Rational speculative bubbles in the frontier emerging stock markets

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, fra...

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Main Authors:	M. Kabir Hassan, Yu, Jung-Suk, Mamunur Rashid
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2015
Online Access:	http://journalarticle.ukm.my/9589/ http://journalarticle.ukm.my/9589/ http://journalarticle.ukm.my/9589/1/jeko_49%282%29-3.pdf

id	ukm-9589
recordtype	eprints
spelling	ukm-95892016-12-14T06:50:23Z http://journalarticle.ukm.my/9589/ Rational speculative bubbles in the frontier emerging stock markets M. Kabir Hassan, Yu, Jung-Suk Mamunur Rashid, 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. Penerbit Universiti Kebangsaan Malaysia 2015 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/9589/1/jeko_49%282%29-3.pdf 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 http://www.ukm.my/fep/jem/current.html
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	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.
format	Article
author	M. Kabir Hassan, Yu, Jung-Suk Mamunur Rashid,
spellingShingle	M. Kabir Hassan, Yu, Jung-Suk Mamunur Rashid, Rational speculative bubbles in the frontier emerging stock markets
author_facet	M. Kabir Hassan, Yu, Jung-Suk Mamunur Rashid,
author_sort	M. Kabir Hassan,
title	Rational speculative bubbles in the frontier emerging stock markets
title_short	Rational speculative bubbles in the frontier emerging stock markets
title_full	Rational speculative bubbles in the frontier emerging stock markets
title_fullStr	Rational speculative bubbles in the frontier emerging stock markets
title_full_unstemmed	Rational speculative bubbles in the frontier emerging stock markets
title_sort	rational speculative bubbles in the frontier emerging stock markets
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2015
url	http://journalarticle.ukm.my/9589/ http://journalarticle.ukm.my/9589/ http://journalarticle.ukm.my/9589/1/jeko_49%282%29-3.pdf
first_indexed	2023-09-18T19:55:18Z
last_indexed	2023-09-18T19:55:18Z
_version_	1777406489425608704

Rational speculative bubbles in the frontier emerging stock markets

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