IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Asset markets in the lab: A literature review

Listed author(s):
  • Morone, Andrea
  • Nuzzo, Simone

This paper aims at providing an overview of several topics that have been addressed in the field of experimental asset markets. Rather than being exhaustive in any single topic, this review is meant to gather the several research strands, and to provide a powerful picture of the main advances on the use of experimental techniques for the study of financial markets.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: https://www.econstor.eu/bitstream/10419/148043/1/872777022.pdf
Download Restriction: no

Paper provided by Kiel Institute for the World Economy (IfW) in its series Kiel Working Papers with number 2060.

as
in new window

Length:
Date of creation: 2016
Handle: RePEc:zbw:ifwkwp:2060
Contact details of provider: Postal:
Kiellinie 66, D-24105 Kiel

Phone: +49 431 8814-1
Fax: +49 431 8814528
Web page: http://www.ifw-kiel.de/
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Simone Alfarano & Iván Barreda-Tarrazona & Eva Camacho-Cuena, 2006. "On the role of heterogeneous and imperfect information in a laboratory financial market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 14(4), pages 417-433, December.
  2. Kartik Anand & Alan Kirman & Matteo Marsili, 2013. "Epidemics of rules, rational negligence and market crashes," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 438-447, May.
  3. Day, Richard H. & Huang, Weihong, 1990. "Bulls, bears and market sheep," Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
  4. Plott, Charles R & Sunder, Shyam, 1982. "Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models," Journal of Political Economy, University of Chicago Press, vol. 90(4), pages 663-698, August.
  5. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
  6. Plott, Charles R & Sunder, Shyam, 1988. "Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets," Econometrica, Econometric Society, vol. 56(5), pages 1085-1118, September.
  7. Sunder, Shyam, 1992. "Market for Information: Experimental Evidence," Econometrica, Econometric Society, vol. 60(3), pages 667-695, May.
  8. Hanke, Michael & Huber, Jürgen & Kirchler, Michael & Sutter, Matthias, 2010. "The economic consequences of a Tobin tax--An experimental analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 74(1-2), pages 58-71, May.
  9. Davis, Douglas D. & Holt, Charles a., 1993. "Experimental economics: Methods, problems and promise," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 8(2), pages 179-212.
  10. Lei, Vivian & Noussair, Charles N & Plott, Charles R, 2001. "Nonspeculative Bubbles in Experimental Asset Markets: Lack of Common Knowledge of Rationality vs. Actual Irrationality," Econometrica, Econometric Society, vol. 69(4), pages 831-859, July.
  11. Martin Dufwenberg & Tobias Lindqvist & Evan Moore, 2005. "Bubbles and Experience: An Experiment," American Economic Review, American Economic Association, vol. 95(5), pages 1731-1737, December.
  12. Dhananjay K. Gode & Shyam Sunder, 1997. "What Makes Markets Allocationally Efficient?," The Quarterly Journal of Economics, Oxford University Press, vol. 112(2), pages 603-630.
  13. Camille Cornand & Frank Heinemann, 2008. "Optimal Degree of Public Information Dissemination," Economic Journal, Royal Economic Society, vol. 118(528), pages 718-742, April.
  14. Cipriani Marco & Guarino Antonio, 2008. "Herd Behavior and Contagion in Financial Markets," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 8(1), pages 1-56, October.
  15. Robert Evans, 1989. "Sequential Bargaining with Correlated Values," Review of Economic Studies, Oxford University Press, vol. 56(4), pages 499-510.
  16. Kirchler, Michael & Huber, Jurgen, 2007. "Fat tails and volatility clustering in experimental asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1844-1874, June.
  17. C. Bram Cadsby & Elizabeth Maynes, 1998. "Laboratory experiments in corporate and investment finance: a survey," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 19(4-5), pages 277-298.
  18. Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001. "Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices," Journal of Financial Economics, Elsevier, vol. 61(3), pages 345-381, September.
