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The Impact of Information Diffusion on Comparisons among Various Trading Mechanisms


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


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

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    References listed on IDEAS

    1. Dechow, Patricia M. & Sloan, Richard G., 1991. "Executive incentives and the horizon problem : An empirical investigation," Journal of Accounting and Economics, Elsevier, vol. 14(1), pages 51-89, March.
    2. Paul Hribar, 2002. "Errors in Estimating Accruals: Implications for Empirical Research," Journal of Accounting Research, Wiley Blackwell, vol. 40(1), pages 105-134, March.
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    4. Thomas, Jacob & Zhang, Xiao-jun, 2000. "Identifying unexpected accruals: a comparison of current approaches," Journal of Accounting and Public Policy, Elsevier, vol. 19(4-5), pages 347-376.
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    6. Subramanyam, K. R., 1996. "The pricing of discretionary accruals," Journal of Accounting and Economics, Elsevier, vol. 22(1-3), pages 249-281, October.
    7. Beneish, Messod D., 1997. "Detecting GAAP violation: implications for assessing earnings management among firms with extreme financial performance," Journal of Accounting and Public Policy, Elsevier, vol. 16(3), pages 271-309.
    8. Dechow, Patricia M., 1994. "Accounting earnings and cash flows as measures of firm performance : The role of accounting accruals," Journal of Accounting and Economics, Elsevier, vol. 18(1), pages 3-42, July.
    9. Healy, Paul M., 1985. "The effect of bonus schemes on accounting decisions," Journal of Accounting and Economics, Elsevier, vol. 7(1-3), pages 85-107, April.
    10. Guay, W. & Kothari, S.P. & Watts, R.L., 1996. "A Market-Based Evaluation of Discretionary-Accrual Models," Papers 96-01, Rochester, Business - Financial Research and Policy Studies.
    11. Nelson, Karen K. & Barth, Mary E. & Cram, Donald, 2001. "Accruals and the Prediction of Future Cash Flows," Research Papers 1594r, Stanford University, Graduate School of Business.
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