Equity Price Bubbles in the Middle Eastern and North African Financial Markets

Mohammad Jahan-Parvar and George Waters

MPRA Paper from University Library of Munich, Germany

Abstract: We empirically investigate the existence of periodically collapsing bubbles in seven Middle East and North African (MENA) financial markets for the period ending in May 2009. We use the Taylor and Peel (1998) residual augmented least square Dickey and Fuller test (RALS DF) to detect the bubbles. We find that the hypothesis of a bubble formation cannot be rejected for all seven markets investigated in our study, leading us to believe that in fact there has been a break down in the cointegration relationship between real equity prices and real dividends and also between real market capitalizations and real dividends.

Keywords: Cointegration; Equity prices; Explosive unit root processes; MENA; Periodically collapsing bubbles. (search for similar items in EconPapers)
JEL-codes: C22 G12 G15 (search for similar items in EconPapers)
Date: 2009-10
New Economics Papers: this item is included in nep-ara and nep-cwa
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Related works:
Journal Article: Equity price bubbles in the Middle Eastern and North African Financial markets (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:17859

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