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Equity Price Bubbles in the Middle Eastern and North African Financial Markets

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  • Jahan-Parvar, Mohammad
  • Waters, George

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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17859.

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Date of creation: Oct 2009
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Handle: RePEc:pra:mprapa:17859

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

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