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Stock market speculative bubbles: the case of Visegrad countries

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F12%3A00060883" target="_blank" >RIV/00216224:14560/12:00060883 - isvavai.cz</a>

  • Alternative codes found

    RIV/47813059:19520/12:#0002139

  • Result on the web

    <a href="http://mme2012.opf.slu.cz/proceedings/pdf/019_Deev.pdf" target="_blank" >http://mme2012.opf.slu.cz/proceedings/pdf/019_Deev.pdf</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Stock market speculative bubbles: the case of Visegrad countries

  • Original language description

    Conventional theory of speculative bubbles describes stock bubbles as stock prices that exceed their fundamental value because current owners believe that the stocks can be resold at an even higher price in the future. We employ a special methodologicaltechnique examine the presence of the phenomenon of stock market bubbles in the Visegrad group countries (Czech Republic, Hungary, Poland, and Slovakia) and selected developed European stock markets. The methodology is based on the examining of residualsof VAR fundamentals with exclusion of ARCH effects. The presence of bubbles is studied by regime switching tests and Hurst persistence tests. Although we examine the bubbles presence over various time periods we found almost no evidence of speculative bubbles across the markets.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procyclicality of financial markets, asset price bubbles and macroprudential regulation</a><br>

  • Continuities

    V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Others

  • Publication year

    2012

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Proceedings of the 30th International Conference Mathematical Methods in Economics

  • ISBN

    9788072487790

  • ISSN

  • e-ISSN

  • Number of pages

    5

  • Pages from-to

    107-111

  • Publisher name

    Silesian University, School of Business Administration

  • Place of publication

    Karviná

  • Event location

    Karviná

  • Event date

    Jan 1, 2012

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000316715900019