Testing for stochastic explosive root bubbles in Asian emerging stock markets

Chan Hing-lin; Dr. WOO Kai Yin

doi:10.1016/j.econlet.2007.06.024

Testing for stochastic explosive root bubbles in Asian emerging stock markets

Author(s)

Chan Hing-lin

Dr. WOO Kai Yin

Date Issued

2008

Journal

Economics Letters

ISSN

0165-1765

1873-7374

Citation

Economics Letters, Apr. 2008, vol. 99(1), pp. 185-188.

DOI

10.1016/j.econlet.2007.06.024

URI

http://hdl.handle.net/20.500.11861/6409

Type

Peer Reviewed Journal Article

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.

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Testing for stochastic explosive root bubbles in Asian emerging stock markets

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