This item is only available for download by members of the University of Illinois community. Students, faculty, and staff at the U of I may log in with your NetID and password to view the item. If you are trying to access an Illinois-restricted dissertation or thesis, you can request a copy through your library's Inter-Library Loan office or purchase a copy directly from ProQuest.
Permalink
https://hdl.handle.net/2142/20610
Description
Title
Three essays on insider trading
Author(s)
Tighe, Carla Evelyn
Issue Date
1989
Department of Study
Economics
Discipline
Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, General
Economics, Finance
Economics, Theory
Language
eng
Abstract
This dissertation presents three theoretical essays on insider trading in financial markets. The first essay studies the workings of a cash market and a futures market under uncertainty. The model in this essay is an extension of work by Danthine (Journal of Economic Theory, 1978), in which perfectly competitive risk averse producers can sell their output on the cash market, at an uncertain price, or on a futures market at a guaranteed price. Risk averse speculators also trade in futures, having received noisy signals about eventual cash demand. In my first essay, the speculators are as uniformed as the competitive producers. A dominant firm, however, possesses information about cash demand. Each uniformed agent has individual beliefs about demand. In equilibrium, these beliefs remain heterogeneous. The inside information of the dominant firm is not necessarily revealed.
The second and third essays study a financial market in which a single risky asset is traded. This work generalizes a paper by Kyle (Econometrica, 1985), in which a single insider knows the value of the risky asset perfectly. Uninformed traders (market makers) and nonrational noise traders also trade in the market. My second essay generalizes Kyle (1985) to allow for a finite number of noncolluding insiders to trade. As the number of insiders increases, insider profits--both individual and for the group as a whole--decrease, and more of the inside knowledge is incorporated into the market-clearing price. My third essay studies two noncolluding insiders. These insiders, however, do not necessarily know the precise value of the risky asset. In the first section of this essay, one insider has perfect information, while the other receives a noisy signal. In the second section, both insiders receive noisy signals. The results in these extensions of the model depend upon how informative the signals are. If the variance of each signal approaches infinity, the signal is virtually useless, and the insiders will not trade. Less noisy signals provide results comparable to the perfect information case of the second essay.
Use this login method if you
don't
have an
@illinois.edu
email address.
(Oops, I do have one)
IDEALS migrated to a new platform on June 23, 2022. If you created
your account prior to this date, you will have to reset your password
using the forgot-password link below.
