EXPERIMENTS ON PERCOLATION OF INFORMATION IN DARK MARKETS

• 成果类型: Article
• 署名作者: Asparouhova, Elena; Bossaerts, Peter
• 署名单位: Utah System of Higher Education; University of Utah; University of Melbourne
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12464
• 发表日期: 2017
• 页码: F518-F544
• 关键词: corporate bond market; rational-expectations; financial-markets; TRANSPARENCY; COSTS; aggregation; equilibrium; revelation; liquidity; prices

摘要

In dark markets, order submissions are bilateral, and transaction prices are known only to the trading counterparties. Here, we study to what extent the information aggregation theory proposed by Duffie and collaborators predicts outcomes in a laboratory version of such markets. We find that prices aggregate the available information but not in the strict sense of the theory, where prices converge exponentially fast to average private signals. Prices instead fluctuate within bands around this average. The band widths reflect, in the best case, the precision of the average signal and, otherwise, the precision of a single private signal.