M. Kabir Hassan, and Yu, Jung-Suk and Mamunur Rashid, (2015) Rational speculative bubbles in the frontier emerging stock markets. Jurnal Ekonomi Malaysia, 49 (2). pp. 27-38. ISSN 0127-1962
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Abstract
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.
| Item Type: | Article |
|---|---|
| Keywords: | Rational speculative bubbles; frontier emerging stock markets; fractional integration tests; duration dependence tests |
| Journal: | Jurnal Ekonomi Malaysia |
| ID Code: | 9589 |
| Deposited By: | ms aida - |
| Deposited On: | 03 Mar 2016 06:47 |
| Last Modified: | 14 Dec 2016 06:50 |
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