Essays on the structure and regulation of financial markets

详细信息   

• 作者：Chun ; Byoung-Jo
• 学历：Doctor
• 年：1995
• 关键词：Social sciences ; markets ; securities
• 导师：Weller,Paul
• 毕业院校：The University of Iowa
• 专业：Finance;Business community
• CBH：9536183
• Country：USA
• 语种：English
• FileSize：4023187
• Pages：148

文摘

This dissertation comprises three essays on regulatory issues in financial markets,such as asymmetric market transparency,the effect of short-term trading on informational efficiency of securities markets,and regulation of dual trading. In the first essay,we analyze how asymmetric market transparency affects the properties of multi-market equilibrium. We demonstrate that asymmetry in transparency results in a relative disadvantage in the transparent market in terms of price efficiency,market liquidity,and the trading costs of investors,compared to the opaque market. Furthermore,we show that asymmetric transparency might result in a complete loss of discretionary liquidity orders to the opaque market. We also analyze a symmetric case where the two trading venues are mandated to release transaction data at the same time and show that symmetric transparency increases price efficiency but reduces trading costs of liquidity traders. The impact of short-term trading on the informational efficiency of securities markets is analyzed in the second essay. In the competitive linear equilibrium,the price-taking informed traders can infer liquidity trades and offset part of them. Consequently,the impact of short-term trading on price efficiency is also influenced by how an increase in short-term trading affects informed trading behavior on their information variables. We demonstrate that when informed traders offset more of liquidity trading with an increase in short-term trading in the market,the prevalence of short-term trading can have a positive impact on price efficiency and the terms of trade of long-horizon investors and liquidity traders. In the third essay,we analyze the economic impact of brokers' dual trading,where brokers trade on their own accounts based on the information content of customer order flow. We show that brokers' dual trading reduces the net amount of liquidity trading submitted to market makers and thus worsens market liquidity. Despite its adverse impact on market liquidity,dual trading improves the terms of trade of liquidity traders,because dual trading offsets the liquidity trading and thus facilitates the execution of liquidity orders. Dual trading,however,reduces informed customers' profits,because it worsens market liquidity.