Strategic fragmented markets

• 成果类型: Article
• 署名作者: Babus, Ana; Parlatore, Cecilia
• 署名单位: Washington University (WUSTL); New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.08.022
• 发表日期: 2022
• 页码: 876-908
• 关键词: Market fragmentation; DISAGREEMENT; Interdealer trading; Price impact; Demand schedule equilibrium

摘要

We study the determinants of asset market fragmentation in a model with strategic in-vestors that disagree about the value of an asset. Investors' choices determine the market structure. Fragmented markets are supported in equilibrium when disagreement between investors is low. In this case, investors take the same side of the market and are willing to trade in smaller markets with a higher price impact to face less competition when trading against a dealer. The maximum degree of market fragmentation increases as investors' pri-ors are more correlated. Dealers can benefit from fragmentation, but investors are always better off in centralized markets. (c) 2021 Elsevier B.V. All rights reserved.