Rational bubbles and volatility persistence in India stock market
AbstractThis paper employs a combination of unit root tests and fractional integration technique to test for rational bubbles in Bombay Stock Exchange (BSE). It is indicated in the paper that evidence of a unit root in dividend yield is consistent with presence of rational bubbles in the stock prices. The results in the paper strongly support evidence of rational bubbles in BSE. Moreover, the paper also investigates the degree of conditional volatility persistence to show persistence of shocks to stock price volatility is short-termed.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 18545.
Date of creation: 11 Nov 2009
Date of revision:
Bubbles; Unit root; Fractional integration; Dividend yield;
Find related papers by JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-14 (All new papers)
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