Duration dependence test for rational speculative bubble: the strength and weakness
AbstractThis review highlights the strength and weakness of duration dependence test used by Mokhtar, Nassir and Hassan (2006) to detect the rational speculative bubble in the Malaysian stock market. It is found that despite the test’s strength over the other tests, it is however sensitive to different specifications and therefore may produce contrasting results.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 42156.
Date of creation: 12 Aug 2012
Date of revision:
Rational Speculative Bubble; Duration Dependence Test; Stock market; Asian Financial Crisis;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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