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.