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Economia dos mercados financeiros

by Silva, Pedro Miguel Bento Pereira da
Published by : ISEG (Lisboa ) Physical details: 86 fs 30 cm Subject(s): Economia monetária e financeira | Mercado financeiro | Economia financeira | Preços | Economia da informação | Eficiência de mercado | Instrumentos financeiros | Teoria económica | Tese de mestrado Year: 2003
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Item type Location Collection Call number Copy Status Date due
CD-ROM CD-ROM Instituto Superior de Economia e Gestão
ISEG (iseg)
HG4521.S55 2003 (Browse shelf) 1 Sem empréstimo
Tese Tese Instituto Superior de Economia e Gestão
ISEG (iseg)
HG4521.S55 2003 (Browse shelf) 1 Available
Tese Tese Instituto Superior de Economia e Gestão
ISEG (iseg)
HG4521.S55 2003 (Browse shelf) 2 Sem empréstimo
Tese Tese Reitoria - SDP
SDP-Reitoria
Dissertações de mestrado ULisboa TM043 ISEG EMF4 2003 (Browse shelf) 4 Sem empréstimo

Ibrahimo, Muradali Valimamade -Orientador. Mestrado em Economia Monetária e Financeira. Universidade Técnica de Lisboa. Instituto Superior de Economia e Gestão. 2003

Esta tese pretende sintetizar a literatura mais relevante sobre o papel da informação na explicação do processo de formação de preços nos mercados financeiros. Esta síntese pretende ser uma contextualização histórica da importância da diversidade e assimetria de informação sobre a eficiência dos mercados. Ao longo do trabalho os preços assumem um papel essencial como reveladores da informação para o mercado. Numa primeira fase são analisados, em particular, os modelos de expectativas racionais como tentativa de explicar os fluxos de informação nos mercados financeiros. O modelo de Grossman-Stiglitz apresentado é um dos grandes exemplos deste tipo de modelos e serviu como ponto de partida para muita investigação posterior.

This thesis is a survey of the most important literature in informational economics and tries to capture the role of information in explaining the price formation process. It's a work that does a historic retrospective of the role of asymmetric and diverse information in markets efficiency. In this dissertation prices are important because they are the major source of information and reveal information for all the traders. All models studied in this work focus on prices efficiency or on informational efficient markets. First, rational expectations models are used to explain how information is allocated in financial markets. Grossman¬Stiglitz is presented as an important example of a rational expectation model. Secondly, strategic behaviour of traders when they have private information is analysed. It was noted that when traders have more information and omit their behaviour they always have positive profits. These traders are called insiders the others are called noise traders and have losses on average. In this new perspective, sequential models are commonly used to explore these behaviours, Kyle's model is an example of a sequential model. This model permitted several extensions, especially to dynamic models with more variables and restrictions. These extensions and critics were important for the development of modern financial economics. Observing insider trading behaviour we can conclude this market imperfection has disadvantages but also advantages. A disadvantage is when prices transmit less information and markets are less efficient because of insider trading behaviour. When this happens markets aren't efficient in a strong form sense. An advantage is when financial markets are thin, private information with more quality increases market efficiency.
The major conclusions of this work need more empirical tests with other distributions more complex. It is necessary further investigation in multiperiod dynamic models with heterogeneous informed agents to support these theories.

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