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An Experimental Investigation of Asset Pricing in Segmented Markets


  • Lucy F. Ackert

    () (Department of Economics and Finance, Michael J. Coles College of Business, Kennesaw State University, 1000 Chastain Road, Kennesaw, GA 30144, USA)

  • Stefano Mazzotta

    () (Department of Economics and Finance, Michael J. Coles College of Business, Kennesaw State University, 1000 Chastain Road, Kennesaw, GA 30144, USA)

  • Li Qi

    () (Department of Economics, Agnes Scott College, 141 E College Avenue, Decatur, GA 30030, USA)


This article reports the results of experimental asset markets in which participants trade two assets with distinct dividend claims. Some traders are able to transact in the markets for both assets, whereas others can trade in only one market. When some are restricted from transacting in one market, the ineligible asset that cannot be traded by all commands a super risk premium. Without this premium, unrestricted investors would not hold all the available shares of the ineligible asset. In addition, we find that although unrestricted traders have the opportunity to remove all risk, few take advantage of this hedging opportunity.

Suggested Citation

  • Lucy F. Ackert & Stefano Mazzotta & Li Qi, 2011. "An Experimental Investigation of Asset Pricing in Segmented Markets," Southern Economic Journal, Southern Economic Association, vol. 77(3), pages 585-598, January.
  • Handle: RePEc:sej:ancoec:v:77:3:y:2011:p:585-598
    DOI: 10.4284/sej.2011.77.3.585

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    Cited by:

    1. Vorstaz, Marc & Lopes Moreira Da Veiga, María Helena & Peeters, Ronald, 2020. "Contagion in sequential financial markets: an experimental analysis," DES - Working Papers. Statistics and Econometrics. WS 31230, Universidad Carlos III de Madrid. Departamento de Estadística.

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    JEL classification:

    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior
    • G1 - Financial Economics - - General Financial Markets


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