Trade disclosure and price dispersion

e-Archivo Repository

Show simple item record

dc.contributor.author Frutos, María Ángeles de
dc.contributor.author Manzano, Carolina
dc.date.accessioned 2009-05-27T12:50:00Z
dc.date.available 2009-05-27T12:50:00Z
dc.date.issued 2005-05
dc.identifier.bibliographicCitation Journal of Financial Markets. 2005, vol. 8, nº 2, p. 183-216
dc.identifier.issn 1386-4181
dc.identifier.uri http://hdl.handle.net/10016/4308
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.relation.isversionof http://hdl.handle.net/10016/4404
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
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.finmar.2005.02.001
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/j.finmar.2005.02.001
dc.rights.accessRights openAccess
 Find Full text

Files in this item

*Click on file's image for preview. (Embargoed files's preview is not supported)


This item appears in the following Collection(s)

Show simple item record