Rational bubbles and volatility persistence in India stock market

Onour, Ibrahim (2009): Rational bubbles and volatility persistence in India stock market.

Abstract

This paper employs a combination of unit root tests and fractional integration technique to test for rational bubbles in Bombay Stock Exchange (BSE). It is indicated in the paper that evidence of a unit root in dividend yield is consistent with presence of rational bubbles in the stock prices. The results in the paper strongly support evidence of rational bubbles in BSE. Moreover, the paper also investigates the degree of conditional volatility persistence to show persistence of shocks to stock price volatility is short-termed.

• Item Type: MPRA Paper
• Language: English
• Keywords: Bubbles; Unit root; Fractional integration; Dividend yield
• Subjects: D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D53 - Financial Markets; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E22 - Investment ; Capital ; Intangible Capital ; Capacity; C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics

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