Rational bubbles in emerging stockmarkets

Nunes, Mauricio and Da Silva, Sergio (2007): Rational bubbles in emerging stockmarkets.

Abstract

We detected rational bubbles in 22 emerging stockmarkets using both standard and threshold cointegration. Eighteen stockmarkets experienced explosive bubbles (and some of them periodically collapsing bubbles as well). The remaining four markets experienced periodically collapsing bubbles only.

• Item Type: MPRA Paper
• Institution: Federal University of Santa Catarina
• Language: English
• Keywords: bubbles; stockmarkets; emerging markets
• Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy

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