Trading behavior and profits in experimental asset markets with asymmetric information

被引：9

作者：

Stockl, Thomas ^{[1
]}

Kirchler, Michael ^{[1
,2
]}

机构：

[1] Univ Innsbruck, Dept Banking & Finance, Univ Str 15, A-6020 Innsbruck, Austria

[2] Univ Gothenburg, Ctr Finance, Dept Econ, S-40530 Gothenburg, Sweden

来源：

JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE | 2014年 / 2卷

关键词：

Asymmetric information; Liquidity; Trading behavior; Limit order markets; Experimental finance;

D O I：

10.1016/j.jbef.2014.03.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study trading behavior and its profitability in experimental asset markets with asymmetrically informed traders. We find that insiders make most of their profits from trades which are initiated by their limit orders. The average informed lose most with market orders and their losses are highest when they pick up insiders' limit orders. Uninformed traders act as liquidity providers. They place the highest number of limit orders and end up with the market return. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：18 / 30

页数：13

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