We study the bid-ask spreads observed in an experimental auction market. Three results are presented. First, the trading mechanism, which can destroy order books, should modify the measure of the spreads. Second, bid-ask spreads are reliable to the nature of the environment and to the type of...

The paper describes experimental results from a simulated stock market with manipulation of asymmetric information and communication, including conditions intended to promote imitative behaviour and rumour. Price discovery was inefficient when the presence of insiders was disguised, compared to...