전자식 경매 도입이 가락시장의 가격효율성에 미치는 영향분석

Abstract

Dissemination of real-time auction prices should improve market efficiency as it strengthens the law of one prices (LOP) and reduce market volatility. The eletronic auction system is expected to fortify the information effect. The decreased price volatility would help market participants to find the better prices and to reduce risk premium. This study examines whether these expectations hold. Four important commodities are used for the tests. The results show that the electronic auction system improved LOP compared to the previous open outcry system even though there are still market inefficience left. Yet, the price volatilities have been reduced under the eletronic auction system. Due to the rapid disclosure and dissemination of the auction prices under the eletronic auction, the comparies with the largest trade volume exhibit stronger influences over the omparies with less volumes. Some implications and policy suggestions are provided from the results.