Equity price bubbles in the Middle Eastern and North African Financial markets

Mohammad Jahan-Parvar and George Waters

Emerging Markets Review, 2010, vol. 11, issue 1, 39-48

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)
Date: 2010
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Citations: View citations in EconPapers (13)

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Working Paper: Equity Price Bubbles in the Middle Eastern and North African Financial Markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:11:y:2010:i:1:p:39-48

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