Equity price bubbles in the Middle Eastern and North African Financial markets
AbstractWe 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 InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 11 (2010)
Issue (Month): 1 (March)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620356
Cointegration Equity prices Explosive unit root processes MENA Periodically collapsing bubbles;
Other versions of this item:
- Jahan-Parvar, Mohammad & Waters, George, 2009. "Equity Price Bubbles in the Middle Eastern and North African Financial Markets," MPRA Paper 17859, University Library of Munich, Germany.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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