Trade Disclosure, Information Learning and Securities Market Performance

In this paper we examine the effect of information disclosure on securities market performance when liquidity traders are able to acquire information about inside trading. We show that the bid-ask spread increases with the liquidity trader's learning efficiency, which is greater when trade info...

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Main Authors: WU, Chunchi, ZHANG, Wei
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2002
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/794
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spelling sg-smu-ink.lkcsb_research-17932016-02-22T03:47:07Z Trade Disclosure, Information Learning and Securities Market Performance WU, Chunchi ZHANG, Wei In this paper we examine the effect of information disclosure on securities market performance when liquidity traders are able to acquire information about inside trading. We show that the bid-ask spread increases with the liquidity trader's learning efficiency, which is greater when trade information is disclosed. The bid-ask spread is always higher when trade information is not disclosed. However, the discrepancy between the bid-ask spreads with and without information disclosure narrows when the learning efficiency increases. We also show that the gains of the informed traders in a market without trade information disclosure are reduced in the presence of the liquidity trader's learning. Nevertheless, liquidity traders do not necessarily benefit from increased transparency. In particular, liquidity traders may face higher trading costs. 2002-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/794 info:doi/10.1023/A:1013858110713 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Business Finance and Financial Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Business
Finance and Financial Management
Portfolio and Security Analysis
spellingShingle Business
Finance and Financial Management
Portfolio and Security Analysis
WU, Chunchi
ZHANG, Wei
Trade Disclosure, Information Learning and Securities Market Performance
description In this paper we examine the effect of information disclosure on securities market performance when liquidity traders are able to acquire information about inside trading. We show that the bid-ask spread increases with the liquidity trader's learning efficiency, which is greater when trade information is disclosed. The bid-ask spread is always higher when trade information is not disclosed. However, the discrepancy between the bid-ask spreads with and without information disclosure narrows when the learning efficiency increases. We also show that the gains of the informed traders in a market without trade information disclosure are reduced in the presence of the liquidity trader's learning. Nevertheless, liquidity traders do not necessarily benefit from increased transparency. In particular, liquidity traders may face higher trading costs.
format text
author WU, Chunchi
ZHANG, Wei
author_facet WU, Chunchi
ZHANG, Wei
author_sort WU, Chunchi
title Trade Disclosure, Information Learning and Securities Market Performance
title_short Trade Disclosure, Information Learning and Securities Market Performance
title_full Trade Disclosure, Information Learning and Securities Market Performance
title_fullStr Trade Disclosure, Information Learning and Securities Market Performance
title_full_unstemmed Trade Disclosure, Information Learning and Securities Market Performance
title_sort trade disclosure, information learning and securities market performance
publisher Institutional Knowledge at Singapore Management University
publishDate 2002
url https://ink.library.smu.edu.sg/lkcsb_research/794
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