. American Economic Review 84(2):314–318.
Patel, J., R. Zeckhauser, and D. Hendricks. 1991. The rationality struggle: illustrations from financial markets. American Economic Review 81(2):232–236.
Simon, H. 1959. Theories of decision-making in economic and behavioral science. American Economic Review 49:253–283.
Simon, H. 1986. Rationality in psychology and economics. Journal of Business 59:S209–S224. CrossRef
Smith, V.L. 1982. Markets as economizers of information: experimental examination of the “Hayek hypothesis”. Economic Inquiry 20(2):165–179. CrossRef
Vriend, N.J. 1996. Rational behavior and economic theory. Journal of Economic Behavior and Organization 29:263–285. CrossRef
- Natural Selection, Random Shocks, and Market Efficiency in a Futures Market
Guo Ying Luo
- Springer New York
- Chapter 5
Neuer Inhalt/© Stellmach, Neuer Inhalt/© BBL, Neuer Inhalt/© Maturus, Pluta Logo/© Pluta, Neuer Inhalt/© hww, So bewältigen Sie Stress im Fernstudium/© granata68 | stock.adobe.com | AdobeStock