Study of Speculative Bubbles: The Contribution of Approximate Entropy

Imen Mahmoud, Kamel Naoui () and Hatem Jemmali
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Imen Mahmoud: Faculty of Economic Sciences and Management of Tunis, Tunisia

International Journal of Economics and Financial Issues, 2013, vol. 3, issue 3, 683-693

Abstract: The purpose of this article is to provide a survey of the presence of speculative bubbles. The empirical study uses a new technique borrowed from statistical physics suggested by Pincus (1991). We use approximate entropy to test the presence of bubbles in the Tunisian and French markets. To this end, weekly data of primary stock markets of the countries under study (Tunisia, France) were used. Since our aim is to study the crisis, data before and after the crash was also analyzed. The crisis decade has been identified as the sample period for our study. More specifically, we consider weekly data over the 2002 to 2012 period. The obtained results confirm the presence of a speculative bubble during the "subprime" crisis (2008) in the two markets.

Keywords: Speculative bubbles; approximate entropy; financial crashes; speculation. (search for similar items in EconPapers)
JEL-codes: C32 C63 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2013-03-11

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