Trading in decentralized asset markets.

详细信息   

• 作者：Branzoli ; Nicola.
• 学历：Ph.D.
• 年：2013
• 导师：Sorensen, Alan T.,eadvisorCorbae, Dean P.,eadvisorReady, Markecommittee memberGandhi, Amitecommittee memberQuint, Danielecommittee member
• 毕业院校：The University of Wisconsin
• Department：Economics
• ISBN：9781303185595
• CBH：3566972
• Country：USA
• 语种：English
• FileSize：1467931
• Pages：103

文摘

In the first chapter of this dissertation I study an alternating offer game between an investor and a dealer who decide the price and the quantity of an asset to be traded. Investor and dealer are different in their ability to trade the asset. The dealer has access to an interdealer market where he can continuously trade at a given price. The investor can meet other dealers with access to the same market between rounds of offers. After an agreement is reached, investors valuation may change. In such case she will be involved in a new alternating offer game to trade the amount of the asset bought during the current game. I characterize the effect of the meeting rate with dealers on the price and the quantity traded in the unique stationary equilibrium with frequent offers. I show that transaction prices are closer to the price in the interdealer market and investors trade larger amounts when the arrival rate of dealers increases. In the second chapter I analyze whether order size responds to trading frictions. The theory developed in Chapter 1 suggests that investors should optimally trade smaller amounts in markets in which it is harder to find a dealer to trade with. This chapter tests this prediction in the US municipal bond market. Using several proxies based on asset liquidity, bid-ask spreads and price discovery, I show that bonds with higher trading frictions are also traded in smaller amounts. In the last chapter I develop a method to estimate the degree of dealer market power from trading data and I apply it to the US municipal bond market using a new dataset containing all trades executed in this market. I find a high degree of dealer market power in this market, which reduces volumes traded by 65% to 70%. I use the model to evaluate investors behavior under alternative policy interventions that could improve trading activity and the efficiency of the market. The introduction of weekly auctions where investors can trade directly with each other is the most effective, increasing volumes traded by roughly 60% and the allocation efficiency of the market by 80%.