The Review of Financial Studies, Volume 31, Issue 9, 1 September 2018

政府干预和套利

作者：Paolo Pasquariello (Ross School of Business, University of Michigan)

摘要：政府直接干预市场可能会导致其他与套利相关的市场违反一价定律。本文发现，政府在一个战略性市场订单交易和分割经销商模型中，追求非公开的、部分信息化的价格目标，通过模糊交易商对目标资产从订单流中所获收益的推断, 形成基本面相同的资产之间均衡价格的差异，这某种程度上复杂地依赖于现有价格形成。利用美国存托凭证和其他在美国主要交易所进行交易的交叉上市的样本，以及1980年至2009年间发达国家和新兴国家的货币干预情况进行研究，本文获得了支撑性证据。

Government Intervention and Arbitrage

Paolo Pasquariello (Ross School of Business, University of Michigan)

ABSTRACT

Direct government intervention in a market may induce violations of the law of one price in other, arbitrage-related markets. I show that a government pursuing a nonpublic, partially informative price target in a model of strategic market-order trading and segmented dealership generates equilibrium price differentials among fundamentally identical assets by clouding dealers’ inference about the targeted asset’s payoff from its order flow, to an extent complexly dependent on existing price formation. I find supportive evidence using a sample of American Depositary Receipts and other cross-listings traded in the major U.S. exchanges, along with currency interventions by developed and emerging countries between 1980 and 2009.

原文链接：https://academic.oup.com/rfs/article/31/9/3344/3954042?searchresult="1

翻译：吕越