文档介绍：Market Transparency:
Who Wins and Who Loses?
Robert Bloomfield
Maureen O’Hara
Cornell University
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 pete 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.
Transparency is a fundamental issue in the design and regulation of markets.
In the United States, the Securities and mission’s (SEC) view
is straightforward: “mission has long believed that transparency—
the real time, public dissemination of trade and quote information—plays
a fundamental role in the fairness and efficiency of the secondary markets
... transparency helps to link dispersed markets and improves the price
discovery, fairness, competitiveness and attractiveness of . markets.”1
Consistent with this view, all . market centers must immediately report
trade prices and volumes, as well as provide the best outstanding bid and
ask quote to
This beneficial view of transparency is not universally shared. The Se-
curities and Investment Board (SIB), the . regulatory body, has argued
that there are important differences between quote transparency and trade
transparency. Of particular importance is their view that there is “a tradeoff
between liquidity and trade transparency.” This presumed trade-off arises
We would like to thank the editor, Larry Glosten, and Yakov Amihud, Rachel Croson, David Easley, Si-
m