Impact of Speculation and Bubble Detection in Stock Markets: The Tunisian and the Moroccan Cases

Bassem Salhi and Saad Alflayyeh

Journal of Management and Strategy, 2016, vol. 7, issue 2, 73-89

Abstract: The past few years have seen an unprecedented increase in speculative activities. While the exact tools remain controversial, the negative impact is not doubtful. This thesis attempts to explain speculation, what it actually is and what it is not. In this paper we seek to identify periods of mildly explosive or bubble-like, behaviour of the Tunisian market during the period 2004 to 2014. We do so on one hand using STATA¡¯s rolling and recursive estimation techniques on the Tunisian stock market price index (TUNINDEX) then, we compare it to the Moroccan Index (MASI), On the other hand we apply the same testing procedure on 4 Big companies of the Tunisian market. These tests help detecting if prices deviate from a random walk and become mildly explosive since as stipulated above, the identification of explosive characteristics in the price is equivalent to the detection of stock bubble.

Keywords: speculation; bubble detection; stock market; Tunisian market; Moroccan market (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:jms111:v:7:y:2016:i:2:p:73-89

DOI: 10.5430/jms.v7n2p73

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