Guarino, A;
Cipriani, M;
Tagliati, F;
Guazzarotti, G;
Fischer, S;
(2018)
Informational Contagion in the Laboratory.
Review of Finance
, 22
(3)
pp. 877-904.
10.1093/rof/rfx031.
Preview |
Text
Information_Contagion_Experiment_Oct_21.pdf - Accepted Version Download (2MB) | Preview |
Abstract
We study the informational channel of financial contagion in the laboratory. In our experiment, two markets with privately informed subjects open sequentially. Subjects in the second market observe the history of trades and prices in the first market. Although in both markets private information is imperfectly aggregated, subjects in the second market make correct inferences from the information coming from the first market. As theory predicts, when fundamentals are correlated, contagion occurs in the laboratory; in contrast, with independent fundamentals, there is no contagion effect. In both cases, the correlation between asset prices is very close to the theoretical one.
| Type: | Article |
|---|---|
| Title: | Informational Contagion in the Laboratory |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1093/rof/rfx031 |
| Publisher version: | https://doi.org/10.1093/rof/rfx031 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Financial Contagion, Informational Spillovers, Experimental Finance |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1528734 |
Archive Staff Only
 |
View Item |
