Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African (MENA) Stock Markets
Economic Research Forum, Working Paper No. 388, March, 2008
20 Pages Posted: 31 Oct 2018
Date Written: March 2008
Despite recent extreme fluctuations of Middle East and North African (MENA) stock markets, we do not find strong evidence of rational speculative bubbles from 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 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: Fluctuations, Stock market, Middle East, North Africa, Speculative bubbles, Fractional integration test, Duration dependence test
Suggested Citation: Suggested Citation