The Impact of Information Diffusion on Comparisons among Various Trading Mechanisms |
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| Authors: | Yu-jane Liu Victor Liu Chin-shun Wu |
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| Institution: | (1) Department of Finance, National Chung Cheng University, 160, San-Hsing, Chia-Yi, Taiwan, Republic of China;(2) National Sun Yat-Sen University, Taiwan, R.O.C;(3) Department of Business Administration, National Sun Yat-Sen University, Taiwan, R.O.C |
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| Abstract: | The information environment and investor order strategy are both important determinants when comparing the market performance of trading mechanisms. However, less is known about what happens when trading mechanisms are compared. In this paper, we link the information environment, trading mechanisms, investor order strategy and market performance to form a model of the securities market. The primary goal of this study is to examine the impact of various call markets in an agency market on liquidity, price volatility and market efficiency under various information regimes. The results indicate that an optimal transaction frequency appears at the trade-off of liquidity, volatility and market efficiency. |
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| Keywords: | call markets continuous markets transaction frequency |
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