IDEAS home Printed from https://ideas.repec.org/a/dij/revfcs/v2y1999iq3p87-113.html
   My bibliography  Save this article

Incertitude et fourchettes de prix sur un marché d'enchères:les apports du laboratoire

Author

Listed:
  • Olivier Brandouy
  • Pascal Barneto

    (Université de Limoges)

Abstract

We study the bid-ask spreads observed in an experimental auction market. Three results are presented. First, the trading mechanism, which can destroy order books, should modify the measure of the spreads. Second, bid-ask spreads are reliable to the nature of the environment and to the type of information received by the traders. An adverse-selection mechanism should explain the volatility of the spread. Third, the behaviour of prices and volumes depends on an ambiguous situation on the market.

Suggested Citation

  • Olivier Brandouy & Pascal Barneto, 1999. "Incertitude et fourchettes de prix sur un marché d'enchères:les apports du laboratoire," Revue Finance Contrôle Stratégie, revues.org, vol. 2(3), pages 87-113, September.
  • Handle: RePEc:dij:revfcs:v:2:y:1999:i:q3:p:87-113
    as

    Download full text from publisher

    File URL: https://repec-crego.u-bourgogne.fr/images/stories/rev/023113.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Plott, Charles R & Sunder, Shyam, 1982. "Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models," Journal of Political Economy, University of Chicago Press, vol. 90(4), pages 663-698, August.
    2. Daniel Kahneman & Amos Tversky, 2013. "Prospect Theory: An Analysis of Decision Under Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127, World Scientific Publishing Co. Pte. Ltd..
    3. Madhavan, Ananth, 1996. "Security Prices and Market Transparency," Journal of Financial Intermediation, Elsevier, vol. 5(3), pages 255-283, July.
    4. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    5. Bloomfield, Robert, 1996. "Quotes, Prices, and Estimates in a Laboratory Market," Journal of Finance, American Finance Association, vol. 51(5), pages 1791-1808, December.
    6. Friedman, Daniel & Harrison, Glenn W & Salmon, Jon W, 1984. "The Informational Efficiency of Experimental Asset Markets," Journal of Political Economy, University of Chicago Press, vol. 92(3), pages 349-408, June.
    7. Epstein Larry G. & Wang Tan, 1995. "Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes," Journal of Economic Theory, Elsevier, vol. 67(1), pages 40-82, October.
    8. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    9. Dejong, Douglas V. & Forsythe, Robert & Uecker, Wilfred C., 1988. "A note on the use of businessmen as subjects in sealed offer markets," Journal of Economic Behavior & Organization, Elsevier, vol. 9(1), pages 87-100, January.
    10. Copeland, Thomas E & Friedman, Daniel, 1991. "Partial Revelation of Information in Experimental Asset Markets," Journal of Finance, American Finance Association, vol. 46(1), pages 265-295, March.
    11. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1995. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," European Economic Review, Elsevier, vol. 39(7), pages 1277-1301, August.
    12. Copeland, Thomas E & Friedman, Daniel, 1987. "The Effect of Sequential Information Arrival on Asset Prices: An Experimental Study," Journal of Finance, American Finance Association, vol. 42(3), pages 763-797, July.
    13. Pagano, Marco & Roell, Ailsa, 1996. "Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading," Journal of Finance, American Finance Association, vol. 51(2), pages 579-611, June.
    14. O'Brien, John & Srivastava, Sanjay, 1991. "Dynamic Stock Markets with Multiple Assets: An Experimental Analysis," Journal of Finance, American Finance Association, vol. 46(5), pages 1811-1838, December.
    15. Easley, David, et al, 1996. "Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-1436, September.
    16. Forsythe, Robert & Palfrey, Thomas R & Plott, Charles R, 1982. "Asset Valuation in an Experimental Market," Econometrica, Econometric Society, vol. 50(3), pages 537-567, May.
    17. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    18. de Jong, F.C.J.M. & Nijman, T.E. & Röell, A.A., 1995. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," Other publications TiSEM 909cfa6b-a4be-4b4b-b214-f, Tilburg University, School of Economics and Management.
    19. Albert S. Kyle, 1989. "Informed Speculation with Imperfect Competition," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(3), pages 317-355.
