A laboratory stress-test of bid, double and offer auctions
AbstractThis paper reports on the empirical properties of the bid auction (buyers propose prices), offer auction (sellers suggest prices) and double auction (both buyers and seller initiate price quotes). These trading institutions are stress-tested using a nonstationary monopolistic market environment in which the buyers' demand schedule and the single seller's supply curve shift unpredictably between trading periods. The principal result is threefold. First, double-auction prices tend to be greater than offer-auction prices which again tend to be greater than bid-auction prices. Second, the listed ranking reflects tendencies only. The laboratory data do not support statistically significant behavioral differences between the three auctions. Third, trading is highly efficient regardless of auction type.
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Bibliographic InfoPaper provided by Research Department of Statistics Norway in its series Discussion Papers with number 327.
Date of creation: Aug 2002
Date of revision:
Sequential auctions; experimental economics.;
Find related papers by JEL classification:
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- C90 - Mathematical and Quantitative Methods - - Design of Experiments - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-06-04 (All new papers)
- NEP-EXP-2003-06-04 (Experimental Economics)
- NEP-FIN-2003-06-04 (Finance)
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