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Equity price bubbles in the Middle Eastern and North African Financial markets

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  • Jahan-Parvar, Mohammad R.
  • Waters, George A.

Abstract

We empirically investigate the existence of periodically collapsing bubbles in seven Middle East and North African (MENA) financial markets for the period ending in May 2009. We use the Taylor and Peel (1998) residual augmented least square Dickey and Fuller test (RALS DF) to detect the bubbles. We find that the hypothesis of a bubble formation cannot be rejected for all seven markets investigated in our study, leading us to believe that in fact there has been a break down in the cointegration relationship between real equity prices and real dividends and also between real market capitalizations and real dividends.

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Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 11 (2010)
Issue (Month): 1 (March)
Pages: 39-48

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Handle: RePEc:eee:ememar:v:11:y:2010:i:1:p:39-48

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Web page: http://www.elsevier.com/locate/inca/620356

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Keywords: Cointegration Equity prices Explosive unit root processes MENA Periodically collapsing bubbles;

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Cited by:
  1. Tsangyao Chang & Goodness C. Aye & Rangan Gupta, 2014. "Testing for Multiple Bubbles in the BRICS Stock Markets," Working Papers 2014-462, Department of Research, Ipag Business School.

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