DESIGNING ORDER-BOOK TRANSPARENCY IN ELECTRONIC COMMUNICATION NETWORKS

• 成果类型: Article
• 署名作者: Pancs, Romans
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/jeea.12073
• 发表日期: 2014
• 页码: 702-723
• 关键词: mechanisms

摘要

A significant fraction of trade in stock exchanges (e.g., Euronext and NASDAQ) involves iceberg orders', which are orders to sell or buy a certain number of shares with the caveat that only a part of that number be made public. This paper provides a normative justification for the lack of transparency in this kind of order: imperfect disclosure is shown to be a necessary feature of any optimal mechanism when the asset's potential buyers must incur a cost in order to become active and learn their valuations for the asset. This finding raises a caveat for regulation that seeks to mandate the open order book or otherwise increase the pre-trade transparency of stock exchanges.