Testing for stochastic explosive root bubbles in Asian emerging stock markets

Hing Lin CHAN; Kai Yin Woo

doi:10.1016/j.econlet.2007.06.024

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 journal › Article › peer-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 language	English
Pages (from-to)	185-188
Number of pages	4
Journal	Economics Letters
Volume	99
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2007.06.024
Publication status	Published - 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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10.1016/j.econlet.2007.06.024

Cite this

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title = "Testing for stochastic explosive root bubbles in Asian emerging stock markets",

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.",

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author = "CHAN, {Hing Lin} and Woo, {Kai Yin}",

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AB - 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.

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KW - Bubbles

KW - C13

KW - C32

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JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Testing for stochastic explosive root bubbles in Asian emerging stock markets

Abstract

Scopus Subject Areas

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