dc.contributor |
Universitat Rovira i Virgili. Departament d'Economia |
dc.contributor.author |
Frutos Casado, Ángeles de |
dc.contributor.author |
Manzano, Carolina |
dc.date.accessioned |
2006-04-27T14:16:09Z |
dc.date.available |
2006-04-27T14:16:09Z |
dc.date.issued |
2003 |
dc.identifier.uri |
http://hdl.handle.net/2072/1773 |
dc.description.sponsorship |
Financial support from project BEC 2000-0173 for the first author and from SEC2001-0445 for the second author is gratefully acknowledged. |
dc.format.extent |
3214589 bytes |
dc.format.mimetype |
application/pdf |
dc.language.iso |
eng |
dc.relation.ispartofseries |
Documents de treball del Departament d'Economia;2003-2 |
dc.rights |
Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
dc.subject |
Mercat-Analisi |
dc.subject |
Preus |
dc.title |
Trade disclosure and price dispersion |
dc.type |
info:eu-repo/semantics/workingPaper |
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. Keywords: Market microstructure, Post-trade transparency, Price experimentation, Price dispersion. |