The impact of an insider and short-selling on bubble formation in experimental financial market

Chmura, T. ORCID: 0000-0001-7476-2030, Bai, Y. and Bauder, D., 2019. The impact of an insider and short-selling on bubble formation in experimental financial market. Journal of International Financial Markets, Institutions and Money, 60, pp. 211-230. ISSN 1042-4431

[img]
Preview
Text
1235108_Chmura.pdf - Post-print

Download (1MB) | Preview

Abstract

This study extends the institutional design of the existing literature focusing solely on short selling by introducing an insider who is informed of the dividend distribution and experienced outsiders who gain information via trading experience. Our findings show that introducing short selling and an insider does reduce the bubble duration and size. At the same time, volatility is significantly reduced. Furthermore, the presence of the single insider reduces the large undervaluation and overall turnover in pure short selling treatment and generates small positive bubbles. Once the outsiders gain information via trading experience, there are small positive bubbles with reduced volatility.

Item Type: Journal article
Publication Title: Journal of International Financial Markets, Institutions and Money
Creators: Chmura, T., Bai, Y. and Bauder, D.
Publisher: Elsevier
Date: May 2019
Volume: 60
ISSN: 1042-4431
Identifiers:
NumberType
10.1016/j.intfin.2019.01.003DOI
1235108Other
S104244311830235XPublisher Item Identifier
Divisions: Schools > Nottingham Business School
Depositing User: Jonathan Gallacher
Date Added: 15 Nov 2019 10:13
Last Modified: 21 Jan 2020 03:00
URI: http://irep.ntu.ac.uk/id/eprint/38307

Actions (login required)

Edit View Edit View

Views

Views per month over past year

Downloads

Downloads per month over past year