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    請使用永久網址來引用或連結此文件: https://irlib.pccu.edu.tw/handle/987654321/24104


    題名: PAKISTANI STOCK MARKET AND RATIONAL SPECULATIVE BUBBLES
    作者: Haque, A (Haque, Abdul)
    Hung, JC (Hung, Jui-Cheng)
    Liu, HC (Liu, Hung-Chun)
    貢獻者: Dept Banking & Finance
    關鍵詞: rational speculative bubbles
    KSE
    Pakistan
    日期: 2011
    上傳時間: 2013-01-30 14:43:30 (UTC+8)
    摘要: Recent years have witnessed a tremendous boom at the Pakistani equity market followed by a sudden meltdown. By employing the univariate time series analysis and duration dependence test (DDT) (McQueen and Thorley, 1994) over the weekly return data of KSE-100 index for the period from 1999 to 2008 this study investigates whether this boom was fundamentally driven or steered by rational speculative bubbles. All 3 tests - ADF, PP and KPSS - characterize the returns' series to be of I(1). The returns' distribution of KSE-100 index is negatively skewed, leptokurtic and non-normal as reflected by the significant Jarque-Bera statistics. The results of DDT also support the presence of rational speculative bubbles in both the log-logistic and the Weibull hazard models.
    關聯: ACTUAL PROBLEMS OF ECONOMICS 期: 123 頁數: 371-382
    顯示於類別:[Department of Banking & Finance ] periodical articles

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