Abstract
Six Asian stock markets (Hong Kong, Japan, Korea, Malaysia, Thailand and Taiwan) and the U.S. stock market are evaluated for evidence of rational speculative bubbles using two types of tests. First, the duration dependence and conditional skewness tests of are used on the complete time series of returns. Second, explosiveness tests are applied to specific episodes of apparent bubbles. In general, the Asian stock returns exhibit some unusual characteristics, but these characteristics do not conform to the predictions of the rational speculative bubbles model.
| Original language | English |
|---|---|
| Pages (from-to) | 125-151 |
| Journal | Pacific Basin Finance Journal |
| Volume | 6 |
| Issue number | 1-2 |
| DOIs | |
| Publication status | Published - May 1998 |
| Externally published | Yes |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].Funding
The Harold F. Silver Fund at BYU provided financial support for databases and research assistants. G.M. and S.T. received financial support from the Goldman Sachs and the Driggs fellowships, respectively.
Research Keywords
- Asian stocks
- Bubbles
- C52
- Duration dependence
- F30
- G14
- G15
- Market crash
Policy Impact
- Cited in Policy Documents
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