Rational speculative bubbles in the frontier emerging stock markets
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, fra...
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Penerbit Universiti Kebangsaan Malaysia
2015
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| Online Access: | http://journalarticle.ukm.my/9589/1/jeko_49%282%29-3.pdf http://journalarticle.ukm.my/9589/ http://www.ukm.my/fep/jem/current.html |
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my-ukm.journal.95892016-12-14T06:50:23Z http://journalarticle.ukm.my/9589/ Rational speculative bubbles in the frontier emerging stock markets M. Kabir Hassan, Yu, Jung-Suk Mamunur Rashid, 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. Penerbit Universiti Kebangsaan Malaysia 2015 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/9589/1/jeko_49%282%29-3.pdf M. Kabir Hassan, and Yu, Jung-Suk and Mamunur Rashid, (2015) Rational speculative bubbles in the frontier emerging stock markets. Jurnal Ekonomi Malaysia, 49 (2). pp. 27-38. ISSN 0127-1962 http://www.ukm.my/fep/jem/current.html |
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| description |
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. |
| format |
Article |
| author |
M. Kabir Hassan, Yu, Jung-Suk Mamunur Rashid, |
| spellingShingle |
M. Kabir Hassan, Yu, Jung-Suk Mamunur Rashid, Rational speculative bubbles in the frontier emerging stock markets |
| author_facet |
M. Kabir Hassan, Yu, Jung-Suk Mamunur Rashid, |
| author_sort |
M. Kabir Hassan, |
| title |
Rational speculative bubbles in the frontier emerging stock markets |
| title_short |
Rational speculative bubbles in the frontier emerging stock markets |
| title_full |
Rational speculative bubbles in the frontier emerging stock markets |
| title_fullStr |
Rational speculative bubbles in the frontier emerging stock markets |
| title_full_unstemmed |
Rational speculative bubbles in the frontier emerging stock markets |
| title_sort |
rational speculative bubbles in the frontier emerging stock markets |
| publisher |
Penerbit Universiti Kebangsaan Malaysia |
| publishDate |
2015 |
| url |
http://journalarticle.ukm.my/9589/1/jeko_49%282%29-3.pdf http://journalarticle.ukm.my/9589/ http://www.ukm.my/fep/jem/current.html |
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