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Rational bubbles and volatility persistence in India stock market

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  • Onour, Ibrahim

Abstract

This 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.

Suggested Citation

  • Onour, Ibrahim, 2009. "Rational bubbles and volatility persistence in India stock market," MPRA Paper 18545, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:18545
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    File URL: https://mpra.ub.uni-muenchen.de/18545/1/MPRA_paper_18545.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Bubbles; Unit root; Fractional integration; Dividend yield;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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