市场力量、模糊性和市场参与

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-01-01 DOI:10.1016/j.finmar.2022.100761

Zhigang Qiu , Yanyi Wang , Shunming Zhang

{"title":"市场力量、模糊性和市场参与","authors":"Zhigang Qiu , Yanyi Wang , Shunming Zhang","doi":"10.1016/j.finmar.2022.100761","DOIUrl":null,"url":null,"abstract":"<div><p>We investigate how market power or price impact of market makers affects the participation decisions of investors with ambiguity aversion. Limited participation exists because some investors are ambiguous about the asset fundamental, but the market power of market makers mitigates limited participation. As a result, when market makers become less competitive, the non-participation range decreases, while return volatility increases; thus, market makers and ambiguity-averse investors are better off, but investors with liquidity needs are worse off. However, the non-participation range and uninformed investors’ welfare can increase or decrease when information is more asymmetric, depending on the importance of liquidity demand.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"62 ","pages":"Article 100761"},"PeriodicalIF":2.1000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Market power, ambiguity, and market participation\",\"authors\":\"Zhigang Qiu , Yanyi Wang , Shunming Zhang\",\"doi\":\"10.1016/j.finmar.2022.100761\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We investigate how market power or price impact of market makers affects the participation decisions of investors with ambiguity aversion. Limited participation exists because some investors are ambiguous about the asset fundamental, but the market power of market makers mitigates limited participation. As a result, when market makers become less competitive, the non-participation range decreases, while return volatility increases; thus, market makers and ambiguity-averse investors are better off, but investors with liquidity needs are worse off. However, the non-participation range and uninformed investors’ welfare can increase or decrease when information is more asymmetric, depending on the importance of liquidity demand.</p></div>\",\"PeriodicalId\":47899,\"journal\":{\"name\":\"Journal of Financial Markets\",\"volume\":\"62 \",\"pages\":\"Article 100761\"},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1386418122000520\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1386418122000520","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们研究做市商的市场力量或价格影响如何影响歧义厌恶投资者的参与决策。有限的参与是存在的，因为一些投资者对资产基本面模棱两可，但做市商的市场力量减轻了有限的参与。因此，当做市商竞争力减弱时，不参与范围减小，收益波动性增大;因此，做市商和厌恶模糊性的投资者的情况会更好，但需要流动性的投资者的情况会更糟。然而，当信息不对称程度越高时，不参与范围和不知情投资者的福利会增加或减少，这取决于流动性需求的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Market power, ambiguity, and market participation

We investigate how market power or price impact of market makers affects the participation decisions of investors with ambiguity aversion. Limited participation exists because some investors are ambiguous about the asset fundamental, but the market power of market makers mitigates limited participation. As a result, when market makers become less competitive, the non-participation range decreases, while return volatility increases; thus, market makers and ambiguity-averse investors are better off, but investors with liquidity needs are worse off. However, the non-participation range and uninformed investors’ welfare can increase or decrease when information is more asymmetric, depending on the importance of liquidity demand.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.