A Pilot Exploration of Random Period Duration in Experimental Financial Markets: A Treatment Variable?
✍ Scribed by Darren Duxbury
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 337 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0143-6570
No coin nor oath required. For personal study only.
✦ Synopsis
This exploratory paper reports a pilot study of the impact of random period duration on the trading behaviour observed in experimental ®nancial markets. Results reported in earlier experimental studies, many of which report a ¯urry of trade just prior to the end of a trading period, may have been in¯uenced by knowledge of trading period duration. These exploratory ®ndings suggest that the introduction of random period duration results in an increased volume of trade early in a period, which may then impinge upon the informational ef®ciency of the asset markets. These ®ndings necessitate that future re®nements to theoretical models of bid, ask and transaction price behaviour in double auctions explicitly address the in¯uence of known period duration. However, no signi®cant difference between the two markets is found with respect to allocational ef®ciency.