Information Spillovers in Asset Markets with Correlated Values
William Fuchs and
American Economic Review, 2017, vol. 107, issue 7, 2007-40
We study information spillovers in a dynamic setting with correlated assets owned by privately informed sellers. In the model, a trade of one asset can provide information about the value of other assets. Importantly, the information content of trading behavior is endogenously determined. We show that this endogeneity leads to multiple equilibria when assets are sufficiently correlated. The equilibria are ranked in terms of both trade volume and efficiency. The model has implications for policies targeting post-trade transparency. We show that introducing post-trade transparency can increase or decrease welfare and trading volume depending on the asset correlation, equilibrium being played, and the composition of market participants.
JEL-codes: D82 D83 G14 G18 (search for similar items in EconPapers)
Note: DOI: 10.1257/aer.20151714
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
https://www.aeaweb.org/articles/attachments?retrie ... uRhU77sgzUGAiBrwVkc- (application/pdf)
https://www.aeaweb.org/articles/attachments?retrie ... gypW16CVDq49uqXdfqjA (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.
Working Paper: Information Spillovers in Asset Markets with Correlated Values (2016)
Working Paper: Information spillovers in asset markets with correlated values (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:aea:aecrev:v:107:y:2017:i:7:p:2007-40
Ordering information: This journal article can be ordered from
Access Statistics for this article
American Economic Review is currently edited by Pinelopi Koujianou Goldberg
More articles in American Economic Review from American Economic Association Contact information at EDIRC.
Series data maintained by Jane Voros ().