A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
- Topic classification is ongoing.
- Please kindly let me know [mingze.gao@mq.edu.au] in case of any errors.
Your search
Publication year
Dynamic Stock Markets With Multiple Assets: An Experimental Analysis.
Resource type
Authors/contributors
- O'Brien, John (Author)
- Srivastava, Sanjay (Author)
Title
Dynamic Stock Markets With Multiple Assets: An Experimental Analysis.
Abstract
The authors study the performance of the rational expectations hypothesis in multiperiod experimental markets with multiple assets. They find that the markets are generally inefficient from the point of view of full information aggregation. However, arbitrage relationships hold and it is not possible to detect the informational inefficiency by using some standard tests of market efficiency. These findings suggest that the lack of arbitrage opportunities and the failure of common tests to reject inefficiency are not sufficient to conclude that a market is informationally efficient.
Publication
The Journal of Finance
Volume
46
Issue
5
Pages
1811-38
Date
1991-12
Citation
O’Brien, J., & Srivastava, S. (1991). Dynamic Stock Markets With Multiple Assets: An Experimental Analysis. The Journal of Finance, 46, 1811–1838.
Journals
Link to this record