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Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African (MENA) Stock Markets

  • Jung-Suk Yu

    ()

    (Macroeconomic Research Department Finance Team, Samsung Economic Research Institute)

  • M. Kabir Hassan

    ()

    (Economics,College of Business Administration,University of New Orleans)

Despite recent extreme fluctuations of Middle East and North African (MENA) stock markets, we do not find strong evidence of rational speculative bubbles from the perspective of both domestic and U.S-based investors. Fractional integration tests built on ARFIMA models do not support the possibility of bubbles in MENA stock markets. Similarly, duration dependence tests based on nonparametric Nelson-Aalen hazard functions not only reject the existence of bubbles but also support equality of hazard functions between domestic and U.S-based investors without regard to the rapid financial liberalization and integration in the MENA stock markets.

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Paper provided by Economic Research Forum in its series Working Papers with number 388.

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Length: 20 pages
Date of creation: Mar 2008
Date of revision: Mar 2008
Publication status: Published by The Economic Research Forum (ERF)
Handle: RePEc:erg:wpaper:388
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