Correlated-asset trading and disclosure of private information: The handbook of trading: Strategies for navigating and profiting from currency, bond, and stock markets

Producció científica: Capítol de llibreCapítol

Resum

This chapter studies the trading behaviour of informed and uninformed traders in an environment with two correlated assets. In this setup, informed traders receive a signal about the liquidation value of an asset that also conveys information about the other asset. I extend Kyle's (1985) model to a multi-asset market and show that public disclosure of information about one asset affects the trading behaviour and market performance both in the market of this asset and the market of the correlated asset.
Idioma originalAnglès
Títol de la publicacióThe handbook of trading: Strategies for navigating and profiting from currency, bond, and stock markets
Pàgines429-442
Estat de la publicacióPublicada - 1 d’abr. 2010

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