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Rational bubbles in emerging stockmarkets

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  • Nunes, Mauricio
  • Da Silva, Sergio

Abstract

We detected rational bubbles in 22 emerging stockmarkets using both standard and threshold cointegration. Eighteen stockmarkets experienced explosive bubbles (and some of them periodically collapsing bubbles as well). The remaining four markets experienced periodically collapsing bubbles only.

Suggested Citation

  • Nunes, Mauricio & Da Silva, Sergio, 2007. "Rational bubbles in emerging stockmarkets," MPRA Paper 4641, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:4641
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    File URL: https://mpra.ub.uni-muenchen.de/4641/1/MPRA_paper_4641.pdf
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    References listed on IDEAS

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    Cited by:

    1. Gil-Alana, Luis Alberiko & Dettoni, Robinson & Costamagna, Rodrigo & Valenzuela, Mario, 2019. "Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile," Research in International Business and Finance, Elsevier, vol. 49(C), pages 269-281.

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    More about this item

    Keywords

    bubbles; stockmarkets; emerging markets;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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