STOCK MARKET BUBBLES INVESTIGATION IN THE CZECH REPUBLIC

被引：0

作者：

Deev, Oleg ^{[1
]}

Kajurova, Veronika ^{[1
]}

Stavarek, Daniel ^{[2
]}

机构：

[1] Masaryk Univ, Fac Econ & Adm, Brno 60200, Czech Republic

[2] Silesian Univ Opava, Sch Business Adm Karvind, Opava, Czech Republic

来源：

EUROPEAN FINANCIAL SYSTEMS 2012 | 2012年

关键词：

Stock bubble; regime switching test; Hurst persistence test;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we employ a special methodological technique to examine the presence/absence of the phenomenon of stock market bubbles in the Czech Republic. The methodology is based on the examining of residuals of VAR fundamentals with exclusion of ARCH effects. The presence/absence of bubbles is studied by Hurst persistence tests and regime switching tests. Although we observed the bubbles presence over various time periods, almost no evidence of speculative bubbles was found in the Czech stock market.

引用

页码：35 / +

页数：3

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