The purpose of this paper was to examine a market with different characteristics than a typical “financial” market using high frequency continuous transactions data. The market selected for this purpose was an Internet auction market for collectibles, specifically Ty Glory BearsTM sold on the eBay, Inc. web site. This market was chosen for its relatively high activity and homogeneity. The results indicated evidence of signaling related to seller’s reputation and product information, seasonality based on day-of-the-week, and limited market dept h.
Bracker, Kevin and Smith, Ken
"An Investigation of Internet Auction Markets: Evidence from eBay,"
Journal of International Technology and Information Management: Vol. 13
, Article 2.
Available at: http://scholarworks.lib.csusb.edu/jitim/vol13/iss4/2