在充滿不確定性之交易市場中，每位交易者會盡量利用所擁有之資訊，在

市場有干擾（如，風險性資產供給之不確定性、個人偏好不同、個人面對

之稅負環境不同等）之情形下，市場會顯露出部份私人訊息，故交易者亦

會經由對價格和交易量之觀察習得訊息；擁有私人訊息之交易者稱為消息

靈通者(Informed)，未擁有私人訊息而只能經由觀察價格而習(learn )得

訊息之交易者稱為消息不靈通者(Uninformed)，他們二者之差異在於他們

是否願花成本或資源以購買訊息。本文係在干擾理性預期模型下，利用所

設定之特殊效用函數--絕對風險規避效用函數及假設隨機變數為多元常態

分配，探討市場有干擾情形下，在第一期有私人訊息而在第二期有公開訊

息揭露之不對稱訊息模型中價格之資訊性，分別分析了公告訊息和私人訊

息之干擾程度、風險性資產供給之不確定及購買訊息人數對二期價格資訊

性之影響。在所設定的模型有解下，本文利用這些影響因素對公告訊息和

私人訊息在總合需求計劃部位 (Position)的彈性說明二期價格資訊性。

同時文中亦探討購買訊息人數之內生決定，顯示了公告訊息之揭露會修正

交易者之看法而減少私人蒐集訊息之誘因。

一.中文部份：
1.岑蕙娟(1989)，「匯率風險管理──期貨契約最適交叉避險之研究」，未出版之碩士論文。
2.林筠‧李春華(1993)，「最適避險比率估計方法之研究」，證券市場發展季刊，第19期。
3.臧大年(1993)，「避險理論與策略」
，期貨交易理論與實務，財團法人中華民國證券暨期貨市場發展基金會。
4.盧飛山(1990)，「金融期貨市場之角色與背景」，臺北市銀月刊，第21卷第4期。
5.蔡春泉(1991)，「新台幣匯率風險管理外匯期貨契約與遠期外匯契約交叉避險之比較研究」，未出版之碩士論文。
6.鄭適勳(1990)，「期貨市場特性與避險策略之研究──國際金融期貨之實證分析」，未出版之碩士論文。

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