| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 102 === In this paper, we followed a sequential trade model that mentioned in Easley & O’Hara (1992), and further amended the setting of the model. On the other hand, we assume an exogenous variables - The probability of occurrence of systematic risk(k), and through the assumption to simulate this situation that whether remove short-sales constraints causes the market to crash or not. We find that when short-selling is allowed, if the bid which decided according to sell-orders less than the price of the critical point that investors believe in the first period, that will lead investors to re-view of amendments to the fundamental value which they believe, therefore, the bid will be corrected even lower, at this time, under the situation that The probability of occurrence of systematic risk(k) is high and accompanied by the expansion of the economic losses(C), more likely to produce the phenomenon of collapse in market prices. On the other hand, short-sales constraints cause a part of informed traders unable to participate in market transactions who no shares and have to borrow assets to sell, accordingly there is no way to reflect the pessimism of information by sellers, and will lead the bid overvaluation, this is consistent with Miller’s (1977) intuition.
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