IDEAS home Printed from https://ideas.repec.org/a/ucp/jnlbus/v78y2005i5p1625-1658.html
   My bibliography  Save this article

Price Manipulation in Parallel Markets with Different Transparency

Author

Listed:
  • F. Drudi

    (European Central Bank and INSEAD)

Abstract

We provide a unique test of trading behavior under asymmetric information with parallel markets characterized by different degrees of transparency for the same asset. We consider the Treasury bond market and show that the informed dealers simultaneously place bids in the primary market and sell in the secondary market, repurchasing when the primary market closes. Price manipulation increases market depth in the more transparent market when the more opaque market is open. This supports the experimental findings of Bloomfield and O'Hara and shows how the existence of less transparent markets may increase the liquidity of the more transparent ones.

Suggested Citation

  • F. Drudi, 2005. "Price Manipulation in Parallel Markets with Different Transparency," The Journal of Business, University of Chicago Press, vol. 78(5), pages 1625-1658, September.
    • Handle: RePEc:ucp:jnlbus:v:78:y:2005:i:5:p:1625-1658
    DOI: 10.1086/431437
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1086/431437
    File Function: main text
    Download Restriction: Access to the online full text or PDF requires a subscription.
    File URL: https://libkey.io/10.1086/431437?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Angeles de Frutos, M. & Manzano, Carolina, 2005. "Trade disclosure and price dispersion," Journal of Financial Markets, Elsevier, vol. 8(2), pages 183-216, May.
    2. Paiardini, Paola, 2015. "Informed trading in parallel bond markets," Journal of Financial Markets, Elsevier, vol. 26(C), pages 103-121.
    3. Massimo Massa & Andrei Simonov, 2009. "Experimentation in Financial Markets," Management Science, INFORMS, vol. 55(8), pages 1377-1390, August.
    4. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    5. Francisco Alvarez & Cristina Mazon, 2019. "Overpricing in Spanish Treasury Auctions," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 199-220, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucp:jnlbus:v:78:y:2005:i:5:p:1625-1658. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Journals Division (email available below). General contact details of provider: https://www.jstor.org/journal/jbusiness .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.