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How Do Markets React to Un(expected) Fundamental Shocks? An Experimental Analysis

Author

Listed:
  • Wael Bousselmi

    (MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier)

  • Patrick Sentis

    (MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier)

  • Marc Willinger

    (LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - INRA - Institut National de la Recherche Agronomique - Montpellier SupAgro - Centre international d'études supérieures en sciences agronomiques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier)

Abstract
We perform a market experiment to investigate how prices react to the new information. Specifically, westudy experimentally the impact of expected/unexpected fundamental value shocks in an asset market. Subjects were involved in two consecutive experimental markets, market 1 and market 2, with a constant fundamental value as in Noussairet al.(2001).Market 2is similar to the one studied by Weber and Welfens (2007) in which the fundamental value is stochastic.

Suggested Citation

  • Wael Bousselmi & Patrick Sentis & Marc Willinger, 2016. "How Do Markets React to Un(expected) Fundamental Shocks? An Experimental Analysis," Post-Print hal-02073079, HAL.
    • Handle: RePEc:hal:journl:hal-02073079
    as

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