Asymmetries of information in centralized order-driven markets

Nicolas Boccard () and Riccardo Calcagno

No 1999016, LIDAM Discussion Papers IRES from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: We study the efficiency of the equilibrium price in a centralized, order-driven market where many asymmetrically informed traders are active for many periods. We show that asymmetries of information can lead to sub-optimal information revelation with respect to the symmetric case. In particular, we assess that the more precise the information the higher the incentive to reveal it, and that the value of private information is related to the volume of exogenous trade present on the market. Moreover, we prove that any informed trader, whatever his information, reveals his private signal during an active phase of the market, concluding that long pre-opening phases are not effective as an information discovering device in the presence of strategic players.

Keywords: Asymmetric information; pre-opening; insider trading (search for similar items in EconPapers)
JEL-codes: D82 D83 G12 G13 (search for similar items in EconPapers)
Pages: 26
Date: 1999-06-01
New Economics Papers: this item is included in nep-fmk
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http://sites.uclouvain.be/econ/DP/IRES/9916.pdf (application/pdf)

Related works:
Working Paper: Asymmetries of information in centralized order-driven markets (1999)
Working Paper: Asymmetries of Information in Centralized Order-Driven Markets (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvir:1999016

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