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A Pilot Exploration of Random Period Duration in Experimental Financial Markets: A Treatment Variable?

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  • Darren Duxbury

    (University of Leeds, UK)

Abstract

This exploratory paper reports a pilot study of the impact of random period duration on the trading behaviour observed in experimental financial markets. Results reported in earlier experimental studies, many of which report a flurry of trade just prior to the end of a trading period, may have been influenced by knowledge of trading period duration. These exploratory findings suggest that the introduction of random period duration results in an increased volume of trade early in a period, which may then impinge upon the informational efficiency of the asset markets. These findings necessitate that future refinements to theoretical models of bid, ask and transaction price behaviour in double auctions explicitly address the influence of known period duration. However, no significant difference between the two markets is found with respect to allocational efficiency. © 1997 John Wiley & Sons, Ltd.

Suggested Citation

  • Darren Duxbury, 1997. "A Pilot Exploration of Random Period Duration in Experimental Financial Markets: A Treatment Variable?," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 309-327.
    • Handle: RePEc:wly:mgtdec:v:18:y:1997:i:4:p:309-327
    DOI: 10.1002/(SICI)1099-1468(199706)18:4<309::AID-MDE825>3.0.CO;2-Z
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    Cited by:

    1. Merl, Robert, 2022. "Literature review of experimental asset markets with insiders," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
    2. Robert Merl, 2021. "Literature Review of Experimental Asset Markets with Insiders," Working Paper Series, Social and Economic Sciences 2021-04, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.

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