ScholarWorks@성균관대학교

초록

This study utilizes a heterogeneous agent-based artificial stock market to examine how secondary priority rules (SPRs) within order precedence affect stock market quality. We analyze the effectiveness of three SPRs: the time, pro-rata, and equal-sharing priority rules. We use the time priority rule as a benchmark and consider investors' trading strategies. The pro-rata priority rule can further promote market quality by achieving more active trading, higher liquidity, and more efficient asset pricing. In contrast, the equal-sharing priority rule impairs market quality. Our results provide new evidence on the relationship between SPRs and stock market quality.

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