Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.690583
Title: Essays on bubbles and crashes in experimental asset markets
Author: Zhang, Kun
Awarding Body: University of Aberdeen
Current Institution: University of Aberdeen
Date of Award: 2015
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Abstract:
The recent financial crisis highlights the importance of understanding factors that affect financial market price efficiency. Experimental methods allow us to control the intrinsic value of an asset, thus become an attractive technique for studying asset market price efficiency. This dissertation consist three essays, all of which devoted to experimental asset markets. The first essay explores the role of liquidity on the mispricing of an asset. This issue has been the subject of Kirchler et al. (2012) AER paper. By re-analysing the evidence in that article, the first essay concluded that their experimental design have a weakness that biased the results. Therefore, I designed an experiment that eliminates the weakness. The results of my experiment indicate that Constant C/A ratio could reduce mispricing of experimental asset market significantly, but not necessary to lead to undervaluation. The second essay explores how the description of the asset market to the human participants influences the mispricing of the asset being traded. This issue has been the subject of Kirchler et al. (2012) AER paper. When re-assessing the evidence, I was puzzled by the findings and thought that the small sample size of the dataset collected might explain why a minor change to the description of the asset market provided to the participants produced completely different behaviour. This essay replicates the experiment, with a larger sample size and relies on different statistical tests to analyse the data. I find that the treatment with a different contest (“stocks of a depletable of gold mine”) exhibits similar level of mispricing and overvaluation with the baseline treatment., which is not consistent with Kirchler et al. (2012). The third essay is about an experiment that compares how team decision-making vs. individual decision-making differ in how they influence the mispricing of the asset being traded. The main result is that team decision-making does not result in smaller price bubbles. However team decision-making result in less variance among markets (sessions). Further more, my experimental design allows us to record the chat dialogues, which enable us to have insight into team decision-making. The content of the messages allows us explore the reasons behind traders' asks and bids.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.690583  DOI: Not available
Keywords: Asset-liability management ; Business cycles
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