Market transparency: Who wins and who loses?

• 成果类型: Article
• 署名作者: Bloomfield, R; O'Hara, M
• 署名单位: Cornell University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/12.1.5
• 发表日期: 1999
• 页码: 5
• 关键词: SECURITIES MARKETS; DEALER MARKET; INFORMATION; prices; liquidity; QUOTES

摘要

This study uses laboratory experiments to determine the effects of trade and quote disclosure on market efficiency, bid-ask spreads, and trader welfare. We show that trade disclosure increases the informational efficiency of transaction prices, but also increases opening bid-ask spreads, apparently by reducing market-makers' incentives to compete for order flow. As a result, trade disclosure benefits market makers at the expense of liquidity traders and informed traders. We find that quote disclosure has no discernible effects on market performance. Overall our results demonstrate that the degree of market transparency has important effects on market equilibria and on trader and market-maker welfare.