| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11732 |
| DP11732 Market Transparency and Fragility | |
| Xavier Vives; Giovanni Cespa | |
| 发表日期 | 2016-12-31 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We show that dealers' limited market participation, coupled with an informational friction resulting from lack of market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more liquidity when the market becomes less liquid, fostering market illiquidity. This can generate instability with an initial dearth of liquidity degenerating into a liquidity rout (as in a flash crash). In a fully transparent market, liquidity is increasing in the proportion of dealers continuously present in the market; however, in a less transparent market, liquidity can be U-shaped in this proportion and in the degree of transparency. |
| 主题 | Financial Economics |
| 关键词 | Market fragmentation Liquidity fragility Flash crash Asymmetric information |
| URL | https://cepr.org/publications/dp11732-0 |
| 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/540546 |
| 推荐引用方式 GB/T 7714 | Xavier Vives,Giovanni Cespa. DP11732 Market Transparency and Fragility. 2016. |
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