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

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  • Jung-Suk Yu

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

  • Kabir Hassan

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

Abstract

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.

Suggested Citation

  • Jung-Suk Yu & Kabir Hassan, 2008. "Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African (MENA) Stock Markets," Working Papers 388, Economic Research Forum, revised 01 Jan 2008.
  • Handle: RePEc:erg:wpaper:388
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    Cited by:

    1. Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.

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