This paper studies the existence of competitive market equilibrium under asymmetric information. There are two agents involved in the trading of the risky asset: an “informed” trader and an “ordinary” trader. The market is competitive and the ordinary agent can infer the insider information from the risky asset's price dynamics. The definition of market equilibrium is based on the law of supply-demand as described by a Rational Expectations Equilibrium of the Grossman and Stiglitz (1980) model. We show that equilibrium can be attained by linear dynamics of an admissible price process of the risky asset for a given linear supply dynamics.