Since 2014
Testing for Rational Speculative Bubbles on the Estonian Stock Market
Research in Economics and Business: Central and Eastern Europe
View Archive Info| Field | Value | |
| Title |
Testing for Rational Speculative Bubbles on the Estonian Stock Market
|
|
| Creator |
Kulikov, Dmitry; Bank of Estonia
|
|
| Description |
This paper looks for empirical evidence of rational speculative bubbles on the Estonian stock market during the period 1996–1999. Four different testing methodologies are used in the paper: two tests are indirect, looking for statistical “footprints” of the speculative dynamics in the data, and two other tests are based directly on testable implications of the Blanchard and Watson (1982) model of periodically collapsing rational speculative bubbles. The paper finds tentative support for the bubble hypothesis on the Estonian stock market during the period that includes the Asian and the Russian financial crises of 1997 and 1998. The paper offers an empirical contribution to the literature on financial markets efficiency in the emerging Central and Eastern European economies.
|
|
| Publisher |
Research in Economics and Business: Central and Eastern Europe
|
|
| Contributor |
—
|
|
| Date |
2013-07-22
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
|
| Format |
application/pdf
|
|
| Identifier |
http://rebcee.eu/index.php/REB/article/view/4
|
|
| Source |
Research in Economics and Business: Central and Eastern Europe; Vol 4, No 1 (2012)
1736-9126 1736-9126 |
|
| Language |
eng
|
|
| Relation |
http://rebcee.eu/index.php/REB/article/view/4/3
http://rebcee.eu/index.php/REB/article/downloadSuppFile/4/4 |
|