The Economic Journal · 2025 · Edward Halim、Yohanes E. Riyanto、Nilanjan Roy、Yan Wang
中文摘要
我们设计了一项实验,以分析金融市场中暗盘交易的后果。暗盘交易影响市场效率的渠道,关键取决于有关基本面的信息如何在投资者之间分布。当信息集中在少数投资者手中时——这可能源于投资者之间联系稀疏或媒体报道较少——暗盘交易主要通过降低资产价格质量来影响市场效率。当信息广泛扩散时,暗盘交易不再损害价格发现,但不可观测的流动性会造成福利损失。暗盘交易并未扩大知情交易者与非知情交易者之间的收益差距。
Abstract
Abstract We design an experiment to analyse the consequences of dark trading in a financial market. The channel through which dark trading affects market efficiency critically depends on how information regarding fundamentals is distributed among investors. When information is concentrated in the hands of a few investors, possibly due to sparse investor connectedness or low media coverage, dark trading primarily impacts market efficiency by deteriorating the quality of asset prices. When information is diffused, dark trading no longer harms price discovery, but the unobserved liquidity entails welfare loss. Dark trading does not widen the earnings gap between informed and uninformed traders.