scholarly journals EWA Learning in Bilateral Call Markets

2002 ◽  
pp. 255-284 ◽  
Author(s):  
Colin F. Camerer ◽  
David Hsia ◽  
Teck-Hua Ho
Keyword(s):  
Call Markets

Informationsaggregation, Insiderhandel und Liquidität in experimentellen Call Markets

2000 ◽  
Vol 12 (6) ◽  
Author(s):  
Klaus Heitmann ◽  
Volker Läger ◽  
Andreas Oehler
Keyword(s):  
Call Markets

Gegenstand dieser Untersuchung ist die Liquidität und die Aggregation von Informationen mit und ohne Insiderhandel in 13 experimentellen Aktienmärkten mit 161 Probanden. Im Unterschied zu den meisten Finanzmarktexperimenten wird die Realitätsnähe dadurch erzeugt, daß langlaufende Wertpapiere modelliert werden und alle Marktakteure in einen mehrperiodigen Entscheidungsprozeß eingebunden sind. Die Verfasser kommen zu dem Ergebnis, daß Insiderhandel die Informationseffizienz eines Marktes nicht statistisch signifikant verbessert, die Liquidität jedoch deutlich negativ beeinflußt. Interessant erscheint in diesem Kontext, daß „dem Markt" zur Abwehr gegen Insider eine Spannenausweitung gelingt. Nach ersten Analysen auf individueller Ebene ist dies auf eine Gruppe von Marktteilnehmern zurückzuführen, die sich wie Marke tmaker verhalten

A Study on Foreign Banks‘ Short Borrowings and Volatilities of Stock Markets & FX Markets in Korea: Focus on aTe Derivatives

2015 ◽  
Vol 23 (1) ◽  
pp. 125-153
Author(s):  
Young Sook Suh
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Historical Data ◽  
Liquidity Risk ◽  
Foreign Banks ◽  
Short Term ◽  
Call Markets ◽  
Otc Derivatives ◽  
Funding Sources

This study examines how FX OTC derivatives transactions of foreign banks’ branches funded by short term borrowings affect the volatility of stock markets and FX markets in Korea based on historical data. It founds that they use call money for FX-derivatives trading, rather than borrowings from their Head Quarter. This result also proves that their derivatives trading is funded by call market increasing stock markets’ volatility in Korea, even if foreign banks’ branches have been using various funding sources. Also the role of foreign banks’ branches as FX money supplier for the korean local banks effects to stock markets by increasing the volatility via call markets. On the other hands, derivatives liabilities of foreign banks’ branches tend to increase volatility of the korean stock markets, but their derivatives assets tend to decrease the volatility. This result together with O/N dollar call volatility should be regarded as a kind of liquidity risk because they could give serious impacts to Korean financial markets if shocks break out. When considering the main revenue source of foreign banks’ branches, derivatives trading creates much higher leverage effects to them than korean local banks, and their roles in financial and capital markets of Korea this study provides with a reason that regulators should give complex and multilateral attentions to foreign banks’ branches.

Performance of various transaction frequencies under call markets: The case of Taiwan

1999 ◽  
Vol 7 (1) ◽  
pp. 23-39 ◽  
Author(s):  
Larry H.P. Lang ◽  
Yi Tsung Lee
Keyword(s):  
Call Markets

The effects of nonstationarities on performance in call markets

1997 ◽  
Vol 32 (1) ◽  
pp. 39-54 ◽  
Author(s):  
Douglas D. Davis ◽  
Arlington W. Williams
Keyword(s):  
Call Markets

Price Formation in Single Call Markets

Econometrica ◽  
1997 ◽  
Vol 65 (2) ◽  
pp. 311 ◽  
Author(s):  
Timothy N. Cason ◽  
Daniel Friedman
Keyword(s):  
Price Formation ◽  
Call Markets

scholarly journals Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments

2017 ◽  
Vol 9 (4) ◽  
pp. 1-41 ◽  
Author(s):  
Charles R. Plott ◽  
Kirill Pogorelskiy
Keyword(s):  
Price Discovery ◽  
Competitive Equilibrium ◽  
Market Price ◽  
Price Formation ◽  
Order Book ◽  
Call Markets ◽  
Multiple Unit ◽  
Market Experiments ◽  
Raphson Method ◽  
Call Market

We study multiple-unit, laboratory experimental call markets in which orders are cleared by a single price at a scheduled “call.” The markets are independent trading “days” with two calls each day preceded by a continuous and public order flow. Markets approach the competitive equilibrium over time. The price formation dynamics operate through the flow of bids and asks configured as the “jaws” of the order book with contract execution featuring elements of an underlying mathematical principle, the Newton-Raphson method for solving systems of equations. Both excess demand and its slope play a systematic role in call market price discovery. (JEL C92, D41, D44, G14)

Price bubbles and crashes in experimental call markets

1993 ◽  
Vol 41 (2) ◽  
pp. 179-185 ◽  
Author(s):  
Mark V. Van Boening ◽  
Arlington W. Williams ◽  
Shawn LaMaster
Keyword(s):  
Price Bubbles ◽  
Call Markets
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