| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1767 |
| DP1767 Wage and Pension Pressure on the Polish Budget | |
| Alain De Crombrugghe | |
| 发表日期 | 1997-12-24 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | The paper analyses the effects of strategic behaviour by an insider in a price discovery process, akin to an information tâtonnement, in the presence of a competitive informed sector. Such processes are used in the pre-opening period of continuous trading systems in several exchanges. It is found that the insider manipulates the market using a contrarian strategy in order to neutralize the effect of the trades of competitive informed agents. Furthermore, consistent with the empirical evidence available, we find that information revelation accelerates close to the opening; that the market price does not converge to the fundamental value no matter how many rounds the tâtonnement has; and that the expected trading volume displays a U-shaped pattern. We also find that a market with a larger competitive sector (smaller insider) has an improved informational efficiency and an increased trading volume. The insider provides a public good (reducing the informativeness of the price) for the competitive informed sector. |
| 主题 | Financial Economics |
| 关键词 | Contrarian behaviour Information tâtonnement Insider training Market manipulation Market microstructure Preopening auction |
| URL | https://cepr.org/publications/dp1767 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530917 |
| 推荐引用方式 GB/T 7714 | Alain De Crombrugghe. DP1767 Wage and Pension Pressure on the Polish Budget. 1997. |
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