Dynamic Stock Markets with Multiple Assets: An Experimental Analysis
通过多期多资产实验市场检验理性预期假说，发现市场在信息聚合上普遍低效，但套利关系成立且标准效率检验无法检测到这种低效，说明无套利和检验不显著不足以证明市场信息有效。
ABSTRACT We study the performance of the rational expectations hypothesis in multiperiod experimental markets with multiple assets. We find that the markets are generally inefficient from the point of view of full information aggregation. However, arbitrage relationships hold, and it is not possible to detect the informational inefficiency by using some standard tests of market efficiency. These findings suggest that the lack of arbitrage opportunities and the failure of common tests to reject inefficiency are not sufficient to conclude that a market is informationally efficient.