English, Article edition: Fundamental Value Hypothesis and Return Behavior: Evidence from Emerging Equity Markets Benjamas Jirasakuldech; Riza Emekter; Peter Went

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Fundamental Value Hypothesis and Return Behavior: Evidence from Emerging Equity Markets
Author
  • Benjamas Jirasakuldech
  • Riza Emekter
  • Peter Went
Physical Description
  • article
Notes
  • This study examines the return behavior of 15 emerging equity markets for persistent deviations from the fundamental value hypothesis. The duration dependence test shows that rational expectations bubble do not cause deviations from fundamental value in any of the markets. Markov chain test results imply that markets in China, Malaysia, the Philippines, and Singapore deviate from their fundamental values due to non-random price changes. A price decrease is more likely to follow two periods of price decrease in these four equity markets. Finally, time reversibility test reveals that all equity markets, except for Jordan and Egypt, exhibit asymmetrical price patterns, suggesting departures from fundamental values.
  • Fundamental value hypothesis, rational bubbles, emerging markets, markets, return behavior, JEL Classification: G14, JEL Classification: G15
  • RePEc:wsi:rpbfmp:v:09:y:2006:i:01:p:97-127
Language
  • English
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