We study an electronic over-the-counter (OTC) market, in which each agent looks for the best counterpart through bilateral negotiations. We compare its performance with the standard electronic double-auction (DA) market, in which traders post their quotes publicly. We show that the lack of information in the OTC market induces an efficiency loss, characterized by an average closing price below the competitive price and by a traded quantity below the competitive quantity. We further test the robustness of these findings when exogenous shocks modify the competitive equilibrium. Among other things, we show that supply shocks increasing the competitive quantity improve OTC’s efficiency.

Over-the-counter markets vs. double auctions. A comparative experimental study / Attanasi, Giuseppe; Centorrino, Samuele; Moscati, Ivan. - In: JOURNAL OF BEHAVIORAL AND EXPERIMENTAL ECONOMICS. - ISSN 2214-8043. - 63:(2016), pp. 22-35. [10.1016/j.socec.2016.03.003]

Over-the-counter markets vs. double auctions. A comparative experimental study

Giuseppe Attanasi
;
2016

Abstract

We study an electronic over-the-counter (OTC) market, in which each agent looks for the best counterpart through bilateral negotiations. We compare its performance with the standard electronic double-auction (DA) market, in which traders post their quotes publicly. We show that the lack of information in the OTC market induces an efficiency loss, characterized by an average closing price below the competitive price and by a traded quantity below the competitive quantity. We further test the robustness of these findings when exogenous shocks modify the competitive equilibrium. Among other things, we show that supply shocks increasing the competitive quantity improve OTC’s efficiency.
2016
market experiments; over-the-counter market; double auction; private vs. public information; efficiency
01 Pubblicazione su rivista::01a Articolo in rivista
Over-the-counter markets vs. double auctions. A comparative experimental study / Attanasi, Giuseppe; Centorrino, Samuele; Moscati, Ivan. - In: JOURNAL OF BEHAVIORAL AND EXPERIMENTAL ECONOMICS. - ISSN 2214-8043. - 63:(2016), pp. 22-35. [10.1016/j.socec.2016.03.003]
File allegati a questo prodotto
File Dimensione Formato  
Attanasi_Over_ 2016.pdf

solo gestori archivio

Tipologia: Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza: Tutti i diritti riservati (All rights reserved)
Dimensione 736.08 kB
Formato Adobe PDF
736.08 kB Adobe PDF   Contatta l'autore

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1622240
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 8
  • ???jsp.display-item.citation.isi??? 8
social impact