IDEAS home Printed from https://ideas.repec.org/a/eme/jrfpps/15265940810916102.html
   My bibliography  Save this article

Rational or irrational expectations? Evidence from China's stock market

Author

Listed:
  • Feng Gao
  • Fengming Song
  • Jun Wang

Abstract

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.

Suggested Citation

  • Feng Gao & Fengming Song & Jun Wang, 2008. "Rational or irrational expectations? Evidence from China's stock market," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 9(5), pages 432-448, November.
    • Handle: RePEc:eme:jrfpps:15265940810916102
    DOI: 10.1108/15265940810916102
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/15265940810916102/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/15265940810916102/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/15265940810916102?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jrfpps:15265940810916102. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.