Rational Speculative Bubbles in Central European Emerging Stock Markets

Authors

DEEV Oleg KAJUROVÁ Veronika STAVÁREK Daniel

Year of publication 2014
Type Article in Periodical
Magazine / Source Eastern European Economics
MU Faculty or unit

Faculty of Economics and Administration

Citation
Web http://www.tandfonline.com/doi/abs/10.2753/EEE0012-8775520403#.VRXIw0aJJAY
Doi http://dx.doi.org/10.2753/EEE0012-8775520403
Field Management and administrative
Keywords rational speculative bubble; Central European stock markets; duration dependence test
Attached files
Description This study examines the existence of rational speculative bubbles in three Central European stock markets. The possibility of stock bubbles arises from historical stock market inefficiency as well as the most recent stock market boom and crash resulting from the US sub-prime mortgage crisis. In this study, we employ the duration dependence test for bubble detection, which provides reliable results for the specific properties of the studied markets. In addition to the stock market indices, the prices of individual blue chip stocks are investigated in order to identify the source of the bubble. We determined that there was an asset bubble in the Polish stock market in the period from 2004-2007 and narrow it down to chemical and energy company stocks. Speculative bubbles are also found in Hungarian renewable energy technology company stocks.
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