Market liquidity and excess volatility: theory and experiment

DOI10.1016/j.jedc.2022.104442zbMath1492.91350OpenAlexW4281566622MaRDI QIDQ2152347

Yanyan Li

Publication date: 8 July 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104442

zbMATH Keywords

experimentmarket liquidityexcess volatility

Mathematics Subject Classification ID

Applications of game theory (91A80) Financial markets (91G15)

Uses Software

• ORSEE

Cites Work

• Clock games: theory and experiments
• LEARNING AND EXCESS VOLATILITY
• Bank Runs, Deposit Insurance, and Liquidity
• Herd Behavior and Contagion in Financial Markets
• The Impact of Uncertainty Shocks
• Liquidity and Financial Market Runs
• Really Uncertain Business Cycles
• Nonmetric test of the minimax theory of two-person zerosum games.
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
• Nonlinearity between finance and growth

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