experimental economics non-repeated double auctions and financial bubbles

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1、Non-repeateddoubleauctions,andfinancialbubblesSmith,VernonL.,GerryL.Suchanek,andArligntonW.Williams,“Bubbles,Crashes,andEndogenousExpectationsinExperimentalSpotAssetMarkets,”Econometrica,1988.ContractpricesjoinedbylinesegmentsHypotheses?•Yours,orLei,Noussair,andP

2、lott’s?VIVIANLEI,CHARLESN.NOUSSAIR,ANDCHARLESR.PLOTT,“NONSPECULATIVEBUBBLESINEXPERIMENTALASSETMARKETS:LACKOFCOMMONKNOWLEDGEOFRATIONALITYVS.ACTUALIRRATIONALITY,”Econometrica,2001•Abstract:“Wereporttheresultsofanexperimentdesignedtostudytheroleofspeculationinthefor

3、mationofbubblesandcrashesinlaboratoryassetmarkets.Inasettinginwhichspeculationisnotpossible,bubblesandcrashesareobserved.Theresultssuggestthatthedeparturesfromfundamentalvaluesarenotcausedbythelackofcommonknowledgeofrationalityleadingtospeculation,butratherbybeha

4、viorthatitselfexhibitselementsofirrationality.Muchofthetradingactivitythataccompaniesbubbleformation,inmarketswherespeculationispossible,isduetothefactthatthereisnootheractivityavailableforparticipantsintheexperiment.”RESULT1:Thespeculativehypothesisisnotsupporte

5、dinourdata.Thepursuitofcapitalgainsisnottheonlycauseofexperimentalassetmarketbubbles.RESULT3:Inourdata,systematicerrorsindecisionmakingaccompanythepresenceofbubbles.RESULT4:TheActiveParticipationHypothesisissupportedinmarketsinwhichspeculationispermitted.Volumein

6、theassetmarketissignificantlylowerinTwoMarketthaninOneMarket.RESULT5:Theexistenceofasecondmarketreducestheincidenceofdominatedtransactionsinmarketsinwhichspeculationisnotpossible.ThereisnoevidenceofexcesstradeinTwoMarketNoSpec.