Information Spillovers in Asset Markets with Correlated Values
研究了在动态市场中，拥有私有信息的卖方交易相关资产时，交易行为如何内生地产生信息溢出，并导致多重均衡，进而影响交易量和福利。
We study information spillovers in a dynamic setting with correlated assets owned by privately informed sellers. In the model, a trade of one asset can provide information about the value of other assets. Importantly, the information content of trading behavior is endogenously determined. We show that this endogeneity leads to multiple equilibria when assets are sufficiently correlated. The equilibria are ranked in terms of both trade volume and efficiency. The model has implications for policies targeting post-trade transparency. We show that introducing post-trade transparency can increase or decrease welfare and trading volume depending on the asset correlation, equilibrium being played, and the composition of market participants.