Trade disclosure and price dispersion

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Show simple item record Frutos, María Ángeles de Manzano, Carolina 2009-05-27T12:50:00Z 2009-05-27T12:50:00Z 2005-05
dc.identifier.bibliographicCitation Journal of Financial Markets. 2005, vol. 8, nº 2, p. 183-216
dc.identifier.issn 1386-4181
dc.description.abstract This paper studies the implications of trade reporting in a two-stage trade model similar to Journal of Financial Economics 14, 71–100. We find that the degree of market transparency has important effects on market equilibria. In particular, we show that dealers operating in a transparent structure set regret-free prices at each period. In contrast, dealers in an opaque market invest in acquiring information at the beginning of the trading day. Moreover, we show that in equilibrium there is price dispersion in the opaque market, whereas this is not the case if orders are reported. Additionally, we show that trade disclosure increases the informational efficiency of transaction prices and reduces volatility. Finally, concerning the welfare of market participants, we obtain ambiguous results.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Market microstructure
dc.subject.other Post-trade transparency
dc.subject.other Price experimentation and price dispersion
dc.title Trade disclosure and price dispersion
dc.type article PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/j.finmar.2005.02.001
dc.rights.accessRights openAccess
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