Market Transparency: Who Wins and Who Loses?
通过实验室实验，研究交易披露和报价披露对市场效率、买卖价差和交易者福利的影响，发现交易披露提高价格信息效率但扩大买卖价差，使做市商受益而流动性交易者和知情交易者受损。
This study uses laboratory experiments to determine the effects of trade and quote disclosure on market efficiency, bid-ask spreads, and trader welfare. We show that trade disclosure increases the informational efficiency of transaction prices, but also increases opening bid-ask spreads, apparently by reducing market-makers' incentives to compete for order flow. As a result, trade disclosure benefits market makers at the expense of liquidity traders and informed traders. We find that quote disclosure has no discernible effects on market performance. Overall our results demonstrate that the degree of market transparency has important effects of market equilibria and on trader and market-maker welfare. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.