European Business Schools Librarian's Group

Les Cahiers de Recherche,
HEC Paris

No 742: Information sharing, liquidity and transaction costs in floor-based trading systems

Thierry FOUCAULT and Laurence LESCOURRET
Additional contact information
Laurence LESCOURRET: CREST

Abstract: We consider information sharing between traders("floor brokers") who possess different types of information, namely information on the payoff of a risky security or information on the volume of liquidity trading in this security. We interpret these traders as dual -capacity brokers on the floor of an exchange. We identify conditions under which the traders are better off sharing information. We also show that information sharing improves price discovery, reduces volatility and lowers expected trading costs. Information sharing can improve or impair the depth of the market, depending on the values of the parameters. Overall our analysis suggests that information sharing among floor brokers improves the performance of floor-based trading systems.

Keywords: market microstructure; floor-based trading systems; open outcry; information sharing; information sales

JEL-codes: D82; G10

41 pages, November 1, 2001

Full text files

9935675c0158a25b3d4d603e6f527134.pdf PDF-file 

Download statistics

Questions (including download problems) about the papers in this series should be directed to Antoine Haldemann ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-02-22 16:52:55.