Experimental Asset Markets: Behaviour and Bubbles

30 Pages Posted: 10 Mar 2015

See all articles by Owen Powell

Owen Powell

University of Vienna - Department of Economics; Vienna Center for Experimental Economics

Natalia Shestakova

University of Vienna - Department of Economics

Date Written: March 9, 2015

Abstract

This paper reviews new research on experimental asset markets, markets in which the value of the traded asset is homogeneous across all agents. Such markets have been shown to be prone to substantial mispricing, usually in the form of a bubble-and-crash pattern. This calls into question the efficiency of such markets. The studies reviewed consider how market efficiency is affected by the characteristics of traders (intelligence, knowledge, etc.), the properties of the traded asset (the time path of fundamental value, information provision, etc.), and the structure of the market (market interventions, compensation schemes, etc.). Finally, the paper summarizes with a discussion related to defining a unique measure of mispricing.

Keywords: experimental asset markets, literature review, mispricing

JEL Classification: C92, D40

Suggested Citation

Powell, Owen and Shestakova, Natalia, Experimental Asset Markets: Behaviour and Bubbles (March 9, 2015). Available at SSRN: https://ssrn.com/abstract=2575597 or http://dx.doi.org/10.2139/ssrn.2575597

Owen Powell (Contact Author)

University of Vienna - Department of Economics ( email )

Bruennerstrasse 72
Vienna, A-1210
Austria

Vienna Center for Experimental Economics ( email )

Oskar-Morgenstern-Platz 1
Vienna, Vienna 1090
Austria

Natalia Shestakova

University of Vienna - Department of Economics ( email )

Oskar-Morgenstern-Platz 1
Vienna, A-1090
Austria

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