Jon Plummer is studying water markets for his PhD research (under Sergei Schreider). In this 40 minute water chat [14 MB MP3], we discuss how markets work in Australia. Since this was my first detailed discussion on that topic, I recommend that you listen to it as a backgrounder for later water chats (to be posted in the next few days).
You will also want to take a look at these two figures. The first shows price and volume information on trades (from here) -- something that we see all the time with stocks but very rarely with water markets. The second shows some of the physical geography determining the extent of the markets we are talking about.
Bottom Line: It takes some time to get used the a new set of institutions, and market institutions vary from place to place.