Duration dependence test for rational speculative bubble: the strength and weakness

This review highlights the strength and weakness of duration dependence test used by Mokhtar, Nassir and Hassan (2006) to detect the rational speculative bubble in the Malaysian stock market. It is found that despite the test’s strength over the other tests, it is however sensitive to different specifications and therefore may produce contrasting results.

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Year of publication:	2012-08-12
Authors:	Ahmad, Mahyudin
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Rational Speculative Bubble \| Duration Dependence Test \| Stock market \| Asian Financial Crisis

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011261116