| 1. |
- Huber, Jürgen, et al.
(författare)
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The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab
- 2012
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Ingår i: Journal of Economic Dynamics & Control. - : Elsevier BV. - 0165-1889. ; 36:8, s. 1248-1266
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Tidskriftsartikel (refereegranskat)abstract
- As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how "stylized facts", namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets. (C) 2012 Elsevier B.V. All rights reserved.
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| 2. |
- Huber, Jürgen, et al.
(författare)
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The impact of instructions and procedure on reducing confusion and bubbles in experimental asset markets
- 2012
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Ingår i: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 15:1, s. 89-105
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Tidskriftsartikel (refereegranskat)abstract
- In 1988 Smith, Suchanek, and Williams (henceforth SSW) introduced a very influential model to test the efficiency of experimental asset markets. They and many subsequent studies observe that bubbles are robust to many treatment changes. Instead, bubbles are avoided only when subjects are experienced in the same setting, when the dividend-process is experienced by subjects beforehand, or when the fundamental value-process (FV) is presented in a well understandable context to reduce subjects’ confusion. We extend this line of research and show that even marginal changes in the experimental instructions/procedure can eliminate bubbles in the SSW-model. In particular, we show that mispricing is significantly reduced and overvaluation is eliminated completely (i) when the fundamental value process is displayed in a graph instead of a table or (ii) when subjects are asked about the current fundamental value at the beginning of each period. From a questionnaire conducted at the end of the experiment we infer that these treatment changes help to improve subjects’ understanding of the FV-process. We conclude that all bubble reducing factors have one common feature: they allow subjects to understand the non-intuitive declining FV-process of the SSW-model better and thus reduce subjects’ confusion about the FV-process.
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| 3. |
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| 4. |
- Sutter, Matthias, 1968, et al.
(författare)
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Bubbles and information. An experiment
- 2012
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Ingår i: Management Science. - : Institute for Operations Research and the Management Sciences (INFORMS). - 0025-1909 .- 1526-5501. ; 58:2, s. 384-393
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Tidskriftsartikel (refereegranskat)abstract
- A symmetric distribution of information, although omnipresent in real markets, is rarely considered in experimental economics. We study whether information about imminent future dividends can abate bubbles in experimental asset markets. We find that markets with asymmetrically informed traders have significantly smaller bubbles than markets with symmetrically informed or uninformed traders. Hence, fundamental values are better reflected in market prices—implying higher market efficiency—when some traders know more than others about future dividends. This suggests that bubbles are abated when traders know that a subset of them have an edge (in information) over others.
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