scholarly journals Thar SHE Blows? Gender, Competition, and Bubbles in Experimental Asset Markets

2015 ◽  
Vol 105 (2) ◽  
pp. 906-920 ◽  
Author(s):  
Catherine C. Eckel ◽  
Sascha C. Füllbrunn
Keyword(s):  
Financial Markets ◽  
Inverse Relationship ◽  
Meta Analysis ◽  
Experimental Methodology ◽  
Asset Markets ◽  
Asset Market ◽  
Price Bubbles ◽  
Mixed Markets ◽  
Experimental Asset Markets ◽  
Market Experiment

Do women and men behave differently in financial asset markets? Our results from an asset market experiment show a marked gender difference in producing speculative price bubbles. Mixed markets show intermediate values, and a meta-analysis of 35 markets from different studies confirms the inverse relationship between the magnitude of price bubbles and the frequency of female traders in the market. Women's price forecasts also are significantly lower, even in the first period. Implications for financial markets and experimental methodology are discussed. (JEL D14, D81, G01, G11, J16)

Fundamentals, momentum, and bubbles in experimental asset markets

2016 ◽  
Vol 8 (1) ◽  
pp. 17-38
Author(s):  
Sean M Collins ◽  
Alisa G. Brink
Keyword(s):  
Design Methodology ◽  
Asset Markets ◽  
Asset Market ◽  
Seminal Paper ◽  
Content Type ◽  
Price Bubbles ◽  
Experimental Asset Markets ◽  
Experimental Laboratory ◽  
Initial Path ◽  
Fundamental Value

Purpose – The purpose of this paper is to report the results of a study concerning how fundamental-motivated investors, and their subsequent impact on the path of prices, affect the severity of price bubbles in an experimental laboratory asset market. Design/methodology/approach – In a laboratory experiment, asset markets are manipulated by systematically replacing inexperienced human traders with automated traders programmed to submit bids and asks at fundamental value. Findings – When traders in a market are automated to invest on fundamentals, deviations from fundamental value are initially suppressed, but reappear when automated traders cease to influence prices. A significant reduction in the severity of the resulting bubble may be attributed to the interaction of automated traders and humans through the initial path of prices when controlling for changes in liquidity. This reduction corresponds to reduced autocorrelation in the time series of returns. Originality/value – This paper represents the first attempt (to the authors’ knowledge) to extend the intervention approach of the seminal paper by Smith et al. (1988) to systematically study the extent to which manipulation of initial path of prices impacts the formation and magnitude of bubbles in the laboratory.

Price bubbles, gender, and expectations in experimental asset markets

2017 ◽  
Vol 100 ◽  
pp. 72-94 ◽  
Author(s):  
Charles A. Holt ◽  
Megan Porzio ◽  
Michelle Yingze Song
Keyword(s):  
Asset Markets ◽  
Price Bubbles ◽  
Experimental Asset Markets

scholarly journals Retrading, production, and asset market performance

2015 ◽  
Vol 112 (47) ◽  
pp. 14557-14562 ◽  
Author(s):  
Steven D. Gjerstad ◽  
David Porter ◽  
Vernon L. Smith ◽  
Abel Winn
Keyword(s):  
Effective Treatment ◽  
Laboratory Experiments ◽  
Flow Model ◽  
Asset Markets ◽  
Asset Market ◽  
Price Bubbles ◽  
Equilibrium Prices ◽  
Consumption Values ◽  
Market Experiments ◽  
Stock Flow

Prior studies have shown that traders quickly converge to the price–quantity equilibrium in markets for goods that are immediately consumed, but they produce speculative price bubbles in resalable asset markets. We present a stock-flow model of durable assets in which the existing stock of assets is subject to depreciation and producers may produce additional units of the asset. In our laboratory experiments inexperienced consumers who can resell their units disregard the consumption value of the assets and compete vigorously with producers, depressing prices and production. Consumers who have first participated in experiments without resale learn to heed their consumption values and, when they are given the option to resell, trade at equilibrium prices. Reproducibility is therefore the most natural and most effective treatment for suppression of bubbles in asset market experiments.

Recognition of Future News in Earnings and Price Bubbles in Experimental Asset Markets

2015 ◽  
Vol 30 (4) ◽  
pp. 558-575 ◽  
Author(s):  
Sudeep Ghosh ◽  
Suresh Radhakrishnan ◽  
Bin Srinidhi ◽  
Lixin (Nancy) Su
Keyword(s):  
Asset Markets ◽  
Price Bubbles ◽  
Experimental Asset Markets

scholarly journals Coordination in the Presence of Asset Markets

2011 ◽  
Vol 101 (2) ◽  
pp. 927-947 ◽  
Author(s):  
Shimon Kogan ◽  
Anthony M Kwasnica ◽  
Roberto A Weber
Keyword(s):  
Financial Markets ◽  
Coordination Game ◽  
Economic Outcomes ◽  
Asset Markets ◽  
Asset Market ◽  
Lower Efficiency ◽  
Market Prices ◽  
Asset Values ◽  
The Relationship ◽  
Shed Light

We explore the relationship between outcomes in a coordination game and a pre-play asset market where asset values are determined by outcomes in the subsequent coordination game. Across two experiments, we vary the payoffs from the market relative to the game, the degree of interdependence in the game, and whether traders' asset payoffs are dependent on outcomes in their own or another game. Markets lead to significantly lower efficiency across treatments, even when they produce no distortion of incentives in the game. Market prices forecast game outcomes. Our experiments shed light on how financial markets may influence affiliated economic outcomes. (JEL C91, D83, G13, G14)

Does personality drive price bubbles?

