Rational Speculative Bubbles in Central European Emerging Stock Markets
| Autoři | |
|---|---|
| Rok publikování | 2014 |
| Druh | Článek v odborném periodiku |
| Časopis / Zdroj | Eastern European Economics |
| Fakulta / Pracoviště MU | |
| Citace | |
| www | http://www.tandfonline.com/doi/abs/10.2753/EEE0012-8775520403#.VRXIw0aJJAY |
| Doi | http://dx.doi.org/10.2753/EEE0012-8775520403 |
| Obor | Řízení, správa a administrativa |
| Klíčová slova | rational speculative bubble; Central European stock markets; duration dependence test |
| Přiložené soubory | |
| Popis | This study examines the existence of rational speculative bubbles in three Central European stock markets. The possibility of stock bubbles arises from historical stock market inefficiency as well as the most recent stock market boom and crash resulting from the US sub-prime mortgage crisis. In this study, we employ the duration dependence test for bubble detection, which provides reliable results for the specific properties of the studied markets. In addition to the stock market indices, the prices of individual blue chip stocks are investigated in order to identify the source of the bubble. We determined that there was an asset bubble in the Polish stock market in the period from 2004-2007 and narrow it down to chemical and energy company stocks. Speculative bubbles are also found in Hungarian renewable energy technology company stocks. |
| Související projekty: |