Learning from Prices, Liquidity Spillovers, and Market Segmentation
Learning from Prices, Liquidity Spillovers, and Market Segmentation
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从价格、流动性溢出和市场细分中学习
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
Thierry Foucault
中科院分区：
文献类型：
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作者：
Giovanni Cespa;Thierry Foucault
我们描述了一种新的机制，解释了流动性冲击从一种证券到另一种证券的传递（“流动性溢出”）。交易商使用其他证券的价格作为信息来源。由于流动性较低的证券的价格传递的信息不那么准确，一种证券的流动性下降会增加其他证券交易商的不确定性，从而影响他们的流动性。当交易商拥有其他证券价格信息的比例足够高时，流动性溢出的方向是正的。否则，流动性溢出效应可能是负面的。对于某些参数，价格信息的价值随着获得该信息的经销商的数量而增加。在这种情况下，即使价格信息的成本很小，相关的证券也可能出现分割。
We describe a new mechanism that explains the transmission of liquidity shocks from one security to another ("liquidity spillovers"). Dealers use prices of other securities as a source of information. As prices of less liquid securities convey less precise information, a drop in liquidity for one security raises the uncertainty for dealers in other securities, thereby affecting their liquidity. The direction of liquidity spillovers is positive if the fraction of dealers with price information on other securities is high enough. Otherwise liquidity spillovers can be negative. For some parameters, the value of price information increases with the number of dealers obtaining this information. In this case, related securities can appear segmented, even if the cost of price information is small.