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asset pricing in line with rational bubbles. We show that the response of the excessive stock price component to a monetary … policy shock is ambiguous in both the short- and long-run, and depends on the nature of the mispricing. Subsequently, we … contractionary monetary policy shock in fact lowers stock prices beyond what is implied by the response of their underlying …
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This study examines herding behavior in the Pakistani Stock Market under different market conditions, focusing on the Ramadan effect and Crisis period by using data from 2004 to 2014. Two regression models of Christie and Huang (Financ Analysts J 51:31–37, 1995) and Chang et al., (J Bank...
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Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most convincing pieces of evidence against the validity of the time-honored efficient market hypothesis. Recently, using Shiller s distinction between ex-ante rational (fundamental) price...
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