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Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles >
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http://hdl.handle.net/10419/30072
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| Title: | | Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models  |
| Authors: | | Hermsen, Oliver Witte, Björn-Christopher Westerhoff, Frank |
| Issue Date: | | 2010 |
| Citation: | | [Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 4 [Issue:] 2010-7 [Pages:] 1-26 [DOI/URN:] doi:10.5018/economics-ejournal.ja.2010-7 |
| Series/Report no.: | | Economics 2010-7 |
| Abstract: | | We explore how disclosure requirements that regulate the release of new information may affect the dynamics of financial markets. Our analysis is based on three agent-based financial market models that are able to produce realistic financial market dynamics. We discover that the average deviation between market prices and fundamental values increases if new information is released with a delay, while the average price volatility is virtually unaffected by such regulations. Interestingly, the tails of the distribution of returns become fatter if fundamental data is released less continuously, indicating an increase in financial market risk. |
| Subjects: | | Agent-based financial market models market efficiency release of new information disclosure requirements regulation of financial markets Monte Carlo analysis |
| JEL: | | G14 G18 |
| Persistent Identifier of the first edition: | | doi:10.5018/economics-ejournal.ja.2010-7 |
| URL of the first edition: | | http://www.economics-ejournal.org/economics/journalarticles/2010-7 |
| Appears in Collections: | | Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles
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