    20. Smith, Vernon L, 1976. "Experimental Economics: Induced Value Theory," American Economic Review, American Economic Association, vol. 66(2), pages 274-279, May.
    21. Bloomfield, R & Libby, R, 1996. "Market reactions to differentially available information in the laboratory," Journal of Accounting Research, Wiley Blackwell, vol. 34(2), pages 183-207.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Martin Barner & Francesco Feri & Charles R. Plott, 2005. "On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market," Annals of Finance, Springer, vol. 1(1), pages 73-107, January.
    2. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
    3. Corgnet, Brice & DeSantis, Mark & Porter, David, 2020. "The distribution of information and the price efficiency of markets," Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
    4. Coller, Maribeth & Tuttle, Brad, 2002. "The acquisition of price-relevant domain knowledge by a market," Journal of Economic Psychology, Elsevier, vol. 23(1), pages 77-101, February.
    5. Carl Plat, 2005. "A Double Auction Market with Signals of Varying Precision," Experimental 0508004, University Library of Munich, Germany.
    6. Theissen, Erik, 2000. "Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets," Journal of Financial Markets, Elsevier, vol. 3(4), pages 333-363, November.
    7. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    8. Jason Shachat & Anand Srinivasan, 2022. "Informational Price Cascades and Non-Aggregation of Asymmetric Information in Experimental Asset Markets," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(4), pages 388-407, November.
    9. Salandro, Daniel & Peterson, Steven, 1996. "An examination of the issue of form versus substance in an experimental asset market: A pilot study," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 1-18.
    10. Hidetoshi Yamaji & Masatoshi Gotoh & Yoshinori Yamakawa, 2016. "Additional Information Increases Uncertainty in the Securities Market: Using both Laboratory and fMRI Experiments," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 425-451, October.
    11. Eric M. Aldrich & Kristian López Vargas, 2020. "Experiments in high-frequency trading: comparing two market institutions," Experimental Economics, Springer;Economic Science Association, vol. 23(2), pages 322-352, June.
    12. Charles N. Noussair & Steven Tucker, 2013. "Experimental Research On Asset Pricing," Journal of Economic Surveys, Wiley Blackwell, vol. 27(3), pages 554-569, July.
    13. Libby, Robert & Bloomfield, Robert & Nelson, Mark W., 2002. "Experimental research in financial accounting," Accounting, Organizations and Society, Elsevier, vol. 27(8), pages 775-810, November.
    14. James R. Marsden & Y. Alex Tung, 1999. "The Use of Information System Technology to Develop Tests on Insider Trading and Asymmetric Information," Management Science, INFORMS, vol. 45(8), pages 1025-1040, August.
    15. Nuzzo, Simone & Morone, Andrea, 2017. "Asset markets in the lab: A literature review," Journal of Behavioral and Experimental Finance, Elsevier, vol. 13(C), pages 42-50.
    16. Christoph Huber & Christian König-Kersting & Matteo M. Marini, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck, revised Jun 2024.
    17. Lawrence Choo & Todd R. Kaplan & Ro’i Zultan, 2019. "Information aggregation in Arrow–Debreu markets: an experiment," Experimental Economics, Springer;Economic Science Association, vol. 22(3), pages 625-652, September.
    18. repec:dau:papers:123456789/295 is not listed on IDEAS
    19. Corgnet, Brice & DeSantis, Mark & Porter, David, 2021. "Information aggregation and the cognitive make-up of market participants," European Economic Review, Elsevier, vol. 133(C).
    20. Lunawat, Radhika, 2021. "Learning from trading activity in laboratory security markets with higher-order uncertainty," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 90(C).
    21. Edward Halim & Yohanes E. Riyanto & Nilanjan Roy, 2019. "Costly Information Acquisition, Social Networks, and Asset Prices: Experimental Evidence," Journal of Finance, American Finance Association, vol. 74(4), pages 1975-2010, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dij:revfcs:v:2:y:1999:i:q3:p:87-113. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Informatique Technique MSH Dijon (email available below). General contact details of provider: http://www.revues.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.