Rational speculative bubbles in the frontier emerging stock markets

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, fract...

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Bibliographic Details
Main Authors: M. Kabir Hassan (Author), Yu, Jung-Suk (Author), Mamunur Rashid (Author)
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia, 2015.
Online Access:Get fulltext
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100 1 0 |a M. Kabir Hassan,   |e author 
700 1 0 |a Yu, Jung-Suk  |e author 
700 1 0 |a Mamunur Rashid,   |e author 
245 0 0 |a Rational speculative bubbles in the frontier emerging stock markets 
260 |b Penerbit Universiti Kebangsaan Malaysia,   |c 2015. 
856 |z Get fulltext  |u http://journalarticle.ukm.my/9589/1/jeko_49%282%29-3.pdf 
520 |a 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. 
546 |a en 

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