Advanced Search
MyIDEAS: Login to save this paper or follow this series

Market Efficiency and Rational Expectations

Contents:

Author Info

  • Kaie Kerem

    ()
    (Department of Economics at Tallinn University of Technology)

  • Enn Listra

    ()
    (Department of Economics at Tallinn University of Technology)

  • Katrin Rahu

    ()
    (Department of Economics at Tallinn University of Technology)

Registered author(s):

    Abstract

    The paper studies the financial market efficiency based on the data from Tallinn Stock Exchange, the rationality of expectations that is treated as financial rationality and the time series properties of inflation time series to get the forecasting model. The hypotheses to be tested are of interest to both macroeconomists and policy-makers. Two time periods can be distinguished for the modelling purposes in the case of CPI. During the first period the concept of rational expectations is clearly non-usable in macroeconomic models of that period. It can probably be used during the second period. Three time periods can be distinguished in market data. Clear improvement of market efficiency has been found in Estonian capital market. The study relies both on the economic theory and on time series analysis. The authors use banking statistics and macroeconomic data on Estonia.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://deepthought.ttu.ee/majandus/tekstid/TUTWPE_04_112.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Tallinn School of Economics and Business Administration, Tallinn University of Technology in its series Working Papers with number 112.

    as in new window
    Length: 14
    Date of creation: 2004
    Date of revision:
    Publication status: Published in Working Papers in Economics.School of Economics and Business Administration,Tallinn University of Technology (TUTWPE), Pages 139-152
    Handle: RePEc:ttu:wpaper:112

    Note: This research was conducted with support from the Estonian Science Foundation (Research Grants 5146 and 5185).
    Contact details of provider:
    Postal: Kopli tn. 101, 11712 Tallinn
    Phone: +(372)620 3535
    Fax: +(372)620 3946
    Email:
    Web page: http://majandus.ttu.ee
    More information through EDIRC

    Related research

    Keywords: market efficiency; rational expectations; inflation; modelling;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-36, June.
    2. Rebecca Emerson & Stephen Hall & Anna Zalewska-Mitura, 1997. "Evolving Market Efficiency with an Application to Some Bulgarian Shares," Economic Change and Restructuring, Springer, vol. 30(2), pages 75-90, May.
    3. Chun, Rodney M., 2000. "Compensation vouchers and equity markets: Evidence from Hungary," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1155-1178, July.
    4. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    5. Rockinger, Michael & Urga, Giovanni, 2000. "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 456-472, September.
    6. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    7. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    8. Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, vol. 13(4), pages 305-340, December.
    9. Lovell, Michael C, 1986. "Tests of the Rational Expectations Hypothesis," American Economic Review, American Economic Association, vol. 76(1), pages 110-24, March.
    10. repec:fth:calaec:13-89 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ttu:wpaper:112. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Urve Venesaar).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.