A comparison of stock market mechanisms

• 成果类型: Article
• 署名作者: Cespa, G
• 署名单位: Pompeu Fabra University
• 刊物名称: RAND JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0741-6261
• DOI: 10.2307/1593775
• 发表日期: 2004
• 页码: 803-823
• 关键词: short-term investment; informational efficiency; equilibrium; liquidity; aggregation; COMPETITION

摘要

I analyze a multi-asset market under two trading mechanisms. In the first (the unrestricted system), traders' demand for each asset depends on all equilibrium prices, and prices reflect the information contained in all order flows; in the second (the restricted system), traders' demand depends on the traded asset price, and prices reflect single order flow information. I show that informed traders' use of multidimensional private information depends on the number of prices they observe and on the price-formation process. I then give conditions rendering the restricted system more efficient than the unrestricted system.