連續性英式拍賣成交價格是否會下滑? －台北漁市場的實證研究

Abstract

Neugebauer and Pezanis-Christou (2005)以供給不確定性的模型，解釋連續性拍賣進行時，成交價格逐漸下滑的反常現象。本文將此模型的限制放寬，假設投標人對於會發生下一回合拍賣的預期機率，可隨者連續性拍賣的進行而變動，並且以台北漁市場的連續性英式拍賣資料，進行實證研究。結果發現成交價格逐漸下滑的現象確實普遍存在，而且當供給不確定性的程度增加時，大部分研究結果顯示價格下滑幅度亦會增加，為理論模型提供支持的證據。

In this study, the restrictions of Neugebauer and Pezanis-Christou (2005)’s model have been relaxed. Following the assumption and modification, information feedback at the end of each stage is taken into account, and a buyer is allowed to adjust his expectation of the probability that one more auction will occur as auction is proceeding. . The data from Taipei Fish Market is used to validate the theoretical prediction, and the price decline is observed in the empirical results. The effect of supply uncertainty is also found on price decline. Theses results mainly support the theoretical prediction and provide valuable insights of buyers’ behavior in sequential auction with supply uncertainty.