A Pilot Exploration of Random Period Duration in Experimental Financial Markets: A Treatment Variable?

This exploratory paper reports a pilot study of the impact of random period duration on the trading behaviour observed in experimental financial markets. Results reported in earlier experimental studies, many of which report a flurry of trade just prior to the end of a trading period, may have been influenced by knowledge of trading period duration. These exploratory findings suggest that the introduction of random period duration results in an increased volume of trade early in a period, which may then impinge upon the informational efficiency of the asset markets. These findings necessitate that future refinements to theoretical models of bid, ask and transaction price behaviour in double auctions explicitly address the influence of known period duration. However, no significant difference between the two markets is found with respect to allocational efficiency. © 1997 John Wiley & Sons, Ltd.