Record Details

Rational speculative bubbles in the frontier emerging stock markets

Jurnal Ekonomi Malaysia

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Title Rational speculative bubbles in the frontier emerging stock markets
 
Creator Hassan, M. Kabir; Professor of Finance and
Hibernia Professor of Economics and Finance
Department of Economics and Finance
University of New Orleans
New Orleans, LA 70148
Jung-Suk, Yu; School of Urban Planning & Real Estate Studies
Dankook University
Gyeonggi-do, 448-701, Korea
Rashid, Mamunur; Nottingham University Business School
The University of Nottingham, Malaysia Campus
 
Subject Rational speculative bubbles, frontier emerging stock markets, fractional integration tests, duration dependence tests
C14, C41, G15
 
Description We extend the rational speculative bubbles literature to the frontier emerging stock markets.  For this purpose, this paper employ 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 the strong evidence of rational speculative bubbles in the frontier emerging stock markets. 
 
Publisher Universiti Kebangsaan Malaysia
 
Contributor —
 
Date 2015-12-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Identifier http://ejournal.ukm.my/jem/article/view/8153
 
Source Jurnal Ekonomi Malaysia; Vol 49, No 2 (2015): Jurnal Ekonomi Malaysia; 27-38
0126-1962
 
Language en
 
Rights It is the author's responsibility to ensure that the submitted work does not infringe any existing copyright. Authors should obtain permission to reproduce or adapt copyrighted material and provide evidence of approval upon submitting the final version of a manuscript.