Nonspeculative Bubbles in Experimental Asset Markets: Lack of Common Knowledge of Rationality vs. Actual Irrationality

by: Vivian Lei, Charles N Noussair, Charles R Plott

Econometrica, Vol. 69, No. 4. (2001), pp. 831-859.

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摘要

We report the results of an experiment designed to study the role of speculation in the formation of bubbles and crashes in laboratory asset markets. In a setting in which speculation is not possible, bubbles and crashes are observed. The results suggest that the departures from fundamental values are not caused by the lack of common knowledge of rationality leading to speculation, but rather by behavior that itself exhibits elements of irrationality. Much of the trading activity that accompanies bubble formation, in markets where speculation is possible, is due to the fact that there is no other activity available for participants in the experiment.

@article{citeulike:1923613, abstract = {We report the results of an experiment designed to study the role of speculation in the formation of bubbles and crashes in laboratory asset markets. In a setting in which speculation is not possible, bubbles and crashes are observed. The results suggest that the departures from fundamental values are not caused by the lack of common knowledge of rationality leading to speculation, but rather by behavior that itself exhibits elements of irrationality. Much of the trading activity that accompanies bubble formation, in markets where speculation is possible, is due to the fact that there is no other activity available for participants in the experiment.}, author = {Lei, Vivian and Noussair, Charles N. and Plott, Charles R. }, citeulike-article-id = {1923613}, journal = {Econometrica}, keywords = {bubbles}, number = {4}, pages = {831--859}, posted-at = {2007-11-15 18:52:13}, priority = {2}, title = {Nonspeculative Bubbles in Experimental Asset Markets: Lack of Common Knowledge of Rationality vs. Actual Irrationality}, url = {http://www.jstor.org/stable/2692246}, volume = {69}, year = {2001} }

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TY - JOUR ID - citeulike:1923613 L3 - citeulike-article-id:1923613 TI - Nonspeculative Bubbles in Experimental Asset Markets: Lack of Common Knowledge of Rationality vs. Actual Irrationality JF - Econometrica VL - 69 IS - 4 SP - 831 EP - 859 N2 - We report the results of an experiment designed to study the role of speculation in the formation of bubbles and crashes in laboratory asset markets. In a setting in which speculation is not possible, bubbles and crashes are observed. The results suggest that the departures from fundamental values are not caused by the lack of common knowledge of rationality leading to speculation, but rather by behavior that itself exhibits elements of irrationality. Much of the trading activity that accompanies bubble formation, in markets where speculation is possible, is due to the fact that there is no other activity available for participants in the experiment. KW - bubbles AU - Lei, Vivian AU - Noussair, Charles AU - Plott, Charles PY - 2001/// UR - http://www.jstor.org/stable/2692246 ER -

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