English, Article edition: Rational or irrational expectations? Evidence from China's stock market Feng Gao; Fengming Song; Jun Wang

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Bookmark: http://trove.nla.gov.au/version/30835
Physical Description
  • article
Language
  • English

Edition details

Title
  • Rational or irrational expectations? Evidence from China's stock market
Author
  • Feng Gao
  • Fengming Song
  • Jun Wang
Physical Description
  • article
Notes
  • Purpose – The paper aims to test the rational-expectations hypothesis using data from the Chinese stock market. Design/​methodology/​approach – The rational-expectations hypothesis plays a critical role in economic and financial studies. However, it is unclear whether this hypothesis is consistent with real-world decision making since existing empirical results are mixed. This paper tests the hypothesis directly using survey data from China's stock market by developing a technique to analyze discrete or limited independent-variable models. Findings – The paper shows that in China's stock market survey forecasts are overly optimistic, especially with positive information, and can be improved slightly using past information. Originality/​value – The paper develops a technique to analyze the discrete or limited independent-variable model. Testing with Chinese stock market data provides some insights into the characteristics of emerging markets.
  • China, Expectation, Financial forecasting, Stock markets
  • RePEc:eme:jrfpps:v:9:y:2008:i:5:p:432-448
Language
  • English
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