Zusammenfassung
This paper is the first experimental study on Dynamic Market Models (DMM). A DMM is a multiplatform market structure that enables an investor to specify — individually and for each transaction separately — the desired market model within one marketplace. Following the requirements of investors, the prototype of a multiplatform market model is designed and implemented: The VTR (Virtual Trading Room) system allows traders to simultaneously trade stocks via an open orderbook and a bilateral negotiation. The prototype is then used to perform experiments in order to investigate two issues: First, the general acceptance of DMM is questioned. Second, the case of asymmetrically informed participants using innovative market mechanisms is studied. Using the cover story of an experiment previously performed by Lamoureux and Schnitzlein (LS, [LaSc97]), the obtained results from the multiplatform market are compared to a pure “orderbook-market” and to the LS data. The results show that the suggested innovative price discovery mechanisms play a minor role — presumably due to high overall market liquidity. However, liquidity traders sooner accomplish their goals when DMM are introduced. On the other hand, the frequency of informed/uninformed trades increases when the multiplatform structure is employed.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Back, Kerry: Insider Trading in Continuous Time. In: Review of Financial Studies 5 (1992) 3, pp. 387–409.
Bagehot, Walter: The Only Game in Town. In: Financial Analysts Journal 27 (1971) 2 (March-April), pp. 12–14, 22.
Budimir, Miroslav: NYSE startet elektronischen Handel. In: Die Bank (2001) 1 (Januar), S. 25–29.
Budimir, Miroslav; Gomber, Peter: Dynamische Marktmodelle im elektronischen Wertpapierhandel. In: Scheer, August-Wilhelm, Niittgens, Markus (eds.): Electronic Business Engineering: Vierte Internationale Tagung Wirtschaftsinformatik 1999. Heidelberg, Physica 1999, S. 251–269. Also in: Wirtschaftsinformatik, 41 (1999) 3, pp. 218–225.
Budimir, Miroslav; Holtmann, Carsten; Neumann, Dirk G.: The Design of a Best Execution Market. Discussion Paper of the Chair of Information Systems at Giessen University (2000) 5. Forthcoming in: 23rd SUERF Colloquium on “Technology and Finance - Challenges for Financial Markets, Business Strategies and Policy Makers (Commission 2: Technology and Financial Markets)” from 25–27th October 2001 in Brussels, Belgium.
Copeland, Thomas E.; Galai, Dan: Information Effects on the Bid-Ask Spread. In: Journal of Finance 38 (1983) 5 (December), pp. 1457–1469.
Cohen, Kalman J.; Maier, Steven F.; Schwartz, Robert A.; Whitcomb, David K.: The Microstructure of Securities Markets. Prentice-Hall, Englewood Cliffs, New Jersey 1986.
Domowitz, Ian: Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications. In: Journal of Financial Services Research 6 (1992) 4 (January 1993), pp. 305–326.
Dornau, Robert: Alternative Handelssysteme in den USA und in Europa: Entste- hung, Regulierung und Marktpotenzial. Working Paper published by Deutsche Borse AG, Market Policy. December 1999.
eBay: Company Overview, http://pages.ebay.com/community/ aboutebay/over- view/, called 2001–03–07.
Enegotiations: Enegotiations. http://enegotiations.wu-wien.ac.at/, called 2001–03- 07.
Garman, Mark B.: Market Microstructure. In: Journal of Financial Economics 3 (1976), pp. 257–275.
Glosten, Lawrence R.; Milgrom, Paul.: Bid, Ask and Transaction Prices in a Specialists Market with Heterogeneously Informed Traders. In: Journal of Financial Economics 14 (1985), pp. 71–100.
Gomber, Peter: Elektronische Handelssysteme: Innovative Konzepte und Technologien im Wertpapierhandel. Physica, Heidelberg 2000.
Handelsblatt: Junge Computerborsen iiben Druck aus: Elektronische Networks zwingen die etablierten US-Borsen zur Neustrukturierung. In: Handelsblatt (2000) 19, 27. Januar, S. 46.
