Verma, Rahul (2009) Rational Expectations, Irrational Exuberance: Linkage between U.S. Investors and Pacific-Basin Stock Returns Rahul Verma. The International Journal of Banking and Finance, 6 (1). pp. 67-94. ISSN 1617-722

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Abstract

We shed new light on the relevance of rational expectations and irrational exuberance of U.S. individual and institutional investors on Pacific-Basin stock returns.We find insignificant effects of irrational exuberance and significant effect of rational expectations on Asian markets with varying degrees of intensity.There are greater responses of Hong Kong, Malaysia, Philippines, and Singapore while weaker linkages with Taiwan, Thailand, and Korea.Overall evidence suggests that rational expectations of institutional investors are transmitted to a greater extent than those of individual investors.These results are consistent with the view that international effects of the U.S. market can be attributed to rational investor sentiments.

Item Type:	Article
Uncontrolled Keywords:	Stock returns, investor sentiment, VAR model, asia pacific markets
Subjects:	H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	31 Oct 2018 00:51
Last Modified:	31 Oct 2018 00:51
URI:	https://repo.uum.edu.my/id/eprint/25083

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