What is the impact of introducing a parallel OTC market? Theory and evidence from the chinese interbank FX market
What is the impact of introducing a parallel OTC market? Theory and evidence from the chinese interbank FX market
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引入平行场外交易市场有何影响？
DOI：
10.1016/j.jfineco.2020.10.004
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发表时间：
2021
影响因子：
8.9
通讯作者：
Puzzello Daniela
中科院分区：
文献类型：
--
作者：
Holden Craig W.;Lu Dong;Lugovskyy Volodymyr;Puzzello Daniela
中国银行间外汇交易最初是通过一个集中的、匿名的限价订单簿（LOB）进行的。我们确定引入并行的分散式场外交易（OTC）市场的影响。我们发现：（1）大多数交易转移到场外交易，（2）LOB价格函数向上倾斜，而场外交易价格函数向下倾斜，（3）LOB市场具有单一价格函数，而场外交易市场具有多个价格函数。接下来，我们开发了一个平行市场的理论模型，可以同时解释所有这些实证研究结果。我们测试一个新的模型预测并找到支持。
Chinese interbank foreign exchange trading was originally conducted through a centralized, anonymous limit order book (LOB). We determine the impact of the introduction of a parallel decentralized over-the-counter (OTC) market. We find that: (1) most trading migrated to the OTC, (2) the LOB price function is upward-sloping versus the OTC price function is downward-sloping, and (3) the LOB market has a single price function versus the OTC market has multiple price functions. Next, we develop a theoretical model of parallel markets that can simultaneously explain all of these empirical findings. We test a new model prediction and find support.