Duration dependence test for rational speculative bubble: the strength and weakness

Mahyudin Ahmad

MPRA Paper from University Library of Munich, Germany

Abstract: This review highlights the strength and weakness of duration dependence test used by Mokhtar, Nassir and Hassan (2006) to detect the rational speculative bubble in the Malaysian stock market. It is found that despite the test’s strength over the other tests, it is however sensitive to different specifications and therefore may produce contrasting results.

Keywords: Rational Speculative Bubble; Duration Dependence Test; Stock market; Asian Financial Crisis (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2012-08-12
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