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dc.contributor.authorNartea, Gilbert V.en_NZ
dc.contributor.authorCheema, Muhammad A.en_NZ
dc.contributor.authorSzulczyk, Kenneth R.en_NZ
dc.date.accessioned2017-07-27T02:36:25Z
dc.date.available2016en_NZ
dc.date.available2017-07-27T02:36:25Z
dc.date.issued2017en_NZ
dc.identifier.citationNartea, G. V., Cheema, M. A., & Szulczyk, K. R. (2017). Searching for rational bubble footprints in the Singaporean and Indonesian stock markets. Journal of Economics and Finance, 41, 529–552. https://doi.org/10.1007/s12197-016-9369-3en
dc.identifier.issn1055-0925en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/11234
dc.description.abstractWe re-examine the presence of rational speculative bubbles in the Singaporean and Indonesian stock markets in light of contradictory results in the literature. We employ a mix of descriptive statistics, explosiveness tests and duration dependence tests for an expanded dataset from 1970 to 2013 that covers at least two suspected bubble episodes - the 1997 Asian Financial Crisis (AFC) and the Global Financial Crisis (GFC). We find bubble footprints in Singapore and Indonesia using descriptive statistics and explosiveness tests. However, we find no evidence of rational bubbles in Singapore using the duration dependence test. On the other hand, in Indonesia we find evidence of rational bubbles in weekly but not in monthly data. Our results indicate that the duration dependence test could be sensitive to data frequency suggesting that the duration dependence test results are not always conclusive and that it should be used in conjunction with other tests.en_NZ
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherSpringeren_NZ
dc.relation.urihttps://link.springer.com/article/10.1007/s12197-016-9369-3
dc.rights© 2016 Springer Science+Business Media New York. This is the author's accepted version. The final publication is available at Springer via dx.doi.org/10.1007/s12197-016-9369-3
dc.titleSearching for rational bubble footprints in the Singaporean and Indonesian stock marketsen_NZ
dc.typeJournal Article
dc.identifier.doi10.1007/s12197-016-9369-3en_NZ
dc.relation.isPartOfJournal of Economics and Financeen_NZ
pubs.begin-page529
pubs.elements-id141954
pubs.end-page552
pubs.publication-statusAccepteden_NZ
pubs.publisher-urlhttp://link.springer.com/article/10.1007/s12197-016-9369-3en_NZ
pubs.volume41en_NZ
dc.identifier.eissn1938-9744en_NZ


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