Scandinavian Working Papers in Economics
Memorandum,
Oslo University, Department of Economics
No 05/2002: A laboratory stress-test of bid, double and offer auctions
Morten Søberg ()
Additional contact information
Morten Søberg: Statistics Norway, Postal: Statistics Norway, P.O.B 8131 Dep, N-0033 Oslo
Abstract: This paper reports on the empirical properties of the bid auction (buyers propose prices), offer auction (sellers suggest prices) and double auction (both buyers and seller initiate price quotes). These trading institutions are stress-tested using a nonstationary monopolistic market environment in which the buyers' demand schedule and the single seller's supply curve shift unpredictably between trading periods. The principal result is threefold. First, double auction prices tend to be greater than offer auction prices which again tend to be greater than bid auction prices. Second, the listed ranking reflects tendencies only. The laboratory data do not support statistically significant behavioral differences between the three auctions. Third, trading is highly efficient regardless of auction type.
Keywords: Sequential auctions; experimental economics
36 pages, June 16, 2003
Full text files
Memo-05-2002.pdf
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