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Insider trading with different market structures

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Abstract

We study an extension of Jain and Mirman (1999) with two insiders under three different market structures: (i) Cournot competition among the insiders, (ii) Stackelberg game between the insiders and (iii) monopoly in the real market and Stackelberg in the financial market. We show how the equilibrium outcomes are affected by each of the market structure. Finally we perform a comparative statics analysis between the models.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2011/11056.pdf
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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number 11056.

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Length: 21 pages
Date of creation: Aug 2011
Date of revision:
Handle: RePEc:mse:cesdoc:11056

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Keywords: Insider trading; Cournot; Stackelberg; correlated signals; Kyle model.;

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  1. Leland, Hayne E, 1992. "Insider Trading: Should It Be Prohibited?," Journal of Political Economy, University of Chicago Press, vol. 100(4), pages 859-87, August.
  2. Tighe, Carla & Michener, Ron, 1994. "The Political Economy of Insider-Trading Laws," American Economic Review, American Economic Association, vol. 84(2), pages 164-68, May.
  3. Jain, Neelam & Mirman, Leonard J., 1999. "Insider trading with correlated signals," Economics Letters, Elsevier, vol. 65(1), pages 105-113, October.
  4. James Dow & Rohit Rahi, 1996. "Informed Trading, Investment and Welfare," Archive Working Papers 029, Birkbeck, Department of Economics, Mathematics & Statistics.
  5. Wassim Daher & Leonard J. Mirman, 2004. "Cournot duopoly and insider trading with two insiders," Cahiers de la Maison des Sciences Economiques b04077, Université Panthéon-Sorbonne (Paris 1).
  6. Creane, Anthony, 1994. "Experimentation with Heteroskedastic Noise," Economic Theory, Springer, vol. 4(2), pages 275-86, March.
  7. Manove, Michael, 1989. "The Harm from Insider Trading and Informed Speculation," The Quarterly Journal of Economics, MIT Press, vol. 104(4), pages 823-45, November.
  8. Wassim Daher & Leonard J. Mirman, 2004. "Market structure and insider trading," Cahiers de la Maison des Sciences Economiques b04025, Université Panthéon-Sorbonne (Paris 1).
  9. Ludovic Julien, 2011. "A note on Stackelberg competition," Journal of Economics, Springer, vol. 103(2), pages 171-187, June.
  10. Jain, Neelam & Mirman, Leonard J., 2002. "Effects of insider trading under different market structures," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 19-39.
  11. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
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Cited by:
  1. Lyudmila A. Glik & Oleg L. Kritski, 2014. "Finding informed traders in futures and their inderlying assets in intraday trading," Papers 1402.6583, arXiv.org.
  2. repec:hal:cesptp:halshs-00676502 is not listed on IDEAS
  3. Wassim Daher & Harun Aydilek & Fida Karam & Asiye Adydilek, 2012. "Insider trading with product differentiation," Documents de travail du Centre d'Economie de la Sorbonne 12014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  4. repec:hal:journl:halshs-00676502 is not listed on IDEAS

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