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

M. Kabir Hassan and Jung Suk-Yu

No 2007-WP-31, NFI Working Papers from Indiana State University, Scott College of Business, Networks Financial Institute

Abstract: Despite recent extreme fluctuations of the Middle East and North African (MENA) stock markets, we do not find strong evidence of rational speculative bubbles in 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 the 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.

Keywords: Rational speculative bubbles; MENA stock markets; fractional integration tests; duration dependence tests (search for similar items in EconPapers)
JEL-codes: C14 C41 G15 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2007-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.indstate.edu/business/sites/business.in ... -WP-31_Hassan-Yu.pdf Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.indstate.edu/business/sites/business.indstate.edu/files/Docs/2007-WP-31_Hassan-Yu.pdf [301 Moved Permanently]--> https://indianastate.edu/business/sites/business.indstate.edu/files/Docs/2007-WP-31_Hassan-Yu.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:nfi:nfiwps:2007-wp-31

Access Statistics for this paper

More papers in NFI Working Papers from Indiana State University, Scott College of Business, Networks Financial Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ray Thomas ().