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Data and Code for: Market Panics, Frenzies, and Informational Efficiency

Version
1
Resource Type
Dataset
Creator
  • Kendall, Chad (University of Southern California, Marshall)
Publication Date
2020-07-23
Free Keywords
market panics; informational efficiency
Description
  • Abstract

    In a market rush, the fear of future adverse price movements causes traders to trade before they become well-informed, reducing the informational efficiency of the market. I derive theoretical conditions under which market rushes are equilibrium behavior and study how well these conditions organize trading behavior in a laboratory implementation of the model. Market rushes, including both panics and frenzies, occur more frequently when predicted by theory. However, subjects use commonly-discussed, momentum-like strategies that lead to informational losses not predicted by theory, suggesting that these strategies may exacerbate both the occurrence and consequences of panics and frenzies.
Availability
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Relations
  • Is version of
    DOI: 10.3886/E110905
Publications
  • Kendall, Chad. “Market Panics, Frenzies, and Informational Efficiency: Theory and Experiment.” American Economic Journal: Microeconomics, n.d.

Update Metadata: 2020-07-23 | Issue Number: 1 | Registration Date: 2020-07-23

Kendall, Chad (2020): Data and Code for: Market Panics, Frenzies, and Informational Efficiency. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E110905V1