On the ingredients for bubble formation: Informed traders and communication

Journal of Economic Dynamics and Control

Volumn 35, Issue 11, 2011, Pages 1831-1851

  Oechssler, Jörg ^a   Schmidt, Carsten ^b   Schnedler, Wendelin ^c  

^a UNIVERSITY OF HEIDELBERG   (Germany)

^b UNIVERSITY OF MANNHEIM   (Germany)

^c UNIVERSITY OF PADERBORN   (Germany)

Author keywords

Asset markets; Bubbles; Dividends; Experiment; Mirages

Indexed keywords

EID: 80053207299     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2011.05.009     Document Type: Article

References (42)

1. Ackert L.F., Charupat N., Church B.K., Deaves R. Margin, short selling, and lotteries in experimental asset markets. Southern Economic Journal 2006, 73:419-436.
2. Ball S.B., Holt C.A. Classroom games: bubbles in an asset market. Journal of Economic Perspectives 1998, 12:207-218.
3. Barber B., Odean T. Boys will be boys: gender, overconfidence, and common stock investment. Quarterly Journal of Economics 2001, 116:261-292.
4. Barner M., Feri F., Plott C. On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. Annals of Finance 2005, 1:73-107.
5. Bianchi, M., Jehiel, P., 2007. Speculative Bubbles Without Stupid Investors. Mimeo, Stockholm School of Economics.
6. Bloomfield R., O'Hara M., Saar G. The "Make or Take" decision in an electronic market: evidence on the evolution of liquidity. Journal of Financial Economics 2005, 75:165-199.
7. Bloomfield, R., O'Hara, M., Saar, G., 2007. How Noise Trading Affects Markets: An Experimental Analysis. Mimeo.
8. Camerer C., Weigelt K. Information mirages in experimental asset markets. Journal of Business 1991, 64:463-493.
9. Camerer, C.F., Nöth, M., Plott, C.R., Weber, M., 1999. Information Aggregation in Experimental Asset Markets: Traps and Misaligned Beliefs. Social Science Working Paper no. 1060, California Institute of Technology.
10. Cheung, S.L., Hedegaard, M., Palan, S., 2010. Complexity, Confusion and Bubbles in Experimental Asset Markets. Mimeo, University of Sydney.
11. Davies, T., 2006. Irrational Gloominess in the Laboratory. Mimeo, University of Arizona.
12. Dufwenberg M., Lindqvist T., Moore E. Bubbles and experience: an experiment. American Economic Review 2005, 95:1731-1737.
13. Easterbrook F., Fischel D. The Economic Structure of Corporate Law 1991, Harvard University Press, Cambridge, MA.
14. Fischbacher U. z-Tree: zurich toolbox for readymade economic experiments. Experimental Economics 2007, 10:171-178.
15. Fisher E., Kelly F. Experimental foreign exchange markets. Pacific Economic Review 2000, 5:365-387.
16. Friedman D., Aoki M. Inefficient information aggregation as a source of asset price bubbles. Bulletin of Economic Research 1992, 44:251-279.
17. Friedman, D., von Borries, A., 1988. Monopolistic Insiders in Computerized Asset Markets: A Note on Some Experimental Results. Working Paper no. 178, University of California, Santa Cruz.
18. Harrison H., Kubik J., Stein J. Thy Neighbor's portfolio: word-of-mouth effects in the holdings and trades of money managers. The Journal of Finance 2005, 60:2801-2824.
19. Haruvy E., Lahav Y., Noussair C.N. Traders' expectations in asset markets: experimental evidence. American Economic Review 2007, 97:1901-1920.
20. Haruvy E., Noussair C.N. The effect of short selling on bubbles and crashes in experimental spot asset markets. Journal of Finance 2006, 61:1119-1157.
21. Hirota S., Sunder S. Price bubbles sans dividend anchors: evidence from laboratory stock markets. Journal of Economic Dynamics and Control 2007, 31:1875-1909.
22. Hommes C. The heterogenous expectations hypothesis: some evidence from the lab. Journal of Economic Dynamics and Control 2011, 35:1-24.
23. Hommes C., Sonnemans J., Tuinstra J., van de Velden H. Coordination of expectations in asset pricing experiments. Review of Financial Studies 2005, 18:955-980.
24. Hommes C., Sonnemans J. Expectations and bubbles in asset pricing experiments. Journal of Economic Behavior and Organization 2008, 67:116-133.
25. Ivkovi Z., Weisbenner S. Information diffusion effects in individual investors' common stock purchases: covet thy neighbors' investment choices. Review of Financial Studies 2007, 20:1327-1357.
26. King R.R., Smith V.L., Williams A.W., Van Boening M. The robustness of bubbles and crashes in experimental stock markets. Nonlinear Dynamics and Evolutionary Economics 1993, 183-200. Oxford University Press, Oxford. I. Priagogine, R.H. Day, P. Chen (Eds.).
27. Kirchler M. Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study. Journal of Economic Dynamics & Control 2009, 33:491-506.
28. Kirchler, M., Huber, J., Stöckl, T., 2010. Thar She Bursts-A Critical Investigation of Bubble Experiments. Mimeo, University of Innsbruck.
29. Kyle A.S. Continuous auctions and insider trading. Econometrica 1985, 53:1315-1335.
30. Kyle A.S. Informed speculation with imperfect competition. Review of Economic Studies 1989, 56:317-356.
31. Lei V., Noussair C.N., Plott C.R. Nonspeculative bubbles in experimental asset markets: lack of common knowledge of rationality vs. actual irrationality. Econometrica 2001, 69:831-859.
32. Milgrom P., Stokey N. Information, trade, and common knowledge. Journal of Economic Theory 1982, 26:17-27.
33. Noussair C., Robin S., Ruffieux B. Price bubbles in laboratory asset markets with constant fundamental values. Experimental Economics 2001, 4:87-105.
34. Noussair C., Tucker S. Futures markets and bubble formation in experimental asset markets. Pacific Economic Review 2006, 11:167-184.
35. Noussair, C., Powell, O., 2008. Peaks and Valleys: Experimental Asset Markets With Non-Monotonic Fundamentals. Center Discussion Paper Series, No. 2008-49.
36. Plott C.R., Sunder S. Efficiency of experimental security markets with insider information: an application of rational-expectations models. Journal of Political Economy 1982, 90:663-698.
37. Schnitzlein C.R. Call and continuous trading mechanisms under asymmetric information: an experimental investigation. Journal of Finance 1996, 51:613-636.
38. Schnitzlein C.R. Price formation and market quality when the number and presence of insiders is unknown. Review of Financial Studies 2002, 15:1077-1109.
39. Shiller R. Irrational Exuberance 2005, Princeton University Press, Princeton. second ed.
40. Smith V.L., van Boening M., Wellford C.P. Dividend timing and behavior in laboratory asset markets. Economic Theory 2000, 16:567-583.
41. Smith V.L., Suchanek G.L., Williams A.W. Bubbles, crashes, and endogenous expectations in experimental spot asset market. Econometrica 1988, 56:1119-1151.
42. Van Boening M.V., Williams A.W., LaMaster S. Price bubbles and crashes in experimental call markets. Economics Letters 1993, 41:179-185.