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 2009-06-12T14:27:55Z
dc.date.available 2009-06-12T14:27:55Z
dc.date.issued 2003
dc.identifier.issn 1576-3382
dc.identifier.uri http://hdl.handle.net/10016/4404
dc.description.abstract This paper determines the effects of post-trade opaqueness on market performance. 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 making zero expected profits in each of the two trading rounds, whereas in the opaque market dealers invest in acquiring information at the beginning of the trading day. Moreover, we obtain that if there is no trading activity in the first period, then market makers only change their quotes in the opaque market. Additionally, we show that trade disclosure increases the informational efficiency of transaction prices and reduces volatility. Finally, concerning welfare of market participants, we obtain ambiguous results.
dc.format.mimetype text/html
dc.language.iso eng
dc.publisher Universidad Rovira i Virgilio (Tarragona)
dc.relation.ispartofseries Working Paper
dc.relation.ispartofseries 2-2003
dc.relation.hasversion http://hdl.handle.net/10016/4308
dc.subject Market microestructure
dc.subject Post-trade transparency
dc.subject Price experimentation
dc.subject Price dispersion
dc.title Trade disclosure and price dispersion
dc.type workingPaper
dc.relation.publisherversion http://www.recercat.net/bitstream/2072/1773/3/DT.2003-2-.pdf
dc.subject.eciencia Economía
dc.rights.accessRights closedAccess
 Find Full text

Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record