Auswirkungen des Orderbuchprivilegs an einer experimentellen Aktienbörse

Wolfgang Gerke (), Horst Bienert () and Christine Syha ()
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Wolfgang Gerke: Universität Erlangen-Nürnberg
Horst Bienert: Universität Erlangen-Nürnberg
Christine Syha: Universität Erlangen-Nürnberg

Schmalenbach Journal of Business Research, 2001, vol. 53, issue 3, 188-215

Abstract: Summary In financial markets information on the current orderbook situation is often available only to a small subset of market participants. This paper examines how privileged orderbook access influences traders’ behavior in a complex experimental stock market setting. In each market one single trader — the orderbook insider — receives detailed information on currently unexecuted buy and sell orders, while for the other traders the orderbook is closed. The orderbook insider takes advantage of his privileged information mainly by directly accepting counter orders. Contrary to our expectations, the orderbook insiders do not outperform the nonprivileged traders. The trading activities of an orderbook insider apparently lead to a reduction of excess volatility and an increase in market liquidity. A market with participation of an orderbook insider resembles a market with open orderbook for all traders.

Keywords: C91; D82; G14 (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1007/BF03372647

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