IDEAS home Printed from https://ideas.repec.org/a/kap/rqfnac/v9y1997i3p301-26.html
   My bibliography  Save this article

The Impact of Information Diffusion on Comparisons among Various Trading Mechanisms

Author

Listed:
  • Liu, Yu-Jane
  • Liu, Victor W
  • Wu, Chin-Shun

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. Copyright 1997 by Kluwer Academic Publishers

Suggested Citation

  • Liu, Yu-Jane & Liu, Victor W & Wu, Chin-Shun, 1997. "The Impact of Information Diffusion on Comparisons among Various Trading Mechanisms," Review of Quantitative Finance and Accounting, Springer, vol. 9(3), pages 301-326, October.
    • Handle: RePEc:kap:rqfnac:v:9:y:1997:i:3:p:301-26
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/0924-865X/contents
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:rqfnac:v:9:y:1997:i:3:p:301-26. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.