A STOCK EXCHANGE MARKET IN A CLASSROOM EXPERIMENT

This work presents an experiment on the theory of efficient financial market run in a classroom on Advanced Financial Economics in the degree on Business and Administration in the Faculty of Economics at Valencia University (Spain). The experimental design follows Park (2011). We introduce two major differences regarding Park's work. The first one related to the development of the call double auction market: students played four consecutive trading sessions of five minutes each, and before and after trading they updated their beliefs to give an estimate on the fundamental value of the traded asset. The second one related to the discussion of results from experimental session. Students were asked to answer a questionnaire on the topic and declare their own level of self-confidence regarding to their trading performance. It was very useful to guide the discussion and reinforce students' learning. As learning result, students copied with uncertainty, made expectations on asset's value and traded accordingly. Some of them obtained huge profits from the speculation by selling expensive. At the end, buyers and sellers converged towards prices deviating from the fundamental value a moderate amount of 25 cents (6 percent). Also, buyer's and seller's valuations were close.