Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market

Nawazish Mirza and Ayesha Afzal ()

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

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