Rational Speculative Bubbles in the Frontier Emerging Stock Markets

Jurnal Ekonomi Malaysia 49(2) (2015)

12 Pages Posted: 31 Oct 2018

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

Mamunur Rashid

University of Brunei Darussalam - UBD School of Business and Economics; Nottingham University Business School Malaysia Campus

Date Written: 2015

Abstract

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.

Keywords: Rational speculative bubbles, frontier emerging stock markets, fractional integration tests, duration dependence tests

Suggested Citation

Hassan, M. Kabir and Yu, Jung-Suk and Rashid, Mamunur, Rational Speculative Bubbles in the Frontier Emerging Stock Markets (2015). Jurnal Ekonomi Malaysia 49(2) (2015), Available at SSRN: https://ssrn.com/abstract=3263369

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)

Mamunur Rashid

University of Brunei Darussalam - UBD School of Business and Economics ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei

Nottingham University Business School Malaysia Campus ( email )

Jalan Broga
Semenyih, Selangor 43500
Malaysia

HOME PAGE: http://www.nottingham.edu.my/Business/People/Mamunur.Rashid

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