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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 17859.
Date of creation: Oct 2009
Date of revision:
Cointegration; Equity prices; Explosive unit root processes; MENA; Periodically collapsing bubbles.;
Other versions of this item:
- Jahan-Parvar, Mohammad R. & Waters, George A., 2010. "Equity price bubbles in the Middle Eastern and North African Financial markets," Emerging Markets Review, Elsevier, vol. 11(1), pages 39-48, March.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-24 (All new papers)
- NEP-ARA-2009-10-24 (MENA - Middle East & North Africa)
- NEP-CWA-2009-10-24 (Central & Western Asia)
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