Market efficiency: Evidence from a no-bubble asset market experiment

Pacific Economic Review

Volumn 14, Issue 2, 2009, Pages 246-258

  Lei, Vivian ^a,b   Vesely, Filip ^a  

^a UNIVERSITY OF WISCONSIN MILWAUKEE   (United States)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC ANALYSIS; ECONOMIC STRUCTURE; EXPERIMENTAL STUDY; MARKET SYSTEM;

EID: 65449122706     PISSN: 1361374X     EISSN: 14680106     Source Type: Journal    
DOI: 10.1111/j.1468-0106.2009.00444.x     Document Type: Article

References (15)

1. Beechey, M., D. Gruen and J. Vickery (2000) 'The Efficiency Market Hypothesis: A Survey', working paper, Economic Research Department, Reserve Bank of Australia.
2. Dufwenberg, M., T. Lindqvist and E. Moore (2005) 'Bubbles and Experience: An Experiment', American Economic Review 95, 1731-7.
3. Fama, E. (1970) 'Efficient Capital Markets: A Review of Theory and Empirical Work', Journal of Finance 25, 383-417.
4. Fama, E. (1991) 'Efficient Capital Markets: II', Journal of Finance 46, 1575-617.
5. Fischbacher, Urs (2007) 'z-Tree: Zurich Toolbox for Ready-made Economic Experiments', Experimental Economics 10, 171-8.
6. King, R., V. Smith, A. Williams and M. Van Boening (1993) 'The Robustness of Bubbles and Crashes in Experimental Stock Markets', in I. Prigogine, R. Day, and P. Chen (eds), Nonlinear Dynamics and Evolutionary Economics. New York: Oxford University Press.
7. Knez, P., V. Smith and A. Williams (1985) 'Individual Rationality, Market Rationality, and Value Estimation', AEA Papers and Proceedings 75, 397-402.
8. Lei, V., C. Noussair and C. Plott (2001) 'Non-Speculative Bubbles in Experimental Asset Markets: Lack of Common Knowledge of Rationality vs. Actual Irrationality', Econometrica 69, 831-59.
9. Lei, V., C. Noussair and C. Plott (2003) 'Bubbles in Experimental Asset Markets: The Use of Capital Gains Taxes to Separate Theories of Bubble Formation', working paper, Emory University.
10. Noussair, C., S. Robin and B. Ruffieux (2001) 'Price Bubbles in Laboratory Asset Markets with Constant Fundamental Values', Experimental Economics 4, 87-105.
11. Noussair, C. and S. Tucker (2006) 'Futures Markets and Bubble Formation in Experimental Asset Markets', Pacific Economic Review 11, 167-84.
12. Porter, D. and V. Smith (1995) 'Futures Contracting and Dividend Uncertainty in Experimental Asset Markets', Journal of Business 68, 509-41.
13. Smith, V., G. Suchanek and A. Williams (1988) 'Bubbles, Crashes and Endogenous Expectations in Experimental Spot Asset Markets', Econometrica 56, 1119-51.
14. Smith, V., M. Van Boening and C. Wellford (2000) 'Dividend Timing and Behavior in Laboratory Asset Markets', Economic Theory 16, 511-28.
15. Van Boening, M., A. Williams and S. LaMaster (1993) 'Price Bubbles and Crashes in Experimental Call Markets', Economics Letters 41, 179-85.