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Market Transparency and Fragility
| Content Provider | Scilit |
|---|---|
| Author | Cespa, Giovanni Vives, Xavier |
| Copyright Year | 2019 |
| Description | Journal: SSRN Electronic Journal We show that dealers’ limited market participation, coupled with an informational friction resulting from lack of market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more liquidity when the market becomes less liquid, fostering market illiquidity. This can generate instability with an initial dearth of liquidity degenerating into a liquidity rout (as in a flash crash). In a fully transparent market, liquidity is increasing in the proportion of dealers continuously present in the market; however, in a less transparent market, liquidity can be U-shaped in this proportion and in the degree of transparency. |
| Related Links | https://www.cesifo-group.de/DocDL/cesifo1_wp6279_0.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3339253 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3339253 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2019-02-21 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Market Fragmentation Liquidity Fragility Flash Crash Asymmetric Information |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |