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Dynamic Stock Markets with Multiple Assets: An Experimental Analysis

John O'Brien and Sanjay Srivastava
The Journal of Finance
Vol. 46, No. 5 (Dec., 1991), pp. 1811-1838
Published by: Wiley for the American Finance Association
DOI: 10.2307/2328574
Stable URL: http://www.jstor.org/stable/2328574
Page Count: 28
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Dynamic Stock Markets with Multiple Assets: An Experimental Analysis
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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.

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