Trade disclosure and price dispersion

Ángeles de Frutos Casado and Carolina Manzano ()

Working Papers from Universitat Rovira i Virgili, Department of Economics

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.

Keywords: Mercat-Analisi; Preus (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/2072/1773

Related works:
Journal Article: Trade disclosure and price dispersion (2005)
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: https://EconPapers.repec.org/RePEc:urv:wpaper:2072/1773

Access Statistics for this paper

More papers in Working Papers from Universitat Rovira i Virgili, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Ariadna Casals ().