| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP11690
|
| DP11690 Market Fragmentation, Dissimulation, and the Disclosure of Insider Trades |
| Giovanni Cespa
|
| 发表日期 | 2016-12-07
|
| 出版年 | 2016
|
| 语种 | 英语
|
| 摘要 | We study insider trading disclosure in a dynamic model where a security is traded in two venues by an insider together with noise traders, and prices are set by competitive dealers in each location, under two alternative information regimes. We first posit that markets are informationally segmented, in that market makers are privy to the information gathered in their venue. In this case, fragmentation has no effect on the price discovery impact of insider trades’ disclosure. We then allow market makers in a given venue to also observe the other venue’s past period price as well as a noisy signal of that venue’s order flow. In this case, we show that if markets are sufficiently pre-trade transparent, disclosure can impair price discovery. |
| 主题 | Financial Economics
|
| 关键词 | Fragmentation
Disclosure of insider trades
Dissimulation
Market transparency
Informational efficiency
Price comovement
|
| URL | https://cepr.org/publications/dp11690
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540504
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推荐引用方式
GB/T 7714 |
Giovanni Cespa. DP11690 Market Fragmentation, Dissimulation, and the Disclosure of Insider Trades. 2016.
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