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Rational Speculative Bubbles in the Frontier Emerging Stock Markets

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  • Hassan, Mohammad Kabir

    (Hibernia Professor of Economics and Finance Department of Economics and Finance University of New Orleans New Orleans, LA 70148)

  • Yu, Jung-Suk

    (#126, Jukjeon-dong, Suji-gu, Yongin-si, Gyeonggi-do, 448-701, Korea School of Urban Planning & Real Estate Studies Dankook University Republic of Korea)

  • Rashid, Mamunur

    (University of Nottingham-Malaysia Campus Room ELG17 Block E Malaysia Campus Jalan Broga 43500 Semenyih Selangor Darul Ehsan Malaysia)

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.

Suggested Citation

  • Hassan, Mohammad Kabir & Yu, Jung-Suk & Rashid, Mamunur, 2015. "Rational Speculative Bubbles in the Frontier Emerging Stock Markets," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 49(2), pages 27-38.
    • Handle: RePEc:ukm:jlekon:v:49:y:2015:i:2:p:27-38
    DOI: http://dx.doi.org/10.17576/JEM-2015-4902-03
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    References listed on IDEAS

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