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Jurnal Ekonomi Malaysia

49 (2) 2015 27 – 38

Rational Speculative Bubbles in the Frontier Emerging Stock Markets
Gelembung Spekulatif Rasional Dalam Pasaran Saham Baharu Muncul Terkehadapan Gelembung Spekulatif Rasional Dalam Pasaran Saham Baharu Muncul Terkehadapan

Hibernia Professor of Economics and Finance
Department of Economics and Finance
University of New Orleans
New Orleans, LA 70148

kabirhassan63@gmail.com

#126, Jukjeon-dong, Suji-gu, Yongin-si, Gyeonggi-do,
448-701, Korea
School of Urban Planning & Real Estate Studies
Dankook University
Republic of Korea


University of Nottingham-Malaysia Campus
Room ELG17 Block E
Malaysia Campus
Jalan Broga
43500 Semenyih
Selangor Darul Ehsan
Malaysia


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.

Keywords

duration dependence tests; fractional integration tests; frontier emerging stock markets; Rational speculative bubbles

Author’s Acknowledgement

This work was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2015S1A3A2046715)

http://dx.doi.org/10.17576/JEM-2015-4902-03
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Hassan, , Yu, , & Rashid, (2015). Rational Speculative Bubbles in the Frontier Emerging Stock Markets. Jurnal Ekonomi Malaysia, 49(2), 27–38. http://dx.doi.org/10.17576/JEM-2015-4902-03

@article{hassan2015rational,
  title={Rational Speculative Bubbles in the Frontier Emerging Stock Markets},
  author={Hassan, Mohammad Kabir and Yu, Jung-Suk and Rashid, Mamunur},
  journal={Jurnal Ekonomi Malaysia},
  volume={49},
  number={2},
  pages={27—38},
 

year={2015},
}

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