Market Panics, Frenzies, and Informational Efficiency: Theory and Experiment
研究市场恐慌和狂热如何降低信息效率，通过理论推导和实验室实验检验条件，发现交易者使用动量策略导致理论未预测的信息损失。
In a market rush, the fear of future adverse price movements causes traders to trade before they become well informed, reducing the informational efficiency of the market. I derive theoretical conditions under which market rushes are equilibrium behavior and study how well these conditions organize trading behavior in a laboratory implementation of the model. Market rushes, including both panics and frenzies, occur more frequently when predicted by theory. However, subjects use commonly discussed, momentum-like strategies that lead to informational losses not predicted by theory, suggesting that these strategies may exacerbate both the occurrence and consequences of panics and frenzies.