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| Author: | Theissen, E. |
| Title: | Market structure, informational efficiency and liquidity: an experimental comparison of auction and dealer markets |
| Journal: | Journal of Financial Markets
2000 : NOV, VOL. 3:4, p. 333-364 |
| Index terms: | MARKET STRUCTURE INFORMATION LIQUIDITY |
| Language: | eng |
| Abstract: | The author reports the results of 18 market experiments that were conducted in order to compare the call market, the continuous auction and the dealer market. Transaction prices in the call and continuous auction markets are much more efficient than prices in the dealer markets. The call market shows a tendency towards underreaction to new information. Execution costs are lowest in the call market and highest in the dealer market. |
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