Rational Speculative Bubbles in the Frontier Emerging Stock Markets

M. Kabir Hassan, Jung-Suk Yu and Mamunur Rashid
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Jung-Suk Yu: #126, Jukjeon-dong, Suji-gu, Yongin-si, Gyeonggi-do, 448-701, Korea School of Urban Planning & Real Estate Studies Dankook University Republic of Korea
Mamunur Rashid: University of Nottingham-Malaysia Campus Room ELG17 Block E Malaysia Campus Jalan Broga 43500 Semenyih Selangor Darul Ehsan Malaysia

Jurnal Ekonomi Malaysia, 2015, vol. 49, issue 2, 27-38

Abstract: We extend the rational speculative bubbles literature to the frontier emerging stock markets. For this purpose, this paper employs fractional integration tests and duration dependence tests based on the ARFIMA models and nonparametric smoothed hazard functions. Unlike traditional bubble tests, fractional integration tests and duration dependence tests do not show strong evidence of rational speculative bubbles in the frontier emerging stock markets.

Keywords: Rational speculative bubbles; duration dependence tests; fractional integration tests; frontier emerging stock markets (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ukm:jlekon:v:49:y:2015:i:2:p:27-38

DOI: 10.17576/JEM-2015-4902-03

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