scholarly journals Detecting and Date-Stamping Rational Bubbles in Asset Price: An Empirical Investigation in the Tunisian Stock Market

2019 ◽  
Vol 11 (8) ◽  
pp. 91
Author(s):  
Siwar Mehri Helali
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Stock Price ◽  
Empirical Investigation ◽  
Asset Price ◽  
Unit Root Tests ◽  
Monthly Data ◽  
Empirical Application ◽  
Speculative Bubbles ◽  
Rational Bubbles

This study tests the existence of periodically collapsing speculative bubbles in the Tunisian stock market. We use the Phillips, Wu, and Yu (2011) and Phillips, Shi, and Yu (2015) approaches, based on right-tailed unit root tests, in order to explore the existence and to date-stamp the origination and termination of bubbles. An empirical application was conducted in the Tunisian stock market, using monthly data on stock price-dividend ratio, for the period running from January 2004 to December 2014. The empirical findings provide evidence for the existence of exuberance in the Tunisian stock market over the period and date-stamp its origination and collapse.

Cointegration between stock market indices: the case of the slovak and czech stock price indices

1999 ◽  
Vol 8 (1) ◽  
Author(s):  
Dawit Alemu Bemerew
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Stock Price ◽  
Empirical Investigation ◽  
Slovak Republic ◽  
Empirical Work ◽  
Policy Coordination ◽  
Unit Root Tests ◽  
Cointegration Test

This paper provides an empirical investigation of long-term relationship between the stock market indices of the Czech and Slovak Republic. The empirical work applies log of weekly average data on the Czech PX - 50 and the Slovak SAX from September 1995 to December 1997. Empirical investigation is conducted by means of unit root tests and the EngleGranger methodology of cointegration test. The result from the unit root tests shows that individual stock indices are nonstationary - I(1). The result from the cointegration test shows that there is no long-term relationship between the two indices, even though, the strong economic ties and policy coordination between the two republics seem to be in favor of some cointegration.

scholarly journals Herd Behavior and Volatility Persistence in Bombay (Mumbai) Stock Exchange

2020 ◽  
Vol 6 ◽  
pp. 1
Author(s):  
Ibrahim A Onour ◽  
Keyword(s):  
Unit Root ◽  
Stock Price ◽  
Stock Exchange ◽  
Fractional Integration ◽  
Unit Root Tests ◽  
Herd Behavior ◽  
Rational Bubbles ◽  
Volatility Persistence ◽  
Integration Techniques ◽  
Q Model

This paper employs a combination of unit root tests and fractional integration techniques using the ARFIMA(p,d,q) model to test rational bubbles, which implies herd behavior, in Bombay Stock Exchange (BSE). The results in the paper strongly support the evidence of herd behavior in the daily, weekly, and monthly price aggregates. Moreover, the paper also investigates the degree of conditional volatility persistence using FIGARCH(p,d,q) specification to show that the persistence of shocks to stock price and dividend yield volatilities is short-termed.

scholarly journals Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles

2013 ◽  
Vol 223 ◽  
pp. R39-R48 ◽  
Author(s):  
Xi Chen ◽  
Michael Funke
Keyword(s):  
Real Time ◽  
Unit Root ◽  
House Prices ◽  
Asset Price ◽  
House Price ◽  
Warning Signs ◽  
Unit Root Tests ◽  
Price Shocks ◽  
Speculative Bubbles ◽  
Price Bubbles

The recent increase in Chinese house prices has led to concerns that China is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to spot the beginning and the end of potential speculative bubbles in Chinese house price cycles. Overall, we find that except for 2009–10 actual house prices are not significantly disconnected from fundamentals. Thus, the evidence for speculative house price bubbles in China is in general weak.

scholarly journals Valuación de empresas de Telecomunicaciones con parámetros operativos

2017 ◽  
Vol 5 (9) ◽  
Author(s):  
J. Saldaña ◽  
M. Palomo ◽  
M. Blanco
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Asset Price ◽  
Capital Asset Price Model ◽  
Telecommunication Sector ◽  
Market Strategy ◽  
Stock Value ◽  
Telecommunication Companies ◽  
Strategy Acquisition ◽  
Para Determinar

Key words: Capita asset price, financial expectations, operative factorsAbstract. The value of telecommunication companies measured in terms of their stock value, may be explained not only by their historical financial results and their financial expectations, but also by the evaluation of other operative factors such as: technological change, organizational change, market strategy, acquisition cost, customers portfolio, fusions and institutional changes (regulations). Due to the importance of the telecommunication sector inthe stock market, as well as in the national economy, an analysis which improves its knowledge and allows a better valuation of these companies is required. Models for asset pricing CAPM (Capital Asset Price Model) and APT (Arbitrage Price Theory) have been developed and proved outside national context, besides, according to theory; their effectiveness for determining stock price depends on the stock market efficiencyPalabras Clave: Expectativas financieras, factores operativos, fijación de precios de capitalResumen. El valor de empresas de telecomunicaciones medidos en términos del valor de sus acciones, no solo se explica por la valuación de sus resultados financieros históricos y sus expectativas financieras si no también por la valuación de otros factores operativos tales como cambio tecnológico, cambio organizacional, estrategia de mercado, costo de adquisición, valor de la cartera de clientes, fusiones, y cambios institucionales (regulaciones).Por la importancia que presenta el sector de telecomunicaciones en el mercado de valores y en la economía nacional, se requiere de un análisis que permita su mejor conocimiento y control del valor. Los modelos desarrollados para la fijación de precios de activos; CAPM (Modelo de Fijación de Precios de Capital) y APT (Teoría de Fijación de  Precios de Arbitraje) han sido generalmente probados y desarrollados fuera del contexto nacional y su nivel de efectividad para determinar el precio de una acción y que de acuerdo a la teoría depende fundamentalmente del nivel de eficiencia del mercado de capitales.

