Towards a new model of speculative bubbles: nonparametric test with an application to the Tunisian Stock Index
Subject Areas : International Journal of Finance, Accounting and Economics StudiesNizar El Ouni 1 , Mekki Hamdaoui 2
1 - Assistant Professor of Tunisia
2 - Assistant Professor of Tunisia
Keywords:
Abstract :
- Blanchard, Oliver J.- Watson, Mark W. (1982), Bubbles, Rational Expectations and Financial Markets, in Crises in the Economic and Financial Structure, Paul Wachtel, ed. Lexington, MA: Lexington Books.
- Boucher, Christophe (2003), “Testing for Rational Bubbles with Time Varying Risk Premium and Non-Linear Cointegration: Evidence from the US and French Stock Markets”,
- Brooks, Chris- Katsaris, Apostolos (2003), “Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange”, the Bulletin of Economic Research,
- Vol. 55, p. 319-346.
- Calverley, John (2004), Bubbles and How to Survive Them, Nicholas Brealey Publishing, Finland.
- Chan, Kalok- McQueen, Grant.- Thorley, Steve. (1998), “Are There Rational Speculative Bubbles in Asian Stock Markets?”, Pacific-Basin Finance Journal, Vol. 6, p.125-151. The Journal of Accounting and Finance July/2011 190
- Gurkaynak, Refet S. (2008), “Econometric Tests of Asset Price Bubbles: Taking Stock”, Journal of Economic Surveys, Vol. 22, No. 1, p. 166-186.
- Harman, Yvette S.- Zuehlke Thomas W., (2004), “Duration Dependence Testing For Speculative Bubbles”, Journal of Economics and Finance, Vol. 28, No. 2, p. 147-154.
- Jirasakuldech, Benjamas- Emekter, Riza- Rao, Ramesh P. (2008), “Do Thai Stock Prices Deviate from Fundamental Values?”, Pacific-Basin Finance Journal, Vol. 16, p.298-315.
- Lavin, Angeline M.- Zorn, Thomas S., (2001), “Empirical Tests of the Fundamental-Value Hypothesis in Land Markets”, Journal of Real Estate and Economics, Vol. 22, p. 99-116.
- Lehkonen, Heikki (2010), “Bubbles in China”, International Review of Financial Analysis, Vol. 19, No.2, pp. 113-117.
- McQueen, Grant- Thorley, Steven (1994), “Bubbles, Stock Returns and Duration Dependence”, Journal of Financial and Quantitative Analysis, Vol. 29, No. 3, p. 379-401.
- Tasci, H. Mehmet- Okuyan H. Aydın (2009), “Testing for Speculative Bubbles on ISE”, Journal of Dogus University, Vol. 10, No. 2, p. 272-283.
- Zhang, Bing (2008), “Duration Dependence Test For Rational Bubbles in Chinese Stock Market”, Applied Economics Letters, Vol. 15, No. 8, p. 635-639.
- Yu, Junk-Suk- Hassan, M. Kabir (2010), “Rational Speculative Bubbles in MENA Stock Markets”, Studies in Economics and Finance, Vol. 27, No. 3, p. 247-264.
- Brook, C. & Katsaris, A. (2005). A three-regime model of speculative behavior: Modeling the evolution of the S&P 500 composite index. The Economic Journal, 115, 767-797.
- Brooks, C., & Katsaris, A. (2003) Rational speculative bubbles: an empirical investigation of the London Stock Exchange, Bulletin of Economic Research, 55, 319–346.
- Caporale, G.M. & Gil-Alana, L.A. (2004).Fractional cointegration and tests of present value models. Review of Financial Economics, 13, 245-258.
- Chan, K., McQueen, G. & Thorley, S. (1998) Are there rational speculative bubbles in the Asian stock markets?. Pacific-Basin Finance Journal, 6, 125–51.
- Chang, T., Chiu, C-C. & Nieh, C-C. (2007). Rational bubbles in the US stock market? Further evidence from a nonparametric cointegration test. Applied Economics Letters, 14, 517– 521.
- Charemaza, W.W., & Deadman, D.F. (1991).Speculative bubbles with stochastic explosive roots: The failure of unit root testing. Journal of Empirical Finance, 2, 153-163.
- Cuñado, J., Gil-Alana, L. A. & Gracia, F. (2007). Testing for stock market bubbles using nonlinear models and fractional integration, Applied Financial Economics. forthcoming.
- Dass, N., Massa, M. & Patgiri, R. (2007). Mutual funds and bubbles: The Surprising Role of Contractual Incentives. Review of Financial Studies.forthcoming.
- [23] DeMarzo, P.M., Kaniel, R. & Kremer,I. (2007). Relative Wealth Concerns and Financial Bubbles, Review of Financial Studies. forthcoming.
- Evans, G. (1991). Pitfalls in testing for explosive bubbles in asset prices. American Economic Review, 81, 922–930.
- Harman, Y. S. & Zuehlke, T. W.(2004). Duration dependence testing for speculative bubbles. Journal of Economics and Finance, 28, 147–55.
- Jarque, C.M. & Bera, A.K.(1987). A test for normality of observations and regression Residuals. International Statistical Review, 55, 163-172.
- Jiang, X., & Lee, B.(2005). An empirical test of the accounting-based residual income model and the traditional dividend discount model. Journal of Business, 78, 1465–1504.
- Jirasakuldech, B., Emekter, R. & Rao R.P. (2008). Do Thai stock prices deviate from fundamental values? Pacific-Basin Finance Journal, 16, 297-305.