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The Impact of Information Diffusion on Comparisons among Various Trading Mechanisms

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  • 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
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