Testing rational speculative bubbles in Central European stock markets
AbstractThis study examines the existence of rational speculative bubbles in selected Central European stock markets. We employed the duration dependence test for bubble detection, which we believe provides reliable results for the specific properties of the markets studied. In addition to the stock market indices the prices of individual stocks with the highest capitalization were investigated in order to identify the source of bubble. In contrast to the findings of previous studies on bubbles in emerging markets, no significant bubbles in asset prices were reveiled, except for the Polish stocks of chemical companies from 2004-2007 and Czech and Hungarian stocks of new and prospective sectors.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 46582.
Date of creation: 11 Feb 2013
Date of revision:
rational speculative bubble; Central European stock markets; duration dependence test;
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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