The effect of short selling on bubbles and crashes in experimental spot asset markets

• 成果类型: Article
• 署名作者: Haruvy, Ernan; Noussair, Charles N.
• 署名单位: University of Texas System; University of Texas Dallas; Emory University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00868.x
• 发表日期: 2006
• 页码: 1119-1157
• 关键词: SPECULATIVE INVESTOR BEHAVIOR; SHORT SALES; price; expectations; uncertainty; equilibria; experience; games; RISK

摘要

A series of experiments illustrate that relaxing short-selling constraints lowers prices in experimental asset markets, but does not induce prices to track fundamentals. We argue that prices in experimental asset markets are influenced by restrictions on short-selling capacity and limits on the cash available for purchases. Restrictions on short sales in the form of cash reserve requirements and quantity limits on short positions behave in a similar manner. A simulation model, based on DeLong et al. (1990), generates average price patterns that are similar to the observed data.