Insider behavior under different market structures: experimental evidence on trading patterns, manipulation, and profitability

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• 作者：Philipp Hornung ; Ulrike Leopold-Wildburger…
• 关键词：Insider trading ; Call auction ; Continuous double auction ; Transparency
• 刊名：Central European Journal of Operations Research
• 出版年：2015
• 出版时间：June 2015
• 年：2015
• 卷：23
• 期：2
• 页码：357-373
• 全文大小：550 KB
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• 作者单位：Philipp Hornung (1)
  Ulrike Leopold-Wildburger (1)
  Roland Mestel (2) (3)
  Stefan Palan (4) (5)
  
  1. Institute of Statistics and Operations Research, Karl-Franzens-University Graz, Universitaetsstrasse聽15/E3, 8010聽, Graz, Austria
  2. Institute of Banking and Finance, Karl-Franzens-University Graz, Universitaetsstrasse 15/F2, 8010聽, Graz, Austria
  3. Institute of Banking and Insurance, University of Applied Sciences Joanneum, Eggenberger Allee 11, 8020聽, Graz, Austria
  4. Institute of Banking and Finance, Karl-Franzens-University Graz, Universitaetsstrasse聽15/F2, 8010聽, Graz, Austria
  5. Department of Banking and Finance, University of Innsbruck, Universitaetsstrasse聽15/4, 6020聽, Innsbruck, Austria
  
• 刊物主题：Operations Research/Decision Theory;
• 出版者：Springer Berlin Heidelberg
• ISSN：1613-9178

文摘

We conduct laboratory experiments incorporating different market structures and insiders who compete with imperfectly informed traders. The insiders possess perfect information regarding the fundamental value of the tradable asset, whereas the imperfectly informed participants receive a noisy signal of fundamental value. In addition to the two trader types, we vary the market design by using either a stand-alone continuous double auction market or a continuous double auction market preceded by either a transparent or a nontransparent opening call auction. The results provide insights into whether and how insiders try to stay undetected, how their profits are accumulated and what market structures are advantageous for insiders.