Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings
分析企业从做市商市场转向竞价市场后，交易者匿名性变化及知情交易概率与买卖价差的关系，发现做市商市场匿名性更高，且知情交易概率高的企业在转向竞价市场后价差缩小更明显。
Are auction markets or dealer markets better able to identify informed traders? Our analysis of firms that transfer to an alternative exchange structure indicates that traders are more anonymous in a competing dealer market than in an auction environment. Our evidence also shows that the associated changes in the probability of trading with an informed trader are related to changes in the bid-ask spread. The reduction in bid-ask spreads is more pronounced for firms with higher probability of transacting with an informed trader prior to the relocation from a dealer to an auction market.