Do Rational Expectations and Irrational Exuberance of US Investors Affect Pacific Basin Stock Markets?

摘要

This study sheds new light on the relevance of rational expectations and irrational exuberance of United States (US) individual and institutional investors to Pacific Basin stock returns. It finds insignificant effects of irrational exuberance and a significant effect of rational expectations on Asian markets with varying degrees of intensity. There are greater responses from Hong Kong, Malaysia, Philippines and Singapore while weaker linkages exist 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 US market can be attributed to rational investor sentiments.