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Continuous Versus Intermittent Trading on Auction Markets

Published online by Cambridge University Press:  06 April 2009

Seymour Smidt
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Extract

The first hypothesis underlying this study is that successive transactions exhibit systematic patterns. These patterns will be studied to better understand (1) the processes by which transactions are arranged, (2) the costs of transacting, and (3) the statistical characteristics of the reported transactions prices and their relationship to the market equilibrium. This study will not directly consider market efficiency, though its results may eventually lead to more searching and meaningful studies of market efficiency.

Information

Type
IV. Empirical Studies Relating to the Structure of Securities Markets
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 4 , November 1979 , pp. 837 - 866
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

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