Testing for stochastic explosive root bubbles in Asian emerging stock markets

Hing Lin CHAN*, Kai Yin Woo

*Corresponding author for this work

    Research output: Contribution to journalJournal articlepeer-review

    3 Citations (Scopus)

    Abstract

    This study employs a new test to detect the existence of stochastic explosive root bubbles. We find evidence of bubbles in stock markets of Taiwan, Malaysia, Indonesia, the Philippines and Thailand, but no evidence of bubbles in South Korea over our sample period.

    Original languageEnglish
    Pages (from-to)185-188
    Number of pages4
    JournalEconomics Letters
    Volume99
    Issue number1
    DOIs
    Publication statusPublished - Apr 2008

    Scopus Subject Areas

    • Finance
    • Economics and Econometrics

    User-Defined Keywords

    • Asian stock markets
    • Bubbles
    • C13
    • C32
    • Cointegration tests
    • E3

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