English, Article, Journal or magazine article edition: Herding and Contrarian Behavior in Financial Markets - An Internet Experiment Jörg Oechssler; Mathias Drehmann; Joerg Oechssler; ...

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Bookmark: http://trove.nla.gov.au/version/52418
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
Author
  • Jörg Oechssler
  • Mathias Drehmann
  • Joerg Oechssler
  • Andreas Roider
Physical Description
  • preprint
Notes
  • RePEc:bon:bonedp:bgse25_2002
  • RePEc:wpa:wuwpex:0210001
  • RePEc:cdl:ucsbec:1179
  • Herding, informational cascades, contrarian behavior, internet experiment
  • RePEc:ecm:nawm04:55
  • We report results of an internet experiment designed to test the theory of informational cascades in financial markets (Avery and Zemsky, AER, 1998). More than 6400 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that the presence of a flexible market price prevents herding. However, the presence of contrarian behavior, which can (partly) be rationalized via error models, distorts prices, and even after 20 decisions convergence to the fundamental value is rare. We also report some interesting differences with respect to subjects' fields of study. Reassuringly, the behavior of the consultants turns out to be not significantly different from the remaining subjects.
  • RePEc:trf:wpaper:7
  • We report results of an internet experiment designed to test the theory of informational cascades in financial markets (Avery and Zemsky, AER, 1998). More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that the presence of a flexible market price prevents herding. However, the presence of contrarian behavior, which can (partly) be rationalized via error models, distorts prices, and even after 20 decisions convergence to the fundamental value is rare. We also study the effects of transaction costs and the expectations of subjects with respect to future prices. Finally, we report some interesting differences with respect to subjects' fields of study.
  • informational cascades, herding, contrarians, experiment, internet,
  • RePEc:cdl:ucsbec:18-03
  • We report results of an internet experiment designed to test the theory of informational cascades in financial markets. More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that the presence of a flexible market price prevents herding. However, the presence of contrarian behavior, which can (partly) be rationalized via error models, distorts prices, and even after 20 decisions convergence to the fundamental value is rare. We also study the effects of transaction costs and the expectations of subjects with respect to future prices. Finally, we look at the behavior of various subsamples of our heterogeneous subject pool.
  • herd behavior, informational cascades, contrarian investors, market efficiency, internet experiment
  • RePEc:wpa:wuwpfi:0210005
Language
  • English
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