摘要：Information is the basis for the sustainable and stable development of financial markets. Advanced internet technology has accelerated the dissemination of information. To investigate the impacts of private information dissemination on the sustainability of the financial market, we construct a rational expectation equilibrium (REE) model. The dissemination of private information favors noise traders who receive private information and weakens the advantage of informed traders who have direct access to private information, thus reducing noise-driven volatility and increasing fundamental-driven volatility, which is not conducive to the sustainability and stability of the financial market. Private information dissemination increases information asymmetry, reduces the number of noise traders in the market, decreases market liquidity, and hurts price efficiency for both exogenous and endogenous information acquisition, which is harmful to the sustainability of the financial market. Additionally, we numerically analyze the effects of private information on noise traders, market liquidity, and price efficiency. The numerical results are consistent with the theoretical analysis. The findings highlight the potential of private information dissemination to noise traders in financial market analysis. This study contributes to the analysis of financial market sustainability.
关键词：information acquisition; information dissemination; price efficiency; market liquidity
