| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13880 |
| DP13880 Clients' Connections: Measuring the Role of Private Information in Decentralised Markets | |
| Péter Kondor; Gabor Pinter | |
| 发表日期 | 2019-07-21 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We propose a new measure of private information in decentralised markets -- connections -- defined as the number of dealers with whom a client trades in a time period. Using proprietary data for the UK government bond market, we show that clients have systematically better performance when having more connections, and this effect is stronger during macroeconomic announcements. Time-variation in market-wide connections also helps explain yield dynamics. Given our novel measure, we present two applications suggesting that (i) dealers pass on information, acquired from their informed clients, to their subsidiaries, and (ii) informed clients better predict the order-flow intermediated by their dealers. |
| 主题 | Financial Economics |
| 关键词 | Private information Client-dealer connections Government bond market |
| URL | https://cepr.org/publications/dp13880 |
| 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/542755 |
| 推荐引用方式 GB/T 7714 | Péter Kondor,Gabor Pinter. DP13880 Clients' Connections: Measuring the Role of Private Information in Decentralised Markets. 2019. |
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