A test of the present value model of stock prices under rational and adaptive expectations using bursa Malaysia data from 1983 to 2003

Yeong, Nicky and Ho, Chong Mun and Dollery, Brian E. and Mori Kogid, (2010) A test of the present value model of stock prices under rational and adaptive expectations using bursa Malaysia data from 1983 to 2003. Applied Economics Letters, 17 (18). pp. 1835-1839. ISSN 1350-4851

[img]
Preview
Text
A_test_of_the_present_value_model_of_stock_prices_under_rational_and_adaptive_expectations_using_bursa_Malaysia_data_from_1983_to_2003.pdf

Download (46kB) | Preview

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. © 2010 Taylor & Francis.

Item Type: Article
Uncontrolled Keywords: Economic analysis, empirical analysis, methodology, model, price dynamics, statistical analysis, stock market
Subjects: ?? HG4551-4598 ??
Divisions: SCHOOL > School of Science and Technology
Depositing User: Unnamed user with email storage.bpmlib@ums.edu.my
Date Deposited: 04 Mar 2011 09:16
Last Modified: 20 Oct 2017 06:52
URI: http://eprints.ums.edu.my/id/eprint/2018

Actions (login required)

View Item View Item

Browse Repository
Collection
   Articles
   Book
   Speeches
   Thesis
   UMS News
Search
Quick Search

   Latest Repository

Link to other Malaysia University Institutional Repository

Malaysia University Institutional Repository