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

Networks Financial Institute Working Paper No. 2007-WP-31

27 Pages Posted: 19 Dec 2007

See all articles by M. Kabir Hassan

M. Kabir Hassan

University of New Orleans - College of Business Administration - Department of Economics and Finance

Jung-Suk Yu

School of Urban Planning & Real Estate Studies, Dankook University

Date Written: December 2007

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

JEL Classification: C14, C41, G15

Suggested Citation

Hassan, M. Kabir and Yu, Jung-Suk, Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African Stock Markets (December 2007). Networks Financial Institute Working Paper No. 2007-WP-31, Available at SSRN: https://ssrn.com/abstract=1077135 or http://dx.doi.org/10.2139/ssrn.1077135

M. Kabir Hassan (Contact Author)

University of New Orleans - College of Business Administration - Department of Economics and Finance ( email )

2000 Lakeshore Drive
New Orleans, LA 70148
United States

Jung-Suk Yu

School of Urban Planning & Real Estate Studies, Dankook University ( email )

152, Jukjeon-ro, Suji-gu, Yongin-si
Gyeonggi-do, 16890
Korea, Republic of (South Korea)

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