Does liquidity information matter? A view from fixed income dealers
Does liquidity information matter? A view from fixed income dealers
Both the inventory theory and the asymmetric information theory assume that dealers possess no information advantage compared to other market participants. However, dealers can observe market liquidity from more aspects than any other participants do, and therefore have better information on market liquidity. Does this liquidity information advantage lead to profit? Using a detailed 3-month transaction data from London Stock Exchange, I examined dealer’s information advantage by analyzing dealers’ trading revenue and the components. The results strongly support that liquidity information does matter to dealers.
Bradford University School of Management
Peng, K.
193b3804-dd33-4d08-a06a-d5c5f5bf0529
June 2006
Peng, K.
193b3804-dd33-4d08-a06a-d5c5f5bf0529
Peng, K.
(2006)
Does liquidity information matter? A view from fixed income dealers
(Bradford University School of Management Working Paper Series, 06/03)
Bradford, GB.
Bradford University School of Management
Record type:
Monograph
(Working Paper)
Abstract
Both the inventory theory and the asymmetric information theory assume that dealers possess no information advantage compared to other market participants. However, dealers can observe market liquidity from more aspects than any other participants do, and therefore have better information on market liquidity. Does this liquidity information advantage lead to profit? Using a detailed 3-month transaction data from London Stock Exchange, I examined dealer’s information advantage by analyzing dealers’ trading revenue and the components. The results strongly support that liquidity information does matter to dealers.
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Published date: June 2006
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Local EPrints ID: 80479
URI: http://eprints.soton.ac.uk/id/eprint/80479
PURE UUID: 174913ba-69a6-4237-b9d5-2eb11db0a526
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Date deposited: 24 Mar 2010
Last modified: 10 Dec 2021 17:38
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Author:
K. Peng
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