Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/30072 
Year of Publication: 
2010
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [ISSN:] 1864-6042 [Volume:] 4 [Issue:] 2010-7 [Publisher:] Kiel Institute for the World Economy (IfW) [Place:] Kiel [Year:] 2010 [Pages:] 1-26
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
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: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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