The impact of an insider and short-selling on bubble formation in experimental financial market

Thorsten Chmura (), Ye Bai and David Bauder

Journal of International Financial Markets, Institutions and Money, 2019, vol. 60, issue C, 211-230

Abstract: This study extends the institutional design of the existing literature focusing solely on short selling by introducing an insider who is informed of the dividend distribution and experienced outsiders who gain information via trading experience. Our findings show that introducing short selling and an insider does reduce the bubble duration and size. At the same time, volatility is significantly reduced. Furthermore, the presence of the single insider reduces the large undervaluation and overall turnover in pure short selling treatment and generates small positive bubbles. Once the outsiders gain information via trading experience, there are small positive bubbles with reduced volatility.

Keywords: Experimental economics; Asset market; Bubble; Short selling; Insider trading; Market efficiency (search for similar items in EconPapers)
JEL-codes: C92 D84 G10 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S104244311830235X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:60:y:2019:i:c:p:211-230

DOI: 10.1016/j.intfin.2019.01.003

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().