关键词: 基本面, 异质交易者, 竞争, 促进效应, 市场流动性

Abstract: Liquidity is of vital importance to the financial market. Lots of previous research findings suggest that intensifying the competition among the investors is an efficient way to promote market liquidity. On the premise that the payoff of the traded risky asset is composed of only one fundamental, these papers mainly focus on the competition from the homogeneously informed traders on their private information. However, due to the fact of multiple-fundamental risk from the real market, the complex financial market with multiple-fundamental assumption has been studied by a growing number of scholars. This assumption may give rise to heterogeneously informed investors whose private information is on different fundamental and thus is not correlated. Considering that, a model is developed where the payoff of the traded asset consists of two independent fundamentals in a Kyle (1985) framework. Two types of multiple heterogeneously informed traders respectively possess private information on one of the two fundamentals. Combining multiple-fundamental assumption and heterogeneously informed trading, it is addressed whether the competition among heterogeneously informed traders exists and if so what its impact is on market liquidity and how it works. After analyzing the interaction effects between heterogeneously informed investors' trading strategy and its impact on market, it is concluded as follows. Firstly, an increase in the number of traders would promote market liquidity and information efficiency due to the competition among homogeneously informed investors. This competition generates a crowding-out effect on the trading intensity and expected profits of homogeneously informed investors, yet a promotion effect on that of heterogeneously informed investors. Secondly, the allocation of expected revenue between the two types of informed investors is determined by their competition on the quality of their own private information. That is, both the individual and group expected profits of each type of informed traders increase with the quality of his/their own information, whereas decrease with the other type's information precision. Besides, the competition on the private information of the heterogeneously informed investors would aggravate the information asymmetry and consequently reduce the liquidity but enhance the information efficiency. Specially, the above conclusions can generalize to the model of multiple (over two) fundamentals and multiple types of heterogeneously informed traders. Finally, the best state of market liquidity in theory is seeked for. Based on our results, regulators can control the access to the private information in the market to utilize the competition and promotion effects among heterogeneously informed traders to maximize market liquidity.

Key words: multiple fundamentals, heterogeneously informed traders, competition, promotion effect, market liquidity