IDEAS home Printed from https://ideas.repec.org/a/ids/ijbeaf/v6y2022i4p311-332.html
   My bibliography  Save this article

Asia-pacific financial market inefficiency: evidence through behavioural models

Author

Listed:
  • Nahed Zghidi

Abstract

The general equilibrium models with representative agents have proved to be inadequate descriptions of the Asia-Pacific emerging market. Within this framework, we present a model with heterogeneous agents, optimisers, and non-optimisers in which the financial markets consist of agent clusters. Our methodology consists of dividing the market participants into 'rational agents' who form sensible forecasts, and 'irrational agents' who develop biased forecasts, trade on tips, and bid prices away from their fundamental values. The analysis examines monthly frequency stock returns for the Asia-Pacific financial market and world returns using data spanning January 2004 and April 2019. Our results show a positive slope between irrationality and volatility but deterministic for return. Such a persistent connection between irrational and stock volatility suggests that investor sentiment is one of the most crucial determinants of market volatility. The ratio of successful exchange and merger depends on the proportion of the rational agents vs. the irrational ones.

Suggested Citation

  • Nahed Zghidi, 2022. "Asia-pacific financial market inefficiency: evidence through behavioural models," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 6(4), pages 311-332.
    • Handle: RePEc:ids:ijbeaf:v:6:y:2022:i:4:p:311-332
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=127078
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    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:ids:ijbeaf:v:6:y:2022:i:4:p:311-332. 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: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=237 .

    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.