Do Periodically Collapsing Bubbles in Latin American and Asian Emerging Markets Really Exist?
Siena College - School of Business
Amit K. Sinha
Megan Y. Sun
affiliation not provided to SSRN
July 1, 2008
International Business & Economics Research Journal, Vol. 7, No. 7, pp. 87-94, 2008
As asset pricing, especially in emerging markets has been of continued interest in finance, this paper contributes by investigating the presence of periodically collapsing bubbles in seven Asian and seven Latin American emerging markets. Although a number of studies, using different approaches have studied presence of bubbles in emerging markets, none have applied the Hall, et al’s (1999) Markov regime switching unit root test procedure to such markets. The major finding of the investigation is that asset prices may not result in periodically collapsing bubbles in most emerging markets. Thus, our findings provide support against the current arguments that emerging capital markets have benefited from increased liquidity rather than improved fundamentals.
Number of Pages in PDF File: 8
Keywords: Market Bubble, Emerging Capital Markets, Regime Switching
JEL Classification: G14, G15Accepted Paper Series
Date posted: December 30, 2009
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