Kyle, Albert S.: Continuous Auctions and Insider Trading. In: Econometrica 53 (1985) 6 (November), pp. 1315–1335.
Lamoureux, Christopher G.; Schnitzlein, Charles R.: When it’s not the Only Game in Town: The Effect of Bilateral Search on the Quality of a Dealer Market. In: The Journal of Finance 52 (1997) 2 (June), pp. 683–712.
Madhavan, Ananth: Market Microstructure: A Survey. In: Journal of Financial Markets 3 (2000), pp. 205–258.
Macey, Jonathan R.; O’Hara, Maureen: The Law and Economics of Best Execution. In: Journal of Financial Intermediation 6 (1997) 3, pp. 188–223.
Nasdaq: Trading Activity. http://www.nasdaq.com/about/about_nasdaq_long.stm#evolution, called 2001–03–07.
NYSE: Market Structure Report of the New York Stock Exchange Special Committee on Market Structure, Governance and Ownership, http://www.nyse.com/pdfs/marketstructure.pdf, 2000–04–06, called 2001–03–07.
’Hara, Maureen: Market Microstructure Theory. Blackwell Publishers, Maiden, MA (USA) and Oxford (UK) 1995.
Roth, Alvin E.: Bargaining Experiments. In: Kagel, John H. and Roth, Alvin E. (eds.): The Handbook of Experimental Economics. Princeton University Press, Princeton (New Jersey) 1995, pp. 253–348.
Sales, Robert: The Quest to Kill 390. In: Wall Street and Technology (1999, De¬cember), pp. 36D44.
SEC: Securities and Exchange Commission’s Second Report on Bank Securities Activities, at 97–98, n. 233 as reprinted in H. R. Rep. No. 145, 95 Cong., 1st Sess. 233 (Comm. Print 1977).
Smidt, Seymour: Which Road to an Efficient Stock Market: Free Competition or Regulated Monopoly? In: Financial Analysts Journal 27 (1971) 5 (September-October), pp. 18–20; 64–69.
Sun: Java™ Standard Edition Platform Documentation. http://java.sun.com/docs, called 2001–03–07.
Sun: Java™ Technology and XML: Portable Code, Portable Data. http://java.sun.com/xml, called 2001–03–07.
Sunder, Shyam: Experimental Asset Markets: A Survey. In: Kagel, John H. and Roth, Alvin E. (eds.): The Handbook of Experimental Economics. Princeton University Press, Princeton (New Jersey) 1995, pp. 445–500.
Wagner, Wayne H.; Edwards, Mark: Best Execution. In: Financial Analysts Journal 49 (1993) 1 (January-February), pp. 65–71.
Weber, Bruce W.: Elements of Market Structure for Online Commerce. In: Kemerer, Chris F. (Ed.): Information Technology and Industrial Competitiveness: How IT Shapes Competition. Kluwer Academic Publishers, Boston/Dordrech/London 1998, pp. 15–32.[WeGoOO] Weinhardt, Christof; Gomber, Peter; Holtmann, Carsten: Online-Brokerage, Transforming Markets from Professional to Retail Trading. In: Proceedings of the 8th European Conference on Information Systems (ECIS) vol. 1, Vienna 2000, p. 826.
Weinhardt, Christof; Gomber, Peter; Holtmann, Carsten; Groffmann, Hans-Dieter: Online-Brokerage als Teil des Online-Banking: Phasenintegration als strategische Chance. In: Locarek-Junge, Hermann; Walter, Bernhard (Hrsg.): Banken im Wandel: Direktbanken und Direct Banking, Berlin Verlag 2000, S. 99–120.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2001 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Budimir, M., Holtmann, C. (2001). The Design of Innovative Securities Markets: The Case of Asymmetric Information*. In: Buhl, H.U., Kreyer, N., Steck, W. (eds) e-Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-59504-2_11
Download citation
DOI: https://doi.org/10.1007/978-3-642-59504-2_11
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-64000-1
Online ISBN: 978-3-642-59504-2
eBook Packages: Springer Book Archive