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Author : Ling Ling Dou
Publisher :
ISBN 13 :
Total Pages : 192 pages
Book Rating : 4.:/5 (722 download)
Download or read book Duration Dependence Test of Rational Speculative Bubbles written by Ling Ling Dou and published by . This book was released on 2010 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Benjamas Jirasakuldech
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Rational Speculative Bubbles and Duration Dependence in Exchange Rates written by Benjamas Jirasakuldech and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the presence of rational speculative bubbles in the exchange rates of the British pound, the Canadian dollar, the Danish krone, the Japanese yen and the South African rand against the US dollar. The unit root test shows that the exchange rates and fundamental variables - money supply, income and interest rates - are integrated of order one, indicating no rational speculative bubbles. Further, the cointegration test indicates evidence of a long-run relationship between the exchange rate series and the fundamental variables, corroborating that no speculative bubble is present. The results of the non-parametric duration dependence test suggest that rational expectations bubbles do not affect these exchange rates.
Author : M. Kabir Hassan
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)
Download or read book Rational Speculative Bubbles in the Frontier Emerging Stock Markets written by M. Kabir Hassan and published by . This book was released on 2018 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend the rational speculative bubbles literature to the frontier emerging stock markets. For this purpose, this paper employs fractional integration tests and duration dependence tests based on the ARFIMA models and nonparametric smoothed hazard functions. Unlike traditional bubble tests, fractional integration tests and duration dependence tests do not show strong evidence of rational speculative bubbles in the frontier emerging stock markets.
Author : Lii-Tarn Chen
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (89 download)
Download or read book Essays on Testing for Speculative Bubbles in the Stock Market written by Lii-Tarn Chen and published by . This book was released on 1995 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kenneth Szulczyk
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (13 download)
Download or read book Rational Speculative Bubbles written by Kenneth Szulczyk and published by . This book was released on 2019 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We scrutinize China, Hong Kong, Indonesia, Japan, Malaysia, Philippines, South Korea, Taiwan, and Thailand for the presence of rational bubbles by employing several tests on a large dataset that includes three bubble episodes. We also convert most tests into recursive to overcome structural breaks in the data that improve a bubble's detection. The unit root tests exhibit bubbles in all markets while the sup augmented Dickey-Fuller test suggests Hong Kong, Japan, and Thailand exhibit an explosive process. The cointegration tests show that Hong Kong, Japan, Malaysia, and Thailand may have bubbles while the explosiveness test shows evidence of bubbles in all markets for both weekly and monthly data. However, the duration dependence test identifies bubbles in six (two) Asian markets for weekly (monthly) returns. Thus, our results suggest that the rational bubble tests are enhanced from recursive tests using a large dataset that includes multiple bubble episodes.
Author : Sardar M. N. Islam
Publisher : Springer Science & Business Media
ISBN 13 : 3790826669
Total Pages : 208 pages
Book Rating : 4.7/5 (98 download)
Download or read book Empirical Finance written by Sardar M. N. Islam and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.
Author : Kenneth D. West
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 download)
Download or read book A Specification Test for Speculative Bubbles written by Kenneth D. West and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The set of parameters needed to calculate the expected present discounted value of a stream of dividends can be estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When the test is applied to some annual U.S. stock market data, the data usually reject the null hypothesis of no bubbles. The test is of general interest since it may be applied to a wide class of linear rational expectations models.
Author : Fredj Jawadi
Publisher : Springer
ISBN 13 : 3319987143
Total Pages : 192 pages
Book Rating : 4.3/5 (199 download)
Download or read book Uncertainty, Expectations and Asset Price Dynamics written by Fredj Jawadi and published by Springer. This book was released on 2018-11-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
Author : Jung-Suk Yu
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)
Download or read book Rational Speculative Bubbles written by Jung-Suk Yu and published by . This book was released on 2018 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Gilbert Nartea
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Searching for Rational Bubble Footprints in the Singaporean and Indonesian Stock Markets written by Gilbert Nartea and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the presence of rational speculative bubbles in the Singaporean and Indonesian stock markets in light of contradictory results in the literature. We employ a mix of descriptive statistics, explosiveness tests and duration dependence tests for an expanded dataset from 1970 to 2013 that covers at least two suspected bubble episodes - the 1997 Asian Financial Crisis (AFC) and the Global Financial Crisis (GFC). We find bubble footprints in Singapore and Indonesia using descriptive statistics and explosiveness tests. However, we find no evidence of rational bubbles in Singapore using the duration dependence test. On the other hand, in Indonesia we find evidence of rational bubbles in weekly but not in monthly data. Our results indicate that the duration dependence test could be sensitive to data frequency suggesting that the duration dependence test results are not always conclusive and that it should be used in conjunction with other tests.
Author : M. Kabir Hassan
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)
Download or read book Rational Speculative Bubbles written by M. Kabir Hassan and published by . This book was released on 2007 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite recent extreme fluctuations of the Middle East and North African (MENA) stock markets, we do not find strong evidence of rational speculative bubbles in 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 the 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.
