It is not just confusion! Strategic uncertainty in an experimental asset market

東京大学大学院経済学研究科 学術交流棟(小島ホール)
1階 セミナー室

花木伸行 氏
Aix-Marseille University

To what extent the observed price deviations from the fundamental values in experimental asset markets Smith, et al. 1988 are caused by strategic uncertainty (uncertainty about others behavior) and by individual bounded rationality (or confusion)? We address this question by comparing the initial, as well as subsequent, price forecasts submitted by subjects in two call market environments a la Haruvy et al 2007 -- one where all six traders are human subjects (6H), and the other where one human subject interacts with five computer traders who submit orders at the fundamental values (1H5C). Subjects in the latter environments are all told how computer traders behave and the fact that all the other traders in their markets are computer traders. Our analysis shows that about 50% of the median initial forecast deviations from the FVs are due to strategic uncertainty and remaining 50% are due to individual bounded rationality. While the effect of strategic uncertainty is larger (about 70%) for subjects with the perfect score (3) in Cognitive Reflection Test (Frederick 2005), it is not significant for those with low scores of CRT (0 or 1).

備考: Microworkshop共催