Jurnal Ekonomi Malaysia
49 (2) 2015 27 – 38
Hibernia Professor of Economics and Finance
Department of Economics and Finance
University of New Orleans
New Orleans, LA 70148
#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
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)
Bibliography
@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},
}
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