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Digital options and efficiency in experimental asset markets

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  • Palan, Stefan

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Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

Volume (Year): 75 (2010)
Issue (Month): 3 (September)
Pages: 506-522

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Handle: RePEc:eee:jeborg:v:75:y:2010:i:3:p:506-522

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Keywords: Asset market Digital option Experimental economics Bubble Efficiency;

References

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  9. Shinichi Hirota & Shyam Sunder, 2005. "Price Bubbles sans Dividend Anchors: Evidence from Laboratory Stock Markets," ISER Discussion Paper 0634, Institute of Social and Economic Research, Osaka University.
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  13. Noussair, C.N. & Lei , V. & Plott, C., 2001. "Non-speculative bubbles in experimental asset markets: Lack of common knowledge of rationality vs. actual irrationality," Open Access publications from Tilburg University urn:nbn:nl:ui:12-381105, Tilburg University.
  14. Vernon L. Smith, 1962. "An Experimental Study of Competitive Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 70, pages 111.
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  20. Noussair, C. & Robin, S. & Ruffieux, B., 1998. "Bubbles and Anti-Crashes in Laboratory Asset Markets with Constant Fundamental Values," Purdue University Economics Working Papers 1119, Purdue University, Department of Economics.
  21. Figlewski, Stephen & Webb, Gwendolyn P, 1993. " Options, Short Sales, and Market Completeness," Journal of Finance, American Finance Association, vol. 48(2), pages 761-77, June.
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  24. Lucy F. Ackert & Narat Charupat & Bryan K. Church & Richard Deaves, 2006. "Margin, Short Selling, And Lotteries In Experimental Asset Markets," Southern Economic Journal, Southern Economic Association, vol. 73(2), pages 419–436, October.
  25. Friedman, Daniel & Harrison, Glenn W & Salmon, Jon W, 1984. "The Informational Efficiency of Experimental Asset Markets," Journal of Political Economy, University of Chicago Press, vol. 92(3), pages 349-408, June.
  26. Noussair, C.N. & Powell, O.R., 2008. "Peaks and Valleys: Experimental Asset Markets With Non-Monotonic Fundamentals," Discussion Paper 2008-49, Tilburg University, Center for Economic Research.
  27. Sugato Chakravarty & Huseyin Gulen & Stewart Mayhew, 2004. "Informed Trading in Stock and Option Markets," Journal of Finance, American Finance Association, vol. 59(3), pages 1235-1258, 06.
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  30. Jie Gan, 2007. "The Real Effects of Asset Market Bubbles: Loan- and Firm-Level Evidence of a Lending Channel," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1941-1973, November.
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  32. Charles Noussair & Stephane Robin & Bernard Ruffieux, 2001. "Price Bubbles in Laboratory Asset Markets with Constant Fundamental Values," Experimental Economics, Springer, vol. 4(1), pages 87-105, June.
  33. Mark van Boening & Vernon L. Smith & Charissa P. Wellford, 2000. "Dividend timing and behavior in laboratory asset markets," Economic Theory, Springer, vol. 16(3), pages 567-583.
  34. Forsythe, Robert & Palfrey, Thomas R & Plott, Charles R, 1984. " Futures Markets and Informational Efficiency: A Laboratory Examination," Journal of Finance, American Finance Association, vol. 39(4), pages 955-81, September.
  35. Crowley, Steve & Sade, Orly, 2004. "Does the option to cancel an order in a double auction market matter?," Economics Letters, Elsevier, vol. 83(1), pages 89-97, April.
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Cited by:
  1. Schoenberg, Eric J. & Haruvy, Ernan, 2012. "Relative performance information in asset markets: An experimental approach," Journal of Economic Psychology, Elsevier, vol. 33(6), pages 1143-1155.
  2. Stefan Palan, 2014. "A Software for Asset Market Experiments," Working Paper Series, Social and Economic Sciences 2014-01, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.

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