ОСОБЕННОСТИ ИЗМЕРЕНИЯ ЦЕНОВЫХ ПУЗЫРЕЙ НА ЭКСПЕРИМЕНТАЛЬНЫХ ФИНАНСОВЫХ РЫНКАХ: РАЗДЕЛЕНИЕ ПЕРЕОЦЕНКИ И НЕДООЦЕНКИ АКТИВА

科研成果: Article同行评审

摘要

This article analyzes the different measures of price bubbles in experimental financial markets. These measures are usually based on the difference between real trade prices and fundamental values. In experimental financial markets, the fundamental value of an asset is usually predetermined by organizers and is known. That is what distinguishes them from the real financial markets and makes it possible to measure price bubbles. Different ways of this measurement have predetermined the different measures of price bubbles. At the same time, researchers often use just one or two measures and do not provide any explanation of their choices. This paper analyses the strengths and weaknesses of the main existing measures. The review leads to the proposal of three new measures: relative overvaluation (RO), relative undervaluation (RU) and share of periods with overvaluation (SPWO). The old measures whether did not consider the direction of a deviation of the real trade prices from fundamental ones or allowed positive and negative deviations to compensate each other. This is not the right decision as these deviations have opposite reasons. New measures separate the price deviation for overvaluation and undervaluation that give more opportunities for further research.
投稿的翻译标题Measures of Price Bubbles in Experimental Financial Markets: Separation between Overvaluation and Undervaluation of an Asset
源语言Russian
页(从-至)39-48
页数10
期刊Журнал экономической теории
1
Published - 2018

GRNTI

  • 06.00.00 ECONOMY AND ECONOMIC SCIENCES

Level of Research Output

  • VAK List

指纹 探究 'ОСОБЕННОСТИ ИЗМЕРЕНИЯ ЦЕНОВЫХ ПУЗЫРЕЙ НА ЭКСПЕРИМЕНТАЛЬНЫХ ФИНАНСОВЫХ РЫНКАХ: РАЗДЕЛЕНИЕ ПЕРЕОЦЕНКИ И НЕДООЦЕНКИ АКТИВА' 的科研主题。它们共同构成独一无二的指纹。

引用此