Walrasian tatonnement auctions on the Tokyo Grain Exchange

• 成果类型: Article
• 署名作者: Eaves, James; Williams, Jeffrey
• 署名单位: University of California System; University of California Davis; Rutgers University System; Rutgers University New Brunswick
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/revfin/hhm001
• 发表日期: 2007
• 页码: 1183
• 关键词: Price discovery; trading mechanisms; empirical-analysis; market liquidity; stock-exchange; INFORMATION; BEHAVIOR; futures; call; revelation

摘要

The Tokyo Grain Exchange (TGE)'s itayose mechanism provides the opportunity to analyze functioning Walrasian tatonnement auctions (WTA). In 15,677 auctions conducted over 1997-1998 for corn and redbean futures contracts, price formation is unexpectedly similar to that observed in continuous double auctions. Provisional prices and pledges are informative. In contrast to behavior observed in experiments, few pledges are deceptive, because the traders participate repeatedly and because the auctioneer has flexibility when changing the provisional price and ending the auction. Both the risk of the auction ending and the more equitable dispersion of information increase depth and the speed at which information is embodied in price.