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Article Dans Une Revue Journal of Behavioral and Experimental Economics Année : 2016

An Experimental Study of an Over-the-Counter Market

Résumé

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.

Dates et versions

hal-01721851 , version 1 (02-03-2018)

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Giuseppe Attanasi, Samuele Centorrino, Ivan Moscati. An Experimental Study of an Over-the-Counter Market. Journal of Behavioral and Experimental Economics, 2016, 63, pp.22-35. ⟨10.1016/j.socec.2016.03.003⟩. ⟨hal-01721851⟩
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