In this empirical study, I investigate whether emerging market stock prices can deviate from their fundamental values. Because standard tests are subject to size distortion, a new robust test due to Taylor and Peel (1998) is used here to test periodically collapsing emerging market stock price...

This chapter investigates empirically the existence of periodically collapsing bubbles in the Asian emerging stock markets using the Enders–Siklos (2001) momentum threshold autoregressive model. As explained in Bohl (2003), this non-linear time series technique can be used to analyze bubble...