Author : Benjamas Jirasakuldech
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Are There Rational Speculative Bubbles in Reits? written by Benjamas Jirasakuldech and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests for the presence of rational speculative bubbles in the Equity REIT industry. We analyze REIT prices using a vector of macroeconomic fundamentals. Using the unit root test and cointegration procedures, we find no evidence of rational bubbles in the REIT market. Tests for duration dependence in the returns series show no evidence of negative duration dependence, suggesting that REIT markets are not affected by rational bubbles. Applying the same tests, we find no evidence of rational speculative bubbles in the Russell 2000 index, a proxy for small-cap stocks.
Author : Laura Tao
Publisher :
ISBN 13 :
Total Pages : 98 pages
Book Rating : 4.:/5 (697 download)
Download or read book Testing for Rational Speculative Bubbles in Foreign Exchange Rates written by Laura Tao and published by . This book was released on 2010 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Roger G. Ibbotson
Publisher :
ISBN 13 : 9781556232312
Total Pages : 202 pages
Book Rating : 4.2/5 (323 download)
Download or read book Stocks, Bonds, Bills, and Inflation written by Roger G. Ibbotson and published by . This book was released on 1989 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Vajjhala, Narasimha Rao
Publisher : IGI Global
ISBN 13 : 1668452812
Total Pages : 356 pages
Book Rating : 4.6/5 (684 download)
Download or read book Global Risk and Contingency Management Research in Times of Crisis written by Vajjhala, Narasimha Rao and published by IGI Global. This book was released on 2022-06-24 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risks can be identified, evaluated, and mitigated, but the underlying uncertainty remains elusive. Risk is present across all industries and sectors. As a result, organizations and governments worldwide are currently experiencing higher levels of risk and have had to make risky decisions during times of crisis and instability, including the COVID-19 pandemic, economic and climate perils, and global tensions surrounding terrorism. It is essential that new studies are undertaken to understand strategies taken during these times to better equip business leaders to navigate risk management in the future. Global Risk and Contingency Management Research in Times of Crisis examines the impact of crises including the COVID-19 pandemic, which has tested organizational risk and contingency management plans. It provides significant insights that should benefit business leaders on risk and contingency management in times of crisis. It emphasizes strategies that leaders can undertake to identify potential future risks and examines decisions made in past crises that can act as examples of what to do and what not to do during future crisis events. Covering topics such as auditing theories, risk assessment, and educational inequality, this premier reference source is a crucial resource for business leaders, executives, managers, decision makers, policymakers, students, government officials, entrepreneurs, librarians, researchers, and academicians.
Author : E. Porras
Publisher : Springer
ISBN 13 : 1137358769
Total Pages : 303 pages
Book Rating : 4.1/5 (373 download)
Download or read book Bubbles and Contagion in Financial Markets, Volume 1 written by E. Porras and published by Springer. This book was released on 2016-06-29 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the formation of bubbles and the contagion mechanisms afflicting financial markets is a must as extreme volatility events leave no market untouched. Debt, equity, real estate, commodities... Shanghai, NY, or London: The severe fluctuations, explained to a large extent by contagion and the fear of new bubbles imploding, justify the newly awaken interest in the contagion and bubble dynamics as yet again the world brazes for a new global economic upheaval. Bubbles and Contagion in Financial Markets explores concepts, intuition, theory, and models. Fundamental valuation, share price development in the presence of asymmetric information, the speculative behavior of noise traders and chartists, herding and the feedback and learning mechanisms that surge within the markets are key aspects of these dynamics. Bubbles and contagion are a vast world and fascinating phenomena that escape a narrow exploration of financial markets. Hence this work looks beyond into macroeconomics, monetary policy, risk aggregation, psychology, incentive structures and many more subjects which are in part co-responsible for these events. Responding to the ever more pressing need to disentangle the dynamics by which financial local events are transmitted across the globe, this volume presents an exhaustive and integrative outlook to the subject of bubbles and contagion in financial markets. The key objective of this volume is to give the reader a comprehensive understanding of all aspects that can potentially create the conditions for the formation and bursting of bubbles, and the aftermath of such events: the contagion of macro-economic processes. Achieving a better understanding of the formation of bubbles and the impact of contagion will no doubt determine the stability of future economies – let these two volumes be the starting point for a rational approach to a seemingly irrational phenomena.
Author : Peter Went
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (129 download)
Download or read book Bubbles in Commodities Markets written by Peter Went and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the presence of rational speculative bubbles in 28 commodities traded in the U.S. markets. Using the duration dependence test on the stochastic interest-adjusted basis, we find that 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities are in the energy sector WTI crude oil; in foodstuffs and industrials sector coffee; in livestock and meats sector lean hogs; and in metals gold and platinum. In the grains and oilseeds sector corn, the soybean sub-sector (soybean No. 2, soybean meal and oil) and the wheat sub-sector, (wheat No. 2 soft red and hard winter) all exhibited speculative bubbles. Additionally, we report mean reversion in natural gas, propane, live cattle, and pork bellies.
