David Bourget (Western Ontario)
David Chalmers (ANU, NYU)
Rafael De Clercq
Ezio Di Nucci
Jack Alan Reynolds
Learn more about PhilPapers
Daily returns of stock markets in 27 emerging markets in Asia, Africa, South America, and Eastern Europe from the early 1990s through 2006 are analyzed for the possible presence of nonlinear speculative bubbles. The absence of these is tested for by studying residuals of VAR-based fundamentals, using the Hamilton regime-switching model and the rescaled range analysis of Hurst. For the first test absence of bubbles is rejected for 24 countries (except Mexico, Sri Lanka, and Taiwan), and for the second it is rejected for 26 (except Malaysia). BDS testing on residuals after ARCH effects are removed fails to reject further nonlinearity in the residual series for all countries
|Keywords||No keywords specified (fix it)|
|Categories||categorize this paper)|
Setup an account with your affiliations in order to access resources via your University's proxy server
Configure custom proxy (use this if your affiliation does not provide a proxy)
|Through your library||
References found in this work BETA
No references found.
Citations of this work BETA
No citations found.
Similar books and articles
J. Barkley Rosser & Jamshed Y. Uppal, Financial Development and Bubbles: The Case of the Karachi Stock Exchange of Pakistan.
J. Barkley Rosser & L. Kramer, State-Space Estimation of Rational Bubbles in the Yen/Deutschemark Exchange Rate.
Shahnaz Naughton & Tony Naughton (2000). Religion, Ethics and Stock Trading: The Case of an Islamic Equities Market. [REVIEW] Journal of Business Ethics 23 (2):145 - 159.
Ran Zhang & Zabihollah Rezaee (2009). Do Credible Firms Perform Better in Emerging Markets? Evidence From China. Journal of Business Ethics 90 (2):221 - 237.
E. Mine Cinar (1999). The Issue of Insider Trading in Law and Economics: Lessons for Emerging Financial Markets in the World. [REVIEW] Journal of Business Ethics 19 (4):345 - 353.
Bertrand Venard & Mohamed Hanafi (2008). Organizational Isomorphism and Corruption in Financial Institutions: Empirical Research in Emerging Countries. [REVIEW] Journal of Business Ethics 81 (2):481 - 498.
Michael L. Anderson, The Origins of Collective Overvaluation: Irrational Exuberance Emerges From Simple, Honest and Rational Individual Behavior.
Alan Muller & Ans Kolk (2009). CSR Performance in Emerging Markets Evidence From Mexico. Journal of Business Ethics 85 (2):325 - 337.
Justin Tan (2009). Institutional Structure and Firm Social Performance in Transitional Economies: Evidence of Multinational Corporations in China. [REVIEW] Journal of Business Ethics 86 (2):171 - 189.
Yan Leung Cheung, Weiqiang Tan, Hee-Joon Ahn & Zheng Zhang (2010). Does Corporate Social Responsibility Matter in Asian Emerging Markets? Journal of Business Ethics 92 (3):401 - 413.
Added to index2010-12-22
Total downloads14 ( #240,257 of 1,790,229 )
Recent downloads (6 months)2 ( #320,602 of 1,790,229 )
How can I increase my downloads?