Price discovery and gains from trade in asset markets with insider trading

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F23%3A00572225" target="_blank" >RIV/67985998:_____/23:00572225 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11640/23:00582628

Výsledek na webu

<a href="https://doi.org/10.1080/1351847X.2022.2032241" target="_blank" >https://doi.org/10.1080/1351847X.2022.2032241</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1080/1351847X.2022.2032241" target="_blank" >10.1080/1351847X.2022.2032241</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Price discovery and gains from trade in asset markets with insider trading

Popis výsledku v původním jazyce

The present study contributes to the ongoing debate on possible costs and benefits of insider trading. We present a novel call auction model with insider information. Our model predicts that more insider information improves informational efficiency of prices, but this comes at the expense of reduced gains from trade. Testing these hypotheses in the lab, we find that insider information increases informational efficiency of call auction prices but does not decrease the realized gains from trade. We further find that the call auction does not perform worse than the continuous double auction. In fact, when the probability of insider information is high, the call auction has the most informative prices and highest realized gains from trade. Our experiment provides new evidence, from markets with very asymmetrically dispersed information, that lends support to the decision by many stock exchanges to use call auctions when information asymmetries are severe and the need for accurate prices is large, e.g. at the open or close of the trading day.

Název v anglickém jazyce

Price discovery and gains from trade in asset markets with insider trading

Popis výsledku anglicky

The present study contributes to the ongoing debate on possible costs and benefits of insider trading. We present a novel call auction model with insider information. Our model predicts that more insider information improves informational efficiency of prices, but this comes at the expense of reduced gains from trade. Testing these hypotheses in the lab, we find that insider information increases informational efficiency of call auction prices but does not decrease the realized gains from trade. We further find that the call auction does not perform worse than the continuous double auction. In fact, when the probability of insider information is high, the call auction has the most informative prices and highest realized gains from trade. Our experiment provides new evidence, from markets with very asymmetrically dispersed information, that lends support to the decision by many stock exchanges to use call auctions when information asymmetries are severe and the need for accurate prices is large, e.g. at the open or close of the trading day.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

European Journal of Finance

ISSN

1351-847X

e-ISSN

1466-4364

Svazek periodika

29

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

23

Strana od-do

255-277

Kód UT WoS článku

000751738400001

EID výsledku v databázi Scopus

2-s2.0-85124283222