Publication Type
Journal Article
Version
acceptedVersion
Publication Date
5-2009
Abstract
Technological advances have facilitated investment in collectibles through online auction markets, where information regarding product characteristics, current and historical prices, and product availability is available to millions of market participants. However, market inefficiencies may still exist, where prices do not reflect market information and where savvy speculators can profit. Using unit root and variance ratio tests, we examine 8538 rare stamp and 56,997 rare coin auctions to evaluate the efficiency of online markets. In particular, we study market liquidity, abnormal returns and weak-form efficiency. We find an inverse relationship between market efficiency and liquidity. Bidder competition intrinsic to liquidity increases the chances that uninformed bidders drive up item prices, leading to the observed market inefficiencies. (C) 2009 Elsevier B.V. All rights reserved
Keywords
Abnormal returns, Coins, Electronic markets, Financial economics, Market efficiency, Liquidity, Stamps, Thin markets, Unit roots, Variance ratio
Discipline
Computer Sciences | E-Commerce
Research Areas
Information Systems and Management
Publication
Decision Support Systems
Volume
48
Issue
1
First Page
3
Last Page
13
ISSN
0167-9236
Identifier
10.1016/j.dss.2009.05.009
Publisher
Elsevier
Citation
KAUFFMAN, Robert J.; Spaulding, Trent J; and Wood, Charles A..
Are Online Auction Markets Efficient? An Empirical Study of Market Liquidity and Abnormal Returns.. (2009). Decision Support Systems. 48, (1), 3-13.
Available at: https://ink.library.smu.edu.sg/sis_research/2749
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.dss.2009.05.009