Chapter 7 Periodically collapsing bubbles in the Asian emerging stock markets

Abstract

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 driven run-ups in stock prices followed by a crash in a non-cointegration framework with asymmetric adjustment. This technique offers a more potent insight in the stock prices behavior than can possibly be obtained using conventional non-cointegration tests. The empirical findings for 10 Asian emerging stock markets from 1993 to 2005 refute the bubble hypothesis.

Citation

Doffou, A. (2007), "Chapter 7 Periodically collapsing bubbles in the Asian emerging stock markets", Kim, S.-J. and Mckenzie, M.D. (Ed.) Asia-Pacific Financial Markets: Integration, Innovation and Challenges (International Finance Review, Vol. 8), Emerald Group Publishing Limited, Leeds, pp. 143-155. https://doi.org/10.1016/S1569-3767(07)00007-6