Price discovery and gains from trade in asset markets with insider trading
研究内幕信息对集合竞价市场的影响，发现更多内幕信息提高价格信息效率但不减少实际交易收益，且集合竞价在信息不对称严重时表现优于连续竞价。
The present study contributes to the ongoing debate on possible costs and benefits of insider trading. We present a novel call auction model with insider information. Our model predicts that more insider information improves informational efficiency of prices, but this comes at the expense of reduced gains from trade. Testing these hypotheses in the lab, we find that insider information increases informational efficiency of call auction prices but does not decrease the realized gains from trade. We further find that the call auction does not perform worse than the continuous double auction. In fact, when the probability of insider information is high, the call auction has the most informative prices and highest realized gains from trade. Our experiment provides new evidence, from markets with very asymmetrically dispersed information, that lends support to the decision by many stock exchanges to use call auctions when information asymmetries are severe and the need for accurate prices is large, e.g. at the open or close of the trading day.