Cold Case File? Inventory Risk and Information Sharing during the pre‐1997 NASDAQ
研究1997年前纳斯达克开盘前时段，发现专业做市商通过非正价差传递价格压力信息，以应对存货风险，这对理解场外市场设计有启示。
Abstract This paper shows that dealers in Over‐The‐Counter (OTC) markets might choose to share information about transient price pressures. Using data from the pre‐1997 NASDAQ preopening, I find that the frequency and magnitude of non‐positive spreads (the information‐sharing vehicle) initiated by wholesalers (specialised market‐makers with a high exposure to inventory risk) are strongly related to opening price reversals and daily trading imbalances. This activity is more likely to occur on days of large liquidity shocks, and it is not observed for other dealers. Overall, the obligation to absorb price pressure at a yet unknown opening price might induce dealers to communicate the direction in which the opening price should move. The findings contain lessons for the design of today's OTC markets.