Rational speculative bubbles in the frontier emerging stock markets
We extend the rational speculative bubbles literature to the frontier emerging stock markets. For this purpose, this paper employs fractional integration tests and duration dependence tests based on the ARFIMA models and nonparametric smoothed hazard functions. Unlike traditional bubble tests, fra...
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| Main Authors: | , , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
Penerbit Universiti Kebangsaan Malaysia
2015
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| 在線閱讀: | http://journalarticle.ukm.my/9589/1/jeko_49%282%29-3.pdf http://journalarticle.ukm.my/9589/ http://www.ukm.my/fep/jem/current.html |
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| 總結: | We extend the rational speculative bubbles literature to the frontier emerging stock markets. For this purpose, this paper
employs fractional integration tests and duration dependence tests based on the ARFIMA models and nonparametric
smoothed hazard functions. Unlike traditional bubble tests, fractional integration tests and duration dependence tests
do not show strong evidence of rational speculative bubbles in the frontier emerging stock markets. |
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