Fixed and Recursive Right-Tailed Dickey–Fuller Tests in the Presence of a Break under the Null

2016 ◽  
Vol 8 (1) ◽  
pp. 1-19
Author(s):  
Robert Sollis
Keyword(s):  
Unit Root ◽  
Null Hypothesis ◽  
Structural Break ◽  
Asset Price ◽  
Unit Root Tests ◽  
Size Distortion ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
Fixed Sample ◽  
Drift Parameter

AbstractRight-tailed Dickey–Fuller-type unit root tests against the explosive alternative have become popular in economics and finance for detecting asset price bubbles. This paper studies the size properties of fixed sample and recursive right-tailed Dickey–Fuller tests if the relevant series contains a unit root, but a structural break in the drift parameter occurs. It is shown that positive size distortion and therefore spurious rejections of the unit root null hypothesis in favour of the explosive alternative can be a problem for both types of test. Some possible solutions to this problem are briefly discussed.

Bubble footprints in the Malaysian stock market: are they rational?

2014 ◽  
Vol 22 (3) ◽  
pp. 223-236 ◽  
Author(s):  
Gilbert V. Nartea ◽  
Muhammand A. Cheema
Keyword(s):  
Stock Market ◽  
Emerging Market ◽  
Duration Dependence ◽  
Test Results ◽  
Data Set ◽  
Content Type ◽  
Speculative Bubbles ◽  
Rational Bubbles ◽  
Alternative Measures ◽  
Investor Behaviour

Purpose – The purpose of this paper is to re-examine the presence of rational speculative bubbles in the Malaysian stock market in light of contradictory results presented in previous studies. Design/methodology/approach – The authors use descriptive statistics, explosiveness tests and the duration dependence test. They use an expanded data set that encompasses at least two alleged bubble episodes addressing a significant limitation of previous studies. The authors use both monthly and weekly returns addressing concerns about the sensitivity of duration dependence test results to the use of monthly versus weekly returns, as well as a battery of alternative measures of returns. Findings – The authors detect bubble footprints but they do not appear to be rational. They found no evidence of rational speculative bubbles over the sample period regardless of whether monthly or weekly returns was used. The authors suggest that if there were bubbles in the Malaysian stock market, they might have been caused by irrational investor behaviour. The authors’ results do not support the suggestion that the duration dependence test is sensitive to the use of monthly versus weekly returns. Practical implications – Despite the absence of rational bubbles in the Malaysian stock market, the faint bubble footprints detected still suggest caution for investors, as the authors cannot categorically rule out the presence of irrational bubbles. Originality/value – This paper clarifies conflicting results of previous studies. It also contributes to the literature on bubble testing by presenting new evidence from an emerging market refuting the claim that duration dependence test results are sensitive to the use of either weekly or monthly returns.

REAL EXCHANGE RATE RETURNS AND REAL STOCK PRICE RETURNS IN THE STOCK MARKET OF MALAYSIA

2016 ◽  
Vol 64 (05) ◽  
pp. 1319-1349
Author(s):  
HOCK TSEN WONG
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Real Exchange Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Stock Price ◽  
Unit Root Test ◽  
The United States ◽  
Test Statistics ◽  
Time Invariant

This study examines the relationships between real exchange rate returns and real stock price returns in the stock market of Malaysia. The Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and Dickey and Fuller (DF) unit root test statistics show that all the variables examined are found to be stationary in the first differences. The constant conditional correlation (CCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model shows that real exchange rate return of Malaysian ringgit against the United States dollar (RM/USD) and real stock price return of Kuala Lumpur Composite Index (KLCI) are found to be negative and significantly correlated. However, there is insignificant correlation between real exchange rate return of Malaysian ringgit against Japanese Yen (RM/¥) and real stock price return of KLCI. Moreover, the CCC-MGARCH models show that real exchange rate returns and real stock price returns of some stocks are found to be significantly correlated. The KPSS unit root test statistics show that the time invariant conditional variances of real exchange rate returns and real stock price returns are mostly found to be stationary in the levels. There is no evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price return of KLCI but some evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price returns. There is a link between the exchange rate market and the stock market in Malaysia but not every real stock price return is significantly linked with real exchange rate return.

scholarly journals Is the Stock Market Efficient? Evidence from Nonlinear Unit Root Tests for Nigeria

2021 ◽  
Vol 11 (5) ◽  
pp. 384-395
Author(s):  
Adedoyin Isola LAWAL ◽  
Ezekiel OSENI ◽  
Abiola John ASALEYE ◽  
Bukola LAWAL-ADEDOYIN ◽  
Rachael OJEKA-JOHN
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Unit Root Tests ◽  
Nonlinear Unit Root Tests

Rational Exuberance

2004 ◽  
Vol 42 (3) ◽  
pp. 783-804 ◽  
Author(s):  
Stephen F LeRoy
Keyword(s):  
United States ◽  
Pareto Optimality ◽  
Stock Price ◽  
The United States ◽  
Promising Candidate ◽  
Speculative Bubbles ◽  
Rational Bubbles ◽  
Run Up

This article reviews the theory of speculative bubbles. Bubbles are a promising candidate as an explanation for the stock price run-up and collapse of the 1990s in the United States. The theory considers both irrational and rational bubbles, with emphasis on the latter. Rational bubbles, defined as the excess of security or portfolio prices over present values, can occur under conditions that are well understood. One argument relies on the assumed Pareto-optimality of equilibrium that rules out rational bubbles, but it is suggested that this argument is implausible.

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