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 journalArticlepeer-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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