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Auswirkungen des Orderbuchprivilegs an einer experimentellen Aktienbörse

Author

Listed:
  • Wolfgang Gerke

    (Universität Erlangen-Nürnberg)

  • Horst Bienert

    (Universität Erlangen-Nürnberg)

  • Christine Syha

    (Universität Erlangen-Nürnberg)

Abstract

Summary In financial markets information on the current orderbook situation is often available only to a small subset of market participants. This paper examines how privileged orderbook access influences traders’ behavior in a complex experimental stock market setting. In each market one single trader — the orderbook insider — receives detailed information on currently unexecuted buy and sell orders, while for the other traders the orderbook is closed. The orderbook insider takes advantage of his privileged information mainly by directly accepting counter orders. Contrary to our expectations, the orderbook insiders do not outperform the nonprivileged traders. The trading activities of an orderbook insider apparently lead to a reduction of excess volatility and an increase in market liquidity. A market with participation of an orderbook insider resembles a market with open orderbook for all traders.

Suggested Citation

  • Wolfgang Gerke & Horst Bienert & Christine Syha, 2001. "Auswirkungen des Orderbuchprivilegs an einer experimentellen Aktienbörse," Schmalenbach Journal of Business Research, Springer, vol. 53(3), pages 188-215, May.
    • Handle: RePEc:spr:sjobre:v:53:y:2001:i:3:d:10.1007_bf03372647
    DOI: 10.1007/BF03372647
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    References listed on IDEAS

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    1. Davis, Douglas D. & Holt, Charles a., 1993. "Experimental economics: Methods, problems and promise," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 8(2), pages 179-212.
    2. Copeland, Thomas E & Galai, Dan, 1983. "Information Effects on the Bid-Ask Spread," Journal of Finance, American Finance Association, vol. 38(5), pages 1457-1469, December.
    3. Harold Demsetz, 1968. "The Cost of Transacting," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 82(1), pages 33-53.
    4. Cohen, Kalman J & Maier, Steven F & Schwartz, Robert A & Whitcomb, David K, 1981. "Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread," Journal of Political Economy, University of Chicago Press, vol. 89(2), pages 287-305, April.
    5. Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 789-816.
    6. Friedman, Daniel, 1993. "Privileged Traders and Asset Market Efficiency: A Laboratory Study," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(4), pages 515-534, December.
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    More about this item

    Keywords

    C91; D82; G14;
    All these keywords.

    JEL classification:

    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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