2019 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Andreas Oehler ◽  
Florian Wedlich ◽  
Stefan Wendt ◽  
Matthias Horn
Keyword(s):  
Business Students ◽  
Lower Proportion ◽  
Asset Markets ◽  
Emotional States ◽  
Market Outcomes ◽  
Content Type ◽  
Mean Values ◽  
Price Bubbles ◽  
Transaction Prices ◽  
Experimental Asset Markets

Purpose The purpose of this study is to analyze whether differences in market-wide levels of investor personality influence experimental asset market outcomes in terms of limit orders, price levels and price bubbles. Design/methodology/approach Investor personality is determined by a questionnaire. These data are combined with data from 17 experimental asset markets. Two approaches are used to estimate market-wide levels of investor personality. First, the market-wide average of each personality trait is determined; second, the percentage of individuals with comparable personality in a market is computed. Overall, 364 undergraduate business students participated in the questionnaire and the experimental asset markets. Findings Limits and transaction prices are higher in markets with higher mean values in participants’ extraversion and openness to experience and lower mean values in participants’ agreeableness and neuroticism. In markets with lower mean values of subjects’ openness to experiences more overpriced transactions are observed. In markets with a higher proportion of extraverted subjects and a lower proportion of neurotic subjects higher limits and transaction prices are observed. Bubble phases last longer in markets with a higher proportion of extraverted and a lower proportion of neurotic subjects. Originality/value Overall, the findings suggest that market-wide personality levels influence market outcomes. As a consequence, market-wide levels of personality help to explain prices in auctions with limited number of participants. Additionally, studies that analyze the influence of subjects’ characteristics, including risk aversion, emotional states or overconfidence, on market outcomes should also consider personality traits as potential underlying factor.

scholarly journals Thar She Blows: Can Bubbles Be Rekindled with Experienced Subjects?

2008 ◽  
Vol 98 (3) ◽  
pp. 924-937 ◽  
Author(s):  
Reshmaan N Hussam ◽  
David Porter ◽  
Vernon L Smith
Keyword(s):  
Asset Markets ◽  
Asset Market ◽  
Environment Changes ◽  
Price Bubbles ◽  
The Third ◽  
Experience Levels ◽  
Price Bubble ◽  
Error Elimination ◽  
Challenging Environment

We report 28 new experiment sessions consisting of up to three experience levels to examine the robustness of learning and “error” elimination among participants in a laboratory asset market and its effect on price bubbles. Our answer to the title question is: “yes.” We impose a large increase in liquidity and dividend uncertainty to shock the environment of experienced subjects who have converged to equilibrium, and this treatment rekindles a bubble. However, in replications of that same challenging environment across three experience levels, we discover that the environment yields a rare residual tendency to bubble even in the third experience session. Therefore, a caveat must be placed on the effect of twice-experienced subjects in asset markets: in order for price bubbles to be extinguished, the environment in which the participants engage in exchange must be stationary and bounded by a range of parameters. Experience, including possible “error” elimination, is not robust to major new environment changes in determining the characteristics of a price bubble. (JEL C91, D83)

scholarly journals Heterogeneity of Beliefs and Trade in Experimental Asset Markets

2018 ◽  
Vol 54 (1) ◽  
pp. 215-245 ◽  
Author(s):  
Tim A. Carlé ◽  
Yaron Lahav ◽  
Tibor Neugebauer ◽  
Charles N. Noussair
Keyword(s):  
Asset Markets ◽  
Asset Market ◽  
High Price ◽  
Market Outcomes ◽  
Price Expectations ◽  
Market Data ◽  
Market Activity ◽  
Experimental Asset Markets ◽  
The Relationship

We investigate the relationship between traders’ expectations and market outcomes with experimental asset market data. The data show that those who have high price expectations buy more frequently and submit higher bids, and those who hold low price expectations sell more frequently and submit lower bids. Traders who have more accurate expectations achieve greater earnings. Simulations using only belief data reproduce the pricing patterns observed in the market well, indicating that the heterogeneity of expectations is a key to explaining market activity.

Do Tobin taxes help stop stock price bubbles?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Lucy F. Ackert ◽  
Li Qi ◽  
Wenbo Zou
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Asset Markets ◽  
Content Type ◽  
Price Bubbles ◽  
Naturally Occurring ◽  
Securities Transaction Tax ◽  
Experimental Asset Markets ◽  
Transaction Tax ◽  
The Impact

Purpose This study aims to report on experimental asset markets designed to examine the impact of a levy on trade, as well as the taxation authority’s ability to raise tax revenue when markets are subject to mispricing. Some have suggested that a transaction tax will discourage irrational speculation and lead to more efficient markets, but others argue that a higher cost of trading will prove to be an impediment to trade with no useful outcomes. Design/methodology/approach The authors’ goal is to provide insight on the impact of a transaction tax in a very specific asset market. The authors chose this design because the robustness of the bubble and crash pattern points to an environment that is particularly appropriate for the study of the effectiveness of a transaction tax in promoting efficient pricing. Furthermore, in a laboratory, the authors can control for extraneous factors that are problematic in the study of naturally occurring environments. Findings The authors examine whether a securities transaction tax promotes efficiency in markets that are prone to mispricing and find little evidence that a tax on trade will reduce speculation. Research limitations/implications This study’s experimental environment is, of course, an abstraction of naturally occurring markets and it may be that the model excludes important aspects. Social implications The authors find that a tax on financial transactions allows the taxation authority to raise significant revenue with little impact on pricing or trading volume. Originality/value To the best of the authors’ knowledge, this study is the first systematic examination of a transaction tax on outcomes in a market that is prone to mispricing.

Sign in / Sign up

Export Citation Format

Share Document