  19. Copeland, Thomas E & Friedman, Daniel, 1991. " Partial Revelation of Information in Experimental Asset Markets," Journal of Finance, American Finance Association, vol. 46(1), pages 265-295, March.
  20. Charles Noussair & Yilong Xu, 2015. "Information mirages and financial contagion in an asset market experiment," Journal of Economic Studies, Emerald Group Publishing, vol. 42(6), pages 1029-1055, November.
  21. Simone Alfarano & Andrea Morone & Eva Camacho, 2011. "The role of public and private information in a laboratory financial market," Working Papers. Serie AD 2011-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  22. Benjamin Enke & Florian Zimmermann, 2013. "Correlation Neglect in Belief Formation," Bonn Econ Discussion Papers bgse04_2013, University of Bonn, Germany.
  23. Eduardo B. Andrade & Terrance Odean & Shengle Lin, 2016. "Bubbling with Excitement: An Experiment," Review of Finance, European Finance Association, vol. 20(2), pages 447-466.
  24. Morone, Andrea & Nuzzo, Simone, 2015. "Market Efficiency, Trading Institutions and Information Mirages: evidence from an experimental asset market," MPRA Paper 67448, University Library of Munich, Germany.
  25. Copeland, Thomas E & Friedman, Daniel, 1987. " The Effect of Sequential Information Arrival on Asset Prices: An Experimental Study," Journal of Finance, American Finance Association, vol. 42(3), pages 763-797, July.
  26. Duxbury, Darren, 1995. " Experimental Asset Markets within Finance," Journal of Economic Surveys, Wiley Blackwell, vol. 9(4), pages 331-371, December.
  27. Noussair, C.N. & Xu, Yilong, 2014. "Information Mirages and Financial Contagion in Asset Market Experiment," Discussion Paper 2014-034, Tilburg University, Center for Economic Research.
  28. Giovanni Ferri & Andrea Morone, 2014. "The effect of rating agencies on herd behaviour," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 9(1), pages 107-127, April.
  29. Arifovic, Jasmina & Gencay, Ramazan, 2000. "Statistical properties of genetic learning in a model of exchange rate," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 981-1005, June.
  30. Lei, Vivian & Noussair, Charles & Plott, Charles R., 2002. "Asset Bubbles and Rationality: Additional Evidence from Capital Gains Tax Experiments," Working Papers 1137, California Institute of Technology, Division of the Humanities and Social Sciences.
  31. Bikhchandani, Sushil & Hirshleifer, David & Welch, Ivo, 1992. "A Theory of Fads, Fashion, Custom, and Cultural Change in Informational Cascades," Journal of Political Economy, University of Chicago Press, vol. 100(5), pages 992-1026, October.
  32. Darren Duxbury, 2015. "Behavioral finance: insights from experiments II: biases, moods and emotions," Review of Behavioral Finance, Emerald Group Publishing, vol. 7(2), pages 151-175, November.
  33. Barreda Tarrazona, Iván J. & Grimalda, Gianluca & Morone, Andrea & Nuzzo, Simone & Teglio, Andrea, 2017. "Centralizing information improves market efficiency more than increasing information: Results from experimental asset markets," Kiel Working Papers 2072, Kiel Institute for the World Economy (IfW).
  34. Cheung, Stephen L. & Hedegaard, Morten & Palan, Stefan, 2014. "To see is to believe: Common expectations in experimental asset markets," European Economic Review, Elsevier, vol. 66(C), pages 84-96.
  35. Friedman, Daniel, 1993. "How Trading Institutions Affect Financial Market Performance: Some Laboratory Evidence," Economic Inquiry, Western Economic Association International, vol. 31(3), pages 410-435, July.
  36. Davis, Douglas D. & Harrison, Glenn W. & Williams, Arlington W., 1993. "Convergence to nonstationary competitive equilibria : An experimental analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 22(3), pages 305-326, December.
  37. Sunil Sharma & Sushil Bikhchandani, 2000. "Herd Behavior in Financial Markets; A Review," IMF Working Papers 00/48, International Monetary Fund.
  38. Stephen L. Cheung & Andrew Coleman, 2014. "Relative Performance Incentives and Price Bubbles in Experimental Asset Markets," Southern Economic Journal, Southern Economic Association, vol. 81(2), pages 345-363, October.
  39. 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.
  40. Lucy F. Ackert & Narat Charupat & Richard Deaves & Brian D. Kluger, 2006. "The origins of bubbles in laboratory asset markets," FRB Atlanta Working Paper 2006-06, Federal Reserve Bank of Atlanta.
  41. Ernan Haruvy & Yaron Lahav & Charles N. Noussair, 2007. "Traders' Expectations in Asset Markets: Experimental Evidence," American Economic Review, American Economic Association, vol. 97(5), pages 1901-1920, December.
  42. Adriana Breaban & Charles N. Noussair, 2014. "Fundamental value trajectories and trader characteristics in an asset market experiment," Working Papers 2014/08, Economics Department, Universitat Jaume I, Castellón (Spain).
  43. Abhijit V. Banerjee, 1992. "A Simple Model of Herd Behavior," The Quarterly Journal of Economics, Oxford University Press, vol. 107(3), pages 797-817.
  44. Colombo, Luca & Femminis, Gianluca, 2008. "The social value of public information with costly information acquisition," Economics Letters, Elsevier, vol. 100(2), pages 196-199, August.
  45. Smith, Vernon L & Suchanek, Gerry L & Williams, Arlington W, 1988. "Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets," Econometrica, Econometric Society, vol. 56(5), pages 1119-1151, September.
  46. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
  47. Urs Fischbacher, 2007. "z-Tree: Zurich toolbox for ready-made economic experiments," Experimental Economics, Springer;Economic Science Association, vol. 10(2), pages 171-178, June.
  48. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  49. 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 955-981, September.
  50. Grossman, Sanford J, 1976. "On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information," Journal of Finance, American Finance Association, vol. 31(2), pages 573-585, May.
  51. Friedman, Daniel & Ostroy, Joseph, 1995. "Competitivity in Auction Markets: An Experimental and Theoretical Investigation," Economic Journal, Royal Economic Society, vol. 105(428), pages 22-53, January.
  52. Cason, Timothy N. & Friedman, Daniel, 1996. "Price formation in double auction markets," Journal of Economic Dynamics and Control, Elsevier, vol. 20(8), pages 1307-1337, August.
  53. Timothy N. Cason & Daniel Friedman, 1997. "Price Formation in Single Call Markets," Econometrica, Econometric Society, vol. 65(2), pages 311-346, March.
  54. Robert Bloomfield & Maureen O'Hara & Gideon Saar, 2009. "How Noise Trading Affects Markets: An Experimental Analysis," Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2275-2302, June.
  55. Charles N. Noussair, 2010. "Peaks and valleys: Price discovery in experimental asset markets with non-monotonic fundamentals," Journal of Economic Studies, Emerald Group Publishing, vol. 37(2), pages 152-180, May.
  56. Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April.
  57. Smith, Vernon L, et al, 1982. "Competitive Market Institutions: Double Auctions vs. Sealed Bid-Offer Auctions," American Economic Review, American Economic Association, vol. 72(1), pages 58-77, March.
  58. Jonathan E. Alevy & Michael S. Haigh & John A. List, 2007. "Information Cascades: Evidence from a Field Experiment with Financial Market Professionals," Journal of Finance, American Finance Association, vol. 62(1), pages 151-180, 02.
  59. Fred E. Williams, 1973. "The Effect of Market Organization on Competitive Equilibrium: the Multi-unit Case," Review of Economic Studies, Oxford University Press, vol. 40(1), pages 97-113.
  60. Camerer, Colin & Weigelt, Keith, 1991. "Information Mirages in Experimental Asset Markets," The Journal of Business, University of Chicago Press, vol. 64(4), pages 463-493, October.
  61. Ackert, Lucy F. & Church, Bryan K. & Zhang, Ping, 2004. "Asset prices and informed traders' abilities: Evidence from experimental asset markets," Accounting, Organizations and Society, Elsevier, vol. 29(7), pages 609-626, October.
  62. repec:eee:beexfi:v:8:y:2015:i:c:p:1-17 is not listed on IDEAS
  63. Beja, Avraham & Goldman, M Barry, 1980. " On the Dynamic Behavior of Prices in Disequilibrium," Journal of Finance, American Finance Association, vol. 35(2), pages 235-248, May.
  64. Alfarano, Simone & Camacho, Eva & Morone, Andrea, 2015. "Do investors rely too much on public information to be justified by its accuracy? An experimental study," FinMaP-Working Papers 30, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  65. Copeland, Thomas E & Friedman, Daniel, 1992. "The Market Value of Information: Some Experimental Results," The Journal of Business, University of Chicago Press, vol. 65(2), pages 241-266, April.
  66. Avraham Beja., 1976. "The Limited Information Efficiency of Market Processes," Research Program in Finance Working Papers 43, University of California at Berkeley.
  67. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  68. Darren Duxbury, 2015. "Behavioral finance: insights from experiments I: theory and financial markets," Review of Behavioral Finance, Emerald Group Publishing, vol. 7(1), pages 78-96, June.
  69. Jon Ketcham & Vernon L. Smith & Arlington W. Williams, 1984. "A Comparison of Posted-Offer and Double-Auction Pricing Institutions," Review of Economic Studies, Oxford University Press, vol. 51(4), pages 595-614.
  70. Andrea Morone, 2008. "Financial markets in the laboratory: an experimental analysis of some stylized facts," Quantitative Finance, Taylor & Francis Journals, vol. 8(5), pages 513-532.
  71. Charles R. Schnitzlein, 2002. "Price Formation and Market Quality When the Number and Presence of Insiders Is Unknown," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1077-1109.
  72. Giusti, Giovanni & Jiang, Janet Hua & Xu, Yiping, 2012. "Eliminating Laboratory Asset Bubbles by Paying Interest on Cash," MPRA Paper 37321, University Library of Munich, Germany.
  73. Hailiang Chen & Prabuddha De & Yu (Jeffrey) Hu & Byoung-Hyoun Hwang, 2014. "Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media," Review of Financial Studies, Society for Financial Studies, vol. 27(5), pages 1367-1403.
  74. Van Boening, Mark V. & Williams, Arlington W. & LaMaster, Shawn, 1993. "Price bubbles and crashes in experimental call markets," Economics Letters, Elsevier, vol. 41(2), pages 179-185.
  75. Dennis Dittrich & Boris Maciejovsky, "undated". "Information Dissemination on Asset Markets with Endogenous and Exogenous Information: An Experimental Approacha," Papers on Strategic Interaction 2002-03, Max Planck Institute of Economics, Strategic Interaction Group.
  76. Jürgen Huber & Michael Kirchler, 2012. "The impact of instructions and procedure on reducing confusion and bubbles in experimental asset markets," Experimental Economics, Springer;Economic Science Association, vol. 15(1), pages 89-105, March.
  77. Arato Hiroki & Nakamura Tomoya, 2011. "The Benefit of Mixing Private Noise into Public Information in Beauty Contest Games," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 11(1), pages 1-17, March.
  78. John D. Hey & Andrea Morone, 2004. "Do Markets Drive Out Lemmings-or Vice Versa?," Economica, London School of Economics and Political Science, vol. 71(284), pages 637-659, November.
  79. Baghestanian, Sascha & Gortner, Paul & Massenot, Baptiste, 2015. "Compensation schemes, liquidity provision, and asset prices: An experimental analysis," SAFE Working Paper Series 108, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:zbw:ifwkwp:2060. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.