Trading Volume and Transaction Costs in Specialist Markets
研究专家市场中交易量与信息不对称的关系，发现考虑内生交易成本后，交易量可能随信息不对称程度增加而减少，挑战了传统竞争均衡模型的结论。
ABSTRACT Prior work with competitive rational expectations equilibrium models indicates that there should be a positive relation between trading volume and differences in beliefs or information among traders. We show that this result is sensitive to whether and how transaction costs are modeled. In a specialist market with endogenous transaction costs we show that trading volume can be negatively related to the degree of informational asymmetry in the market. Our analysis highlights the dependence of volume on market structure, and our results suggest that the “volume effects” of corporate or macroeconomic events reflect a decrease, rather than an increase, in heterogeneity of beliefs or asymmetry of information.