The impact of an insider and short-selling on bubble formation in experimental financial market

被引：6

作者：

Chmura, Thorsten ^{[1
]}

Bai, Ye ^{[2
]}

Bauder, David ^{[3
]}

机构：

[1] Nottingham Trent Univ, Nottingham, England

[2] Xian Jiaotong Liverpool Univ, Suzhou, Peoples R China

[3] Univ Munich, LMU Munich, Munich, Germany

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2019年 / 60卷

关键词：

Experimental economics; Asset market; Bubble; Short selling; Insider trading; Market efficiency; SHORT SELLERS; ASSET MARKETS; INFORMATION; EXPECTATIONS; CRASHES; COMPETITION; EFFICIENCY; TRADERS;

D O I：

10.1016/j.intfin.2019.01.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study extends the institutional design of the existing literature focusing solely on short selling by introducing an insider who is informed of the dividend distribution and experienced outsiders who gain information via trading experience. Our findings show that introducing short selling and an insider does reduce the bubble duration and size. At the same time, volatility is significantly reduced. Furthermore, the presence of the single insider reduces the large undervaluation and overall turnover in pure short selling treatment and generates small positive bubbles. Once the outsiders gain information via trading experience, there are small positive bubbles with reduced volatility. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：211 / 230

页数：20

共 29 条

[1] Margin, short selling, and lotteries in experimental asset markets [J].