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

See all articles by Jung-Suk Yu

Jung-Suk Yu

School of Urban Planning & Real Estate Studies, Dankook University

M. Kabir Hassan

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

Date Written: March 2008

Abstract

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

Yu, Jung-Suk and Hassan, M. Kabir, Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African (MENA) Stock Markets (March 2008). Economic Research Forum, Working Paper No. 388, March, 2008, Available at SSRN: https://ssrn.com/abstract=3263374 or http://dx.doi.org/10.2139/ssrn.3263374

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)

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

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