Rational expectation bubbles : evidence from Hong Kong's sub-indices

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Author(s)

  • Tatsuyoshi Miyakoshi
  • Kui-Wai Li
  • Junji Shimada

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)2429-2440
Journal / PublicationApplied Economics
Volume46
Issue number20
Publication statusPublished - Jul 2014

Abstract

This article uses Hong Kong stock market's four sub-indices to examine the existence and causes of rational expectation bubbles. The unit root test is applied to the rational bubble hypothesis. Various causality test methods are used to examine the causality of bubble among the four sub-indices. The empirical results show that in the sub-periods of 1986 to 2002 and 2000 to 2012, the bubbles of commerce and industry and utilities industries are consistent with rational expectation bubbles, but not so in the finance and properties industries. In general, the rational expectation bubbles in the two sub-periods seemed to have been caused by expectations in other growing foreign economies. © 2014 Taylor & Francis.

Research Area(s)

  • causality, foreign markets, rational expectation, stock price bubbles

Citation Format(s)

Rational expectation bubbles : evidence from Hong Kong's sub-indices. / Miyakoshi, Tatsuyoshi; Li, Kui-Wai; Shimada, Junji.

In: Applied Economics, Vol. 46, No. 20, 07.2014, p. 2429-2440.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review