Do traders strategically time their pledges during real-world Walrasian auctions?

James Eaves, Jeffrey Williams and Gabriel Power

Journal of Banking & Finance, 2016, vol. 71, issue C, 109-118

Abstract: Experimental research suggests the Walrasian tâtonnement auction encourages traders to under-reveal preferences, even encouraging initial pledges contrary to true desires, because pledges are not binding. We analyze the timing and characteristics of individual pledges and trades during 9604 auctions for redbeans conducted by the Tokyo Grain Exchange. We find no evidence of contrarian pledging and little evidence of under-revelation – as many traders over-reveal as under-reveal. Most traders pledge seriously from the beginning. Despite the considerable heterogeneity in pledging behavior across individual traders, these differences appear to have no relationship with traders’ profits, nor do they appear to affect the achievement of equilibrium.

Keywords: Auction; Strategic bidding; Market microstructure; Tâtonnement; Tokyo Grain Exchange (search for similar items in EconPapers)
JEL-codes: D44 D53 G13 G14 Q13 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:71:y:2016:i:c:p:109-118

DOI: 10.1016/j.jbankfin.2016.04.018

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