Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African (MENA) Stock Markets

Jung-Suk Yu () and M. Kabir Hassan
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Jung-Suk Yu: Macroeconomic Research Department Finance Team, Samsung Economic Research Institute

No 388, Working Papers from Economic Research Forum

Abstract: Despite recent extreme fluctuations of Middle East and North African (MENA) stock markets, we do not find strong evidence of rational speculative bubbles from the perspective of both domestic and U.S-based investors. Fractional integration tests built on ARFIMA models do not support the possibility of bubbles in MENA stock markets. Similarly, duration dependence tests based on nonparametric Nelson-Aalen hazard functions not only reject the existence of bubbles but also support equality of hazard functions between domestic and U.S-based investors without regard to the rapid financial liberalization and integration in the MENA stock markets.

Pages: 19
Date: 2008-01-01, Revised 2008-01-01
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