Information Revelation in Decentralized Markets

• 成果类型: Article
• 署名作者: Hagstromer, Bjoern; Menkveld, Albert J.
• 署名单位: Stockholm University; Vrije Universiteit Amsterdam; Tinbergen Institute
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12838
• 发表日期: 2019
• 页码: 2751-2787
• 关键词: exchange-rate; DISCOVERY; CONNECTEDNESS; architecture; expectations; equilibrium; percolation; frequency; patterns; network

摘要

How does information get revealed in decentralized markets? We test several hypotheses inspired by recent dealer-network theory. To do so, we construct an empirical map of information revelation where two dealers are connected based on the synchronicity of their quote changes. The tests, based on the euro to Swiss franc spot rate (EUR/CHF) quote data including the 2015 crash, largely support theory: strongly connected (i.e., central) dealers are more informed. Connections are weaker when there is less to be learned. The crash serves to identify how a network forms when dealers are transitioned from no-learning to learning, that is, from a fixed to a floating rate.