The Effect of the Transparency of Order Flows in a Dealer Market with Several Securities |
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| Institution: | 1. Department of Clinical Chemistry and Transfusion Medicine, Institute of Biomedicine, The Sahlgrenska Academy at the University of Gothenburg, SE-41345 Gothenburg, Sweden;2. Department of Clinical Chemistry and Department of Clinical and Experimental Medicine, Linköping University, Linköping, Sweden;3. Centre for Applied Biostatistics, The Sahlgrenska Academy at the University of Gothenburg, SE-41345 Gothenburg, Sweden;1. Université Paris-Est, IFSTTAR, GRETTIA, 14-20 Boulevard Newton, Cité Descartes, Champs sur Marne, 77447 Marne la Vallée Cedex 2, France;2. Université Paris-Est, Ecole des Ponts ParisTech, CERMICS, 6 & 8 avenue Blaise Pascal, Cité Descartes, Champs sur Marne, 77455 Marne la Vallée Cedex 2, France;3. Ecole Nationale d''Ingénieurs de Tunis, Rue Béchir Salem Belkhiria Campus universitaire, BP 37, 1002 Tunis Belvédère, Tunisie |
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| Abstract: | This paper compares two trading mechanisms in a dealer market with several securities exhibiting asymmetric information and imperfect competition. These two market structures differ in the information received by market-makers. While in the first of them when setting the price of an asset, they observe the order flows of all assets, in the second one they only observe the order flow corresponding to this asset. In order to make this comparison, we analyze several market indicators such as the informed expected traded volume, the market depth, the volatility and the informativeness of equilibrium prices, and the informed traders' ex-ante expected profits. Journal of Economic Literature Classification Numbers: G10. |
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