Informational contagion in the laboratory

Arbeitspapier

We study the informational channel of financial contagion in the laboratory. In our experiment, two markets with correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening second also observe the history of trades and prices in the first market. We find that although in both markets private information is only imperfectly aggregated, subjects are able to make correct inferences based on the public information coming from the market that opens first. As a result, we observe financial contagion in the laboratory: Indeed, the correlation between asset prices is very close to that predicted by the theory. Finally, as theory predicts, there is no contagion when asset fundamentals are independent: That is, subjects only react to the history of prices and trades in the first market when it is rational to do so because they convey information.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Staff Report ; No. 715

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Design of Experiments: Laboratory, Group Behavior ; Financial Crises ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets
• Thema: information contagion ; laboratory experiment ; equity premium ; stock returns

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Cipriani, Marco ; Guarino, Antonio ; Guazzarotti, Giovanni ; Tagliati, Federico ; Fischer, Sven
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of New York
• (wo): New York, NY
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/120793
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