Economics at your fingertips  

Information Spillovers in Asset Markets with Correlated Values

Vladimir Asriyan, William Fuchs and Brett Green

American Economic Review, 2017, vol. 107, issue 7, 2007-40

Abstract: 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)
Date: 2017
Note: DOI: 10.1257/aer.20151714
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) (application/pdf) ... uRhU77sgzUGAiBrwVkc- (application/pdf) ... gypW16CVDq49uqXdfqjA (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.

Related works:
Working Paper: Information Spillovers in Asset Markets with Correlated Values (2016) Downloads
Working Paper: Information spillovers in asset markets with correlated values (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

American Economic Review is currently edited by Esther Duflo

More articles in American Economic Review from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().

Page updated 2019-02-09
Handle: RePEc:aea:aecrev:v:107:y:2017:i:7:p:2007-40