Munich Personal RePEc Archive

Duration dependence test for rational speculative bubble: the strength and weakness

Ahmad, Mahyudin (2012): Duration dependence test for rational speculative bubble: the strength and weakness.

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Abstract

This review highlights the strength and weakness of duration dependence test used by Mokhtar, Nassir and Hassan (2006) to detect the rational speculative bubble in the Malaysian stock market. It is found that despite the test’s strength over the other tests, it is however sensitive to different specifications and therefore may produce contrasting results.

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