Price Discovery Processes
作者:
JEROME L. STEIN,
期刊:
Economic Record
(WILEY Available online 1992)
卷期:
Volume 68,
issue 1
页码: 34-45
ISSN:0013-0249
年代: 1992
DOI:10.1111/j.1475-4932.1992.tb02294.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
This paper analyzes two price discovery processes: OLS learning from public information and a Bayesian learning made feasible by futures markets. The former tends to produce cobweb behaviour. In the latter, there is no cobweb, there is a faster convergence to Muth Rational Expectations, and the forecast errors are positively serially correlated The evidence drawn from the Sydney Futures Exchange is consistent with the Bayesian learning process.
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