Fiche du document
9 décembre 2019
- doi: 10.4000/fcs.3821
Ce document est lié à :
info:eu-repo/semantics/reference/issn/1287-1141
Ce document est lié à :
info:eu-repo/semantics/reference/issn/2261-5512
All rights reserved , info:eu-repo/semantics/openAccess
Mots-clés
Market efficiency Uncertainty Asymmetric information Under‑reaction Laboratory experimentsSujets proches
Information, Asymmetric Asymmetric information Asymmetry, InformationCiter ce document
Mondher Bouattour et al., « Efficient market hypothesis: an experimental study with uncertainty and asymmetric information », Finance Contrôle Stratégie, ID : 10.4000/fcs.3821
Métriques
Partage / Export
Résumé
The efficient market hypothesis has been the subject of a wide debate over the past decades. This paper investigates the market efficiency by using laboratory experiments. We ran three experimental treatments with two distinguishing dimensions: uncertainty and asymmetric information. Results show that both uncertainty and information asymmetry affect the level of market efficiency with information asymmetry having a pronounced impact. Market efficiency is reduced when the fundamental value of stocks is volatile. In addition, we find that participants under-react to information and that this under-reaction is not corrected during trading periods and prices remain stable.