巫和懋2006-07-262018-06-292006-07-262018-06-292003http://ntur.lib.ntu.edu.tw//handle/246246/17037本研究計畫目的在探討不完全資產市 場下，不對稱資訊與異質信念對資產價格 會有何種影響。本計畫研究衍生性資產定 價的特性，探討具不同資訊的參與者對跨 市場的交易會如何進行，而這些現貨與衍 生性資產之定價又會如何受到參與者擁有 訊息與信念的影響。本計畫並探討不對稱 資訊對「內生型不確定性」（endogenous uncertainty ）之影響與政策涵意。應用 Kyle(1985)和本人最近幾篇文章推導出來 的方法，本計畫分析市場的現貨與衍生性 資產一般均衡後會呈現何種特性，並且瞭 解不對稱的資訊結構是否較易造成更多的內生不確定性。The purpose of this research is to study the pricing of derivative assets when participants in the financial markets have heterogeneous beliefs and asymmetric information. This research also analyses how information asymmetry may influence the nature of uncertainty in the market. In an economy with incomplete asset market, the equilibrium prices may not have any discernible connection with the exogenous states of the world (see Kurz and Wu (1996) and Huang and Wu (1999)). This kind of uncertainty is therefore called “endogenous uncertainty”. Based on the work of Kyle(1985) and Kurz and Wu(1996), we study the interactions between the stock market and futures markets. Our results provide a new framework for the future work on the relation between information asymmetry and endogenous uncertainty.application/pdf29474 bytesapplication/pdfzh-TW國立臺灣大學國際企業學系暨研究所不完全資產市場衍生性資產定價異質信念不對稱資訊Derivative AssetsIncomplete Asset MarketsHeterogeneous BeliefsAsymmetric Informationreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/17037/1/912416H002039.pdf