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The Informational Role of Upstairs and Downstairs Trading

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Sanford J. Grossman

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Abstract

Much of economic theory is concerned with understanding price determination in competitive markets. Such theories assume that all individuals continuously participate in one giant market where they can express their demands for all assets simultaneously as a function of a giant price vector. This assumption of simultaneous and continuous participation in all markets is inconsistent with two important facts: First, it is costly for an individual or an institution to continuously express demands in any single market, and second it is simply impossible to trade in all markets simultaneously. These two facts create a need for intermediaries. Much is known about the role of intermediaries as principals who add liquidity to markets by trading on their own account. However, far less is known about the informational role of intermediaries. In this paper, we will analyze the consequences of the fact that intermediaries play a fundamental role as repositories of information.

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Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 22-90.

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Handle: RePEc:fth:pennfi:22-90

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  1. José Ramón Martínez-Resano, 2005. "Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds," Banco de España Occasional Papers 0501, Banco de España. [Downloadable!]
  2. Sugato Chakravarty, 2002. "Stealth-Trading: Which Traders' Trades Move Stock Prices?," Finance 0201003, EconWPA. [Downloadable!]
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  3. Giovanni Cespa, 2003. "A Comparison of Stock Market Mechanisms," CSEF Working Papers 94, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
    Other versions:
  4. J.Ramon Martinez-Resano, 2005. "Size And Heterogeneity Matter. A Microstructure-Based Analysis Of Regulation Of Secondary Markets For Government Bonds," Finance 0508007, EconWPA. [Downloadable!]
  5. Katya Malinova & Andreas Park, 2009. "Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading," Working Papers tecipa-358, University of Toronto, Department of Economics. [Downloadable!]
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This page was last updated on 2009-11-20.


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