Year: 2006
Type: book
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.
Author: Ke Peng
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2599515804