Ambiguity about Informed Trading in Dealer Markets - An Experiment
نویسندگان
چکیده
We use an economic experiment to examine the impact of an ambiguous level of asymmetric information on the behavior of security dealers. Specifically, we distinguish three types of uncertainty with respect to informed trading: risk, compound risk, and ambiguity; for both a monopoly and a duopoly market setting. We find that dealer’s bidding behavior is less aggressive under an ambiguous level of informed trading than a risky level of informed trading. Additionally, we find that the stochastic nature of choice can hinder our ability to observe a difference in dealer behavior between the risky versus ambiguous level of asymmetric information in dealer markets. JEL Classification Codes: G24, D82, D40
منابع مشابه
Uncertainty about Informed Trading in Dealer Markets - An Experiment∗
We use an economic experiment to examine the impact of an uncertain level of asymmetric information on the behavior of security dealers. Specifically, we distinguish three types of uncertainty with respect to informed trading risk, compound risk, and ambiguity for both a monopoly and a duopoly market setting. We find that dealers’ bidding behavior is less aggressive under ambiguity and compound...
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