EconPapers    
Economics at your fingertips  
 

Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market

Nawazish Mirza () and Ayesha Afzal
Additional contact information
Nawazish Mirza: Center for Research in Economics and Business, Pakistan

Romanian Economic Journal, 2012, vol. 15, issue 44, 55-86

Abstract: This paper analyzes the presence of a speculative component during the extra ordinary upsurge in Karachi Stock Exchange. We implement cointegration tests, between 1997 and 2008, on price and dividends of various market and sectoral indices. The no bubble hypothesis could not be rejected for market level indices establishing the presence of a speculative factor. Among sectoral indices, banking sector depicted a speculative component, however, the price level of Oil and Gas sector did not diverge from the related dividends. These results remained robust with evidence of persistent volatility shocks for the sample period.

Keywords: Karachi Stock Exchange; Speculative Bubbles; Cointegration; Unit Root; Dividend Yield (search for similar items in EconPapers)
JEL-codes: G01 G10 G12 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.rejournal.eu/sites/rejournal.versatech. ... 6-01/2028/5mirza.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rej:journl:v:15:y:2012:i:44:p:55-86

Access Statistics for this article

Romanian Economic Journal is currently edited by Ioan Popa, PhD

More articles in Romanian Economic Journal from Department of International Business and Economics from the Academy of Economic Studies Bucharest Contact information at EDIRC.
Bibliographic data for series maintained by Radu Lupu ().

 
Page updated 2022-04-23
Handle: RePEc:rej:journl:v:15:y:2012:i:44:p:55-86