Impact of Information Disclosure on Prices, Volume, and Market Volatility: An Experimental Approach

Yang Zhang, Hong Zhang and Michael Seiler ()

Journal of Behavioral Finance, 2015, vol. 16, issue 1, 12-19

Abstract: This study integrates experimental design with econometric techniques to examine the impact of information disclosure on trading prices, trading volume, and market volatility. Using a double auction model, we find that as information disclosure increases, trading prices and trading volume remain the same. However, the volatility in the marketplace is significantly reduced. This overall market efficiency gain is robust to a number of different efficiency metrics.

Date: 2015
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DOI: 10.1080/15427560.2015.1000333

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