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| Tekijä: | Liu, Y-J. Liu, V. W. Wu, C-S. |
| Otsikko: | The impact of information diffusion on comparisons among various trading mechanisms |
| Lehti: | Review of Quantitative Finance and Accounting
1997 : OCT, VOL. 9:3, p. 301-326 |
| Asiasana: | MARKETS TRADE INFORMATION STRATEGY |
| Kieli: | eng |
| Tiivistelmä: | When comparing the market performance of trading mechanisms, the information environment and investor order strategy are both important determinants. This study links the information environment, trading mechanisms, investor order strategy and market performance to form a model of the securities market. The study examines the impact of various call markets in an agency market on liquidity, price volatility and market efficiency under various information regimes. An optimal transaction frequency appears at the trade-off liquidity, volatility and market efficiency. |
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