Efficient market hypothesis: an experimental study with uncertainty and asymmetric information
The efficient market hypothesis has been the subject of a wide debate over the past decades. This paper investigates the market efficiency by using laboratory experiments. We ran three experimental treatments with two distinguishing dimensions: uncertainty and asymmetric information. Results show th...
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| Dans: | URI:https://journals.openedition.org/fcs, |
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| Auteurs principaux: | , |
| Format: | Article ou chapitre numérique |
| Langue: | Anglais |
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Finance Contrôle Stratégie
2019
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| Accès en ligne: | Accès Université d'Orléans et IFPM Accès Université d'Orléans et IFPM |
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openedition-oai:revues.org:fcs_3821 |
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openedition |
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openedition-oai:revues.org:fcs_3821 https://doi.org/10.4000/fcs.3821 urn:doi:10.4000/fcs.3821 en https://journals.openedition.org/fcs/3821 2019-12-09T01:00:00Z info:eu-repo/semantics/openAccess article info:eu-repo/semantics/article urn:handle:20.500.13089/gaqh All rights reserved Efficient market hypothesis: an experimental study with uncertainty and asymmetric information Finance Contrôle Stratégie Association FCS info:eu-repo/semantics/reference/issn/2261-5512 info:eu-repo/semantics/reference/issn/1287-1141 URI:https://journals.openedition.org/fcs Bouattour, Mondher Martinez, Isabelle Market efficiency Uncertainty Asymmetric information Under‑reaction Laboratory experiments The efficient market hypothesis has been the subject of a wide debate over the past decades. This paper investigates the market efficiency by using laboratory experiments. We ran three experimental treatments with two distinguishing dimensions: uncertainty and asymmetric information. Results show that both uncertainty and information asymmetry affect the level of market efficiency with information asymmetry having a pronounced impact. Market efficiency is reduced when the fundamental value of stocks is volatile. In addition, we find that participants under-react to information and that this under-reaction is not corrected during trading periods and prices remain stable. |
| collection |
OpenEdition Journal |
| language |
Anglais |
| format |
Article ou chapitre numérique |
| building |
0/Bibliothèque numérique/ 1/Bibliothèque numérique/OpenEdition Journals/ |
| topic |
Market efficiency Uncertainty Asymmetric information Under‑reaction Laboratory experiments |
| spellingShingle |
Market efficiency Uncertainty Asymmetric information Under‑reaction Laboratory experiments Bouattour, Mondher Martinez, Isabelle Efficient market hypothesis: an experimental study with uncertainty and asymmetric information |
| description |
The efficient market hypothesis has been the subject of a wide debate over the past decades. This paper investigates the market efficiency by using laboratory experiments. We ran three experimental treatments with two distinguishing dimensions: uncertainty and asymmetric information. Results show that both uncertainty and information asymmetry affect the level of market efficiency with information asymmetry having a pronounced impact. Market efficiency is reduced when the fundamental value of stocks is volatile. In addition, we find that participants under-react to information and that this under-reaction is not corrected during trading periods and prices remain stable. |
| author |
Bouattour, Mondher Martinez, Isabelle |
| author_facet |
Bouattour, Mondher Martinez, Isabelle |
| author_sort |
Bouattour, Mondher |
| title |
Efficient market hypothesis: an experimental study with uncertainty and asymmetric information |
| title_short |
Efficient market hypothesis: an experimental study with uncertainty and asymmetric information |
| title_full |
Efficient market hypothesis: an experimental study with uncertainty and asymmetric information |
| title_fullStr |
Efficient market hypothesis: an experimental study with uncertainty and asymmetric information |
| title_full_unstemmed |
Efficient market hypothesis: an experimental study with uncertainty and asymmetric information |
| title_sort |
efficient market hypothesis: an experimental study with uncertainty and asymmetric information |
| publisher |
Finance Contrôle Stratégie |
| publishDate |
2019 |
| container_title |
URI:https://journals.openedition.org/fcs |
| url |
https://ezproxy.univ-orleans.fr/login?url=https://doi.org/10.4000/fcs.3821 https://ezproxy.univ-orleans.fr/login?url=https://journals.openedition.org/fcs/3821 |
| _version_ |
1877294149618630656 |