Please use this identifier to cite or link to this item:
https://hdl.handle.net/1959.11/6998
Title: | A test of the present value model of stock prices under rational and adaptive expectations using Bursa Malaysia data from 1983 to 2003 | Contributor(s): | Yeong, Nicky (author); Mun Ho, Chong (author); Dollery, Brian E (author); Kogid, Mori (author) | Publication Date: | 2010 | DOI: | 10.1080/13504850903317354 | Handle Link: | https://hdl.handle.net/1959.11/6998 | Abstract: | The rational expectations model has been the central expectations hypothesis used by economists while the adaptive expectations hypothesis has been considered by many as inefficient because expectations cannot fully exploit all available information. The aim of this study is to determine which of these two expectations formation hypotheses best explains the behaviour of investors in the Malaysian stock market. We employ the Chow (1988) methodology in which the two expectations hypotheses are applied to the present value model of stock prices for Malaysian stock market data consisting of stock prices and dividends for 13 companies over 21 years. Our results provide strong statistical support for the adaptive expectations hypothesis. This finding is in line with the empirical findings of Chow and his collaborators. | Publication Type: | Journal Article | Source of Publication: | Applied Economics Letters, 17(18), p. 1835-1839 | Publisher: | Routledge | Place of Publication: | United Kingdom | ISSN: | 1466-4291 1350-4851 |
Fields of Research (FoR) 2008: | 140207 Financial Economics | Socio-Economic Objective (SEO) 2008: | 900101 Finance Services | Peer Reviewed: | Yes | HERDC Category Description: | C1 Refereed Article in a Scholarly Journal |
---|---|
Appears in Collections: | Journal Article |
Files in This Item:
File | Description | Size | Format |
---|
SCOPUSTM
Citations
2
checked on Nov 25, 2023
Page view(s)
1,016
checked on Mar 9, 2023
Items in Research UNE are protected by copyright, with all rights reserved, unless otherwise indicated.