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

Olivier Brandouy () and Pascal Barneto ()
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Pascal Barneto: Université de Limoges

Revue Finance Contrôle Stratégie, 1999, vol. 2, issue 3, pages 87-113

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.

Keywords: bid-ask spreads; auction markets; laboratory information; uncertainty. (search for similar items in EconPapers)
Date: 1999

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Persistent link: http://EconPapers.repec.org/RePEc:dij:revfcs:v:2:y:1999:i:q3:p:87-113

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