Rational Expectation Bubbles: Evidence from Hong Kong's Sub-Indices

26 Pages Posted: 15 Nov 2015

See all articles by Tatsuyoshi Miyakoshi

Tatsuyoshi Miyakoshi

Osaka University

Kui-Wai Li

Munk School of Global Affairs, University of Toronto

Junji Shimada

Aoyama Gakuin University - School of Business

Date Written: 2014

Abstract

This paper uses Hong Kong stock market’s four sub-indices to examine the existence and causes of rational expectation bubbles. The unit root test is applied to the rational bubble hypothesis. Various causality test methods are used to examine the causality of bubble among the four sub-indices. The empirical results show that in the sub-periods of 1986-2002 and 2000-2012, the bubbles of Commerce & Industry and Utilities industries are consistent with rational expectation bubbles, but not so in the Finance and Properties industries. In general, the rational expectation bubbles in the two sub-periods seemed to have caused by expectations in other growing foreign economies.

Keywords: rational expectation; stock price bubbles; causality; foreign markets

JEL Classification: G12, C50

Suggested Citation

Miyakoshi, Tatsuyoshi and Li, Kui-Wai and Shimada, Junji, Rational Expectation Bubbles: Evidence from Hong Kong's Sub-Indices (2014). Applied Economics, Vol. 46, No. 20, 2014, Available at SSRN: https://ssrn.com/abstract=2690655

Tatsuyoshi Miyakoshi

Osaka University ( email )

1-1 Yamadaoka
Suita
Osaka, 565-0871
Japan

Kui-Wai Li (Contact Author)

Munk School of Global Affairs, University of Toronto ( email )

Toronto
Canada

HOME PAGE: http://https://kw-consultancy.com/

Junji Shimada

Aoyama Gakuin University - School of Business

4-4-25 Shibuya, Shibuya-ku
Tokyo, 150-8366
Japan

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