本文建立一個兩期Kyle 模型，分析政府資訊揭露的時間點如何影響市場流動性、價格 資訊性、價格穩定性與策略性交易行為。政府在第一期取得私人訊號s1，並在第二期取 得另一個私人訊號s2，同時以穩定兩期價格為目標進行策略性交易。本文比較四種揭露 制度：完全不揭露、第一期揭露s1、第二期揭露s2，以及依序完全揭露兩個訊號。 研究得到三項主要結果。第一，政府交易可透過降低訂單流的價格衝擊改善市場 流動性。然而，當政府更加重視價格穩定時，其抵銷價格變動的交易可能減緩基本面 資訊反映於價格的速度。因此，市場流動性的改善可能伴隨價格資訊性的下降。在完 全不揭露的制度下，當政府訊號足夠精確且政府具有較強的價格穩定動機時，內部人 也可能因應政府介入而採取反向交易策略。第二，早期揭露s1 可使政府資訊更早反映 於價格，進而改善價格發現。早期揭露會將部分價格調整提前至第一期，並降低第二 期的後續價格修正。同時，早期揭露會使政府訊號成為公共資訊，並削弱政府在後續 市場介入中的資訊優勢。第三，晚期揭露s2 的影響主要集中於第二期市場。當訊號成 為公共資訊後，造市者會同時根據新揭露的資訊與第二期訂單流更新對資產價值的估 計，因此產生一個在訊號維持私有時不會出現的額外第二期價格反應。 整體而言，研究結果顯示，政府交易與資訊揭露會共同影響市場品質，而揭露時間 點會決定市場流動性、價格發現、價格穩定性與政府資訊優勢的效果如何分配於不同 交易期間。;This thesis develops a two-period Kyle model to examine how the timing of government information disclosure affects market liquidity， price informativeness， price stability， and strategic trading behavior. The government receives a private signal， s1， in the first period and an additional private signal， s2， in the second period. It trades strategically with the objective of stabilizing prices in both periods. The analysis compares four disclosure regimes: no disclosure， early disclosure of s1， late disclosure of s2， and sequential full disclosure of both signals. The analysis yields three main findings. First， government trading can improve market liquidity by reducing the price impact of order flow. However， when the government places greater weight on price stabilization， its offsetting trades may slow the incorporation of fundamental information into prices. As a result， improved market liquidity may be accompanied by lower price informativeness. Under no disclosure， sufficiently precise government information and a strong stabilization motive may also induce the insider to adopt a reversed trading strategy. Second， early disclosure of s1 improves price discovery by allowing government in- formation to be incorporated into prices at an earlier stage. It shifts part of the price adjustment to the first period and reduces the subsequent price revision in the second period. At the same time， early disclosure makes the government signal publicly available and weakens the government’s informational advantage in subsequent market intervention. Third， late disclosure of s2 mainly affects the second-period market. Once the signal becomes public， the market maker updates the estimate of the asset value using both the newly disclosed information and second-period order flow. This generates an additional second-period price response that is absent when the signal remains private. Overall， the results show that government trading and information disclosure jointly shape market quality. Disclosure timing determines how the effects on market liquid- ity， price discovery， price stability， and the government’s informational advantage are distributed across trading periods.
