Munich Personal RePEc Archive

Testing rational speculative bubbles in Central European stock markets

Deev, Oleg and Kajurova, Veronika and Stavarek, Daniel (2013): Testing rational speculative bubbles in Central European stock markets.

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Abstract

This study examines the existence of rational speculative bubbles in selected Central European stock markets. We employed the duration dependence test for bubble detection, which we believe provides reliable results for the specific properties of the markets studied. In addition to the stock market indices the prices of individual stocks with the highest capitalization were investigated in order to identify the source of bubble. In contrast to the findings of previous studies on bubbles in emerging markets, no significant bubbles in asset prices were reveiled, except for the Polish stocks of chemical companies from 2004-2007 and Czech and Hungarian stocks of new and prospective sectors.

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