We study the determinants of asset market fragmentation in a model with strategic investors that disagree about the value of an asset. Investors’ choices determine the market structure. Fragmented markets are supported in equilibrium when disagreement between investors is low. In this case, investors take the same side of the market and are willing to trade in smaller markets with a higher price impact to face less competition when trading against a dealer. The maximum degree of market fragmentation increases as investors’ priors are more correlated. Dealers can benefit from fragmentation, but investors are always better off in centralized markets.

我们在一个模型中研究资产市场碎片化的决定因素，其中战略投资者对资产价值持不同意见。投资者的选择决定了市场结构。当投资者之间的分歧较低时，支离破碎的市场在均衡中得到支持。在这种情况下，投资者站在市场的同一边，愿意在价格影响较大的较小市场进行交易，以在与交易商交易时面临较少的竞争。随着投资者的先验信息更加相关，市场分裂的最大程度会增加。交易商可以从分散中受益，但投资者在中心化市场中的处境总是更好。