Market Panics, Frenzies, and Informational Efficiency: Theory and Experiments

• 成果类型: Article
• 署名作者: Kendall, Chad
• 署名单位: University of Southern California
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20180190
• 发表日期: 2020
• 页码: 76-115
• 关键词: investment strategies; contrarian behavior; prospect-theory; Herd behavior; price; crashes; bubbles; MODEL; game; expectations

摘要

In a market rush., the fear of future adverse price movements causes traders to trade before they become well informed, reducing the informational efficiency of the market. I derive theoretical conditions under which market rushes are equilibrium behavior and study how well these conditions organize trading behavior in a laboratory implementation of the model. Market rushes, including both panics and frenzies, occur more frequently when predicted by theory. However, subjects use commonly discussed, momentum-like strategies that lead to informational losses not predicted by theory, suggesting that these strategies may exacerbate both the occurrence and consequences of panics and frenzies.