Can transparent markets survive?

• 成果类型: Article
• 署名作者: Bloomfield, R; O'Hara, M
• 署名单位: Cornell University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00056-2
• 发表日期: 2000
• 页码: 425-459
• 关键词: Market microstructure; Experimental economics; stock market competition

摘要

This paper investigates whether transparent markets can survive when faced with direct competition from less transparent markets. We first construct a game-theoretic model in which in equilibrium the low-transparency dealers capture early order flow, and use the resulting informational advantage to quote narrower spreads and earn more profits than their more transparent competitors. We then conduct a laboratory experiment that tests and supports all of these predictions. A second experiment shows that most dealers choose to be of lower transparency when they are allowed to do so. However, the informational advantage of low-transparency decreases as there are more such dealers, while the high-transparency dealers gel increasing benefit from informed traders who attempt to broadcast deceptive trades. As a result, a small number of transparent dealers persist in our markets. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: G14; G12; D82.