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Overpricing persistence in experimental asset markets with intrinsic uncertainty

Sornette, Didier; Andraszewicz, Sandra; Wu, Ke; Murphy, … - 2020

To study coordination in complex social systems such as financial markets, the authors introduce a new prediction market set-up that accounts for fundamental uncertainty. Nonetheless, the market is designed so that its total value is known, and thus its rationality can be evaluated. In two...

Persistent link: https://www.econbiz.de/10012231540

Gazing through the bubble : an experimental investigation into financial risk-taking using eye-tracking

Toma, Filip-Mihai; Cepoi, Cosmin Octavian; Kubinschi, … - In: Financial innovation : FIN 9 (2023) 1, pp. 1-27

Eye tracking can facilitate understanding irrational decision-making in contexts such as financial risk-taking. For this purpose, we develop an experimental framework in which participants trade a risky asset in a simulated bubble market to maximize individual returns while their eye movements...

Persistent link: https://www.econbiz.de/10014288934

A model of cycles and bubbles under heterogeneous beliefs in financial markets

Burs, Carina - In: Cogent economics & finance 11 (2023) 2, pp. 1-29

, abnormally high asset prices can be caused by financial bubbles. In this model, bubbles can emerge and deflate both in cycles or … rate. This can lead to new stable equilibria, but the emergence and bursting of bubbles cannot be prevented. …

Persistent link: https://www.econbiz.de/10014501110

Speculative bubbles and herding in cryptocurrencies

Haykir, Ozkan; Yagli, Ibrahim - In: Financial innovation : FIN 8 (2022), pp. 1-33

This study investigates speculative bubbles in the cryptocurrency market and factors affecting bubbles during the COVID …-19 pandemic. Our results indicate that each cryptocurrency covered in the study presented bubbles. Moreover, we found … was evident among investors; however, this diminishes during bubbles, indicating that bubbles are not explained by herd …

Persistent link: https://www.econbiz.de/10013368517

Can news-based economic sentiment predict bubbles in precious metal markets?

Maghyereh, Aktham I.; Abdoh, Hussein - In: Financial innovation : FIN 8 (2022), pp. 1-29

This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities … the role of sentiment as a reliable indicator of future bubbles for some metal commodities and found that bubbles were … the price bubbles of precious metals. …

Persistent link: https://www.econbiz.de/10013272710

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

The effect of prospect theory value on asset returns on the Borsa Istanbul

Mollaahmetoğlu, Ebubekir; Altay, Erdinç - In: Borsa Istanbul Review 23 (2023) 5, pp. 1058-1066

The goal of this study is to test the validity of the prospect theory in the Borsa Istanbul (BIST) over the sample … period September 2009 to December 2019. The prospect theory values of the stocks are generated from their historical return … addition to the prospect theory value and test whether prospect theory can predict subsequent stock returns. The results show …

Persistent link: https://www.econbiz.de/10014383543

How does investor sentiment affect stock market crash risk? : evidence from Asia-Pacific markets

An Tuan Nguyen; Nguyễn Thị Nhung - In: Cogent economics & finance 12 (2024) 1, pp. 1-17

This study aims to examine the effect of investor sentiment on stock market crash risk in the Asia-Pacific region. The research employs principal components analysis (PCA) to construct an investor sentiment index, while the Method of Moments Quantile Regression (MMQR) is used to analyze monthly...

Persistent link: https://www.econbiz.de/10015193537

Herd behavior and firm-specific information

Chaiyuth Padungsaksawasdi - In: Cogent economics & finance 8 (2020) 1, pp. 1-19

The study shows critical roles of firm-specific information on herd behavior, which is underexplored in prior literature, albeit an increasing impact of firm-specific information on asset pricing. The main finding demonstrates that three of four selected measures of firm-specific information...

Persistent link: https://www.econbiz.de/10013179692

An empirical analysis for the perceptions of Amman stock exchange's investors

Ali, Mohammad Sami - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 21 (2020) 1, pp. 125-135

Research problem: Although the economy of Jordan witnessed dramatic volatilities and fundamental variables including market-to-book value ratio and interest rate are located at the middle of these variations; there is a lack in literature regarding the impacts of market fundamentals and...

Persistent link: https://www.econbiz.de/10012221927