Information efficiency and financial stability

Artikel

The authors study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough. Upon introducing non-informed agents, the authors find that the latter contribute significantly to the trading activity if and only if the market is (nearly) information efficient. This suggests that information efficiency might be a necessary condition for bubble phenomena-induced by the behavior of non-informed traders-or conversely that throwing some sands in the gears of financial markets may curb the occurrence of bubbles.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 4 ; Year: 2010 ; Issue: 2010-20 ; Pages: 1-20 ; Kiel: Kiel Institute for the World Economy (IfW)

Classification and Topics

• Classification: Wirtschaft ; Financial Crises ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: Interacting agents models ; market efficiency ; market stability ; statistical mechanics of financial markets ; Unvollkommene Information ; Bubbles ; Finanzmarkt ; Markteffizienz ; Informationsverbreitung ; Agent-based Model ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Caccioli, Fabio ; Marsili, Matteo
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2010

Further information

• DOI: doi:10.5018/economics-ejournal.ja.2010-20
• Handle: http://hdl.handle.net/10419/36706
• Last update: 10.03.2025, 11:41 AM CET