Concurrence imparfaite entre opérateurs sur les marchés financiers

Abstract : ln the first chapter, we consider information sharing between traders who possess different types of information, namely information on the value of the risky security or information on the volume of liquidity trading in this security. We identify conditions under which these informed traders are better off sharing information. We also show that information sharing fosters price discovery and reduces volatility. Information sharing can improve or impair the depth of the market, depending on the values of the parameters but it always reduces liquidity traders' aggregate trading costs. Overall the analysis suggests that facilitating information sharing among market participants can improve market quality. The second chapter examines how order preferencing affects the quotesetting behavior of dealers who differ in their inventory. We suppose that the state of the preferenced order flow is common knowledge. Whether we consider a centralized or fragmented market, we show that preferencing reduces dealers' incentives to narrow market spreads. Thus preferencing leads to wider spreads and generates higher profits for dealers. However, we show that preferencing increases the inventory risks of the preferred dealer who may incur losses. This analysis suggests that preferencing is a risky practice who impedes market quality. In the third chapter, we suppose that the state of the preferenced order flow is only observed by the preferred dealer. In this case, we show that the preferred dealer may find optimal to communicate this inventory information to his uninformed opponent. Communication orientates the price chosen by dealers in a direction which reduces the inventory risks of the preferred dealer. The Nasdaq preopening offers a laboratory to test this prediction. We find that the most preferred Nasdaq dealers ('the wholesalers') actively participate to the communication game : they post the largest proportion of price signaIs. However, the signaIs from wholesalers* contribute the less to priee discovery. Moreover wholesalers' signaIs are more concentrated in stocks with high degree of preferencing. These findings, along with sorne evidence of strong price reversaIs - corroborate that wholesalers may communicate information related to temporary inventory pressure which is reflected into opening priees.
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Laurence Daurès Lescourret. Concurrence imparfaite entre opérateurs sur les marchés financiers. Economies et finances. HEC PARIS, 2003. Français. ⟨NNT : 2004EHEC0003⟩. ⟨pastel-00918336⟩

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