An Experimental Study Of Asset Markets

This dissertation selects the experimental study of asset markets as the research thesis. We use experimental methods to address tentative study on asset markets systematically. Known as the "Father of Experimental Economics" , Dr. Smith was awarded the 2002 Nobel Prize in economics. This indicates Experimental Methods has been canonized by Mainstream Economics, and become irreplaceable methods in economic study. If statistics just holds an auxiliary position in traditional economics, it holds an important position in experimental economics, from the design of experiments, the procedure of experiments to the analysis of experimental data. We hope this dissertation will reveal the advantage of experimental methods to our researchers, and it provides a new original thinking and research method for the study of asset markets in our country. Meanwhile, based on the experimental conclusions, we present some suggestions for the construction of our asset markets. So this dissertation has the theoretical and realistic significance.This dissertation has six chapters, the main contents are as follows. First we discuss how to scientifically design economics experiments, and based on the design principles, we conduct three series of asset market experiments: asset market experiments under symmetric information, asset market experiments under asymmetric information, asset market experiments under trade costs, price limits and short selling. We use statistical methods to analyse experimental data, and based on the statistical analytical conclusions to verify and validate some financial theories, models and policies. Finally wepresent three suggestions for the construction of our asset markets.In this dissertation, our main conclusions of experimental study are the following: (1) Information asymmetries are the fundamental reason for inefficient asset markets; (2) The investors in asset markets are not fully rational, they are ordinary people, have cognitive and behavioral bias, they are prone to overconfidence and thus cause to over traded; (3) Short selling mechanism not only can move price to levels justified by fundamentals, and help to improve market efficiency, but to some extent can decrease the manipulation behavior of the insider.The major innovation of this dissertation includes:(1) In China, for the first time, we use experimental methods to address study on asset markets systematically. We design a series of economics experiments, and make all experimental programs.(2) Succeed to organize three series of asset markets experiments, which verify and validate some financial theories and models. Without precedent in our country, we prove the feasibility to study asset markets using experimental methods, and present some suggestions for the construction of our asset markets based on our experiments conclusions.(3) From the angle of designing economics experiments, we conclude and presente five aspects that researchers must pay attention to, that is, experimental procedure standardization, experimental motivation saliency, experimental instruction unbiasedness, calibration definition, and design parallelism.