PAKISTANI STOCK MARKET AND RATIONAL SPECULATIVE BUBBLES

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题名:	PAKISTANI STOCK MARKET AND RATIONAL SPECULATIVE BUBBLES
作者:	Haque, A (Haque, Abdul) Hung, JC (Hung, Jui-Cheng) Liu, HC (Liu, Hung-Chun)
贡献者:	Dept Banking & Finance
关键词:	rational speculative bubbles KSE Pakistan
日期:	2011
上传时间:	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
显示于类别:	[財務金融學系 ] 期刊論文

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