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Information Revelation in Decentralized Markets
Stockholm University, Faculty of Social Sciences, Stockholm Business School.ORCID iD: 0000-0003-0055-5121
2019 (English)In: Journal of Finance, ISSN 0022-1082, E-ISSN 1540-6261, Vol. 74, no 5, p. 2751-2787Article in journal (Refereed) Published
Abstract [en]

How does information get revealed in decentralized markets? We test several hypotheses inspired by recent dealer-network theory. To do so we construct an empirical map of information revelation where two dealers are connected based on the synchronicity of their quote changes. The tests, based on EUR/CHF quote data including the 2015 crash, largely support theory: Strongly connected (i.e., central) dealers are more informed. Connections are weaker when there is less to be learned. The crash serves to identify how a network forms when dealers are transitioned from no-learning to learning, that is, from a fixed to a floating rate.

Place, publisher, year, edition, pages
2019. Vol. 74, no 5, p. 2751-2787
Keywords [en]
network map, information revelation, information percolation, securities trading, fragmentation
National Category
Business Administration
Research subject
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-165415DOI: 10.1111/jofi.12838ISI: 000483953800001OAI: oai:DiVA.org:su-165415DiVA, id: diva2:1283315
Available from: 2019-01-28 Created: 2019-01-28 Last updated: 2019-12-08Bibliographically approved

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