By means of the experimental oral double auction markets, this

thesis shows that the Hayek hypothesis might not be valid when

uncertainty is introduced into the markets. More precisely ,

our experimental results evidence that the efficiency loss

increases as the degree of uncertainty increases. Furthermore,

as our convergence analyses suggests, the flat sup of the

efficiency and the flat inf of the P-Q norm in Experiment 1,

the experiment without uncertainty, seems to reflect the market

behavior characterized by rational expectations or rational

learning. On the other hand, the decreasing sup of the

efficiency and the increasing inf of the P-Q norm in

Experiment 2, the experiment with uncertainty, seems to reflect

the market behaviour characterized by bounded rationality or

animal spirits. Therefore, a phase transition from rational

expectations to animal spirits might be parameterized by the

degree of uncertainty. These findings have important

implications for the current controversy on bounded rationality

in macroeconomics. They also reflect the limitation of using

the method of certainty equivalence in treating uncertainty

when the market is regarded as parallel distributed processors

rather than a central unit processor.

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