The Informational Efficiency of Experimental Asset Markets
The Informational Efficiency of Experimental Asset Markets
复制标题
实验资产市场的信息效率
DOI：
10.1086/261233
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发表时间：
1984
影响因子：
8.2
通讯作者：
J. W. Salmon
中科院分区：
文献类型：
--
作者：
D. Friedman;G. Harrison;J. W. Salmon
在设计一般有效市场假设的任何检验时，一个基本的困难是交易者的相关公共和私人信息集的具体化。如果没有一个合理的经验规范的共识，假设的测试仍然是最小的或有争议的。在这项研究中，我们研究了实验性资产市场的效率，其中一个可以明确地识别交易者的公共和私人信息集。我们专注于市场效率是如何受到期货市场的存在，包括不同类型的不确定性和内部信息的设置。我们的实验结果支持了四个结论：（1）无论是否存在期货市场和/或事件不确定性，市场结果都趋向于向强形式的信息有效均衡演化;（2）期货市场的存在明显地稳定了现货价格;（3）期货市场的存在趋向于加速资产市场向更有效的均衡演化，其中存在事件不确定性;（4）期货市场促进了内幕信息的“泄漏”，强式预测优于半强式预测。
A fundamental difficulty in devising any test of general efficient market hypotheses is the specification of the relevant public and private information sets of traders. Without a consensus as to reasonable empirical specifications, tests of the hypotheses remain minimal or controversial. In this study we examine the efficiency of experimental asset markets in which one may unambiguously identify the public and private information sets of traders. We focus on how market efficiency is affected by the presence of futures markets in settings that incorporate different types of uncertainty and inside information. Our experimental results support four conclusions: (1) market outcomes tend to evolve toward strong-form informationally efficient equilibria, whether or not futures markets and/or event uncertainty are present; (2) the presence of futures markets clearly stabilizes spot prices; (3) the presence of futures markets tends to speed the evolution of asset markets to more efficient equilibria where there is event uncertainty; and (4) futures markets promote the "leakage" of inside information, with strong-form predictions outperforming semi-strong-form predictions.