Bouattour, Mondher and Martinez, Isabelle (2019) Efficient market hypothesis: an experimental study with uncertainty and asymmetric information. Finance Contrôle Stratégie, vol.22 (n°4).

Abstract

The efficient market hypothesis has been the subject of a wide debate over the past decades. This paper investigates the market efficiency by using laboratory experiments. We ran three experimental treatments with two distinguishing dimensions: uncertainty and asymmetric information. Results show that both uncertainty and information asymmetry affect the level of market efficiency with information asymmetry having a pronounced impact. Market efficiency is reduced when the fundamental value of stocks is volatile. In addition, we find that participants under-react to information and that this under-reaction is not corrected during trading periods and prices